Dampak peristiwa politik dan ekonomi terhadap indeks harga saham gabungan dan indeks LQ45

Political and economic events which occured in Indonesia or other country will affect the performance of Indonesian capital market. Events which occured are very important to be analyzed because at that time the country's economy became unstable. It has an impact on the dynamics of the stock market price index and trading volume activity which had become very volatile because investors will respond to the events which occured. The objectives of this study are: 1) Analyze the differences of abnormal returns that found in Indonesia Composite Index and the LQ45 index between before and after event, 2) Analyze the differences of trading volume activity in Indonesia Composite Index and the LQ45 index between before and after event, 3) Analyze the forms of market efficiency of Indonesia Composite Index and LQ45 index on each event. Event study method is used with an estimation window for 100 days and an event window for 1 day until 10 days before and after the event. In addition, a statistical paired sample test was used to test the significance of an event against the dynamics of Indonesia Composite Index and LQ45 index returns and volume. The result of the analysis show that the 2016 US presidential election had a significant negative impact on the return and volume of Indonesia Composite Index. The BI rate cut from 6.75 percent to 6.5 percent in 2016 also had a significant positive impact on the return and volume of Indonesia Composite Index. Meanwhile, other events did not have a significant impact on the return and volume of Indonesia Composite Index and LQ45 index. The result of the event study analysis and paired sample test in this study indicate that investors have anticipated the occurrence of the event because there were a lot of issues before the event, so that the predicted events will not have significant impact on stock returns and volume. In addition, it was found that the LQ45 index does not fluctuate too much on each event so that the LQ45 index can be an alternative option for investors to make investment decisions at the time of a similar event that is likely to occur again in the future