STUDI PERISTIWA TRAGEDI SARINAH TERHADAP PASAR MODAL INDONESIA
ABSTRACT: This study aims to
know the Indonesian capital market reaction to the attack on Sarinah area by
looking at the average abnormal return and the difference in the average
abnormal return before the event and after the attack in the region Sarinah.
This study uses a sample of 45 companies listed in the LQ45 index period August
2015 to in January 2016. The data were analyzed with a mean adjusted model
approach is used to find abnormal returns, subsequent test results of data
analysis using t-test and paired sample t-test , The study found that there is
a negative market reaction occurs on D+5, D+4, D+2, D+1, D0, D-3 and D-5
evidenced by the average abnormal return is statistically significant.
Furthermore, the test results data using paired samples t-test showed that
there is no significant difference between the average abnormal return obtained
all companies listed in LQ45 index in the Indonesia Stock Exchange before and
after the attack in the region Sarinah.
KEYWORDS: Market Reaction,
Abnormal Return
Penulis: M.Hatta Diman Arde, Ketut
Wijaya Kesuma
Kode Jurnal: jpmanajemendd170126
