Reaksi Investor Saham Syariah dan Konvensional terhadap Pengumuman Pembentukan Kabinet Indonesia Maju 2019

Ananta Hagabean Nasution, Alyta Shabrina Zusryn

Abstract


Ketidakpastian politik sering menjadi peristiwa khusus yang berpengaruh terhadap return portofolio saham. Tujuan dari penelitian ini adalah untuk menguji pengaruh pengumuman pembentukan kabinet Indonesia Maju 2019-2024 terhadap harga saham yang terdaftar pada Indeks Syariah (ISSI) dan Indeks Harga Saham Gabungan (IHSG). Penelitian ini menggunakan metode event study untuk melihat adanya reaksi pasar yang dapat dilihat dari adanya abnormal return pada saham. Indikator yang digunakan adalah nilai average abnormal return (AAR) dan cumulative average abnormal return (CAAR). Hasil pada penelitian ini menunjukkan bahwa terdapat nilai AAR yang negatif dan signifikan pada sehari sebelum (t-1) dan setelah (t+1) pengumuman menteri pada indeks syariah dan pasar. Selain itu, terdapat perbedaan yang signifikan nilai cumulative average abnormal return (CAAR) sebelum dan sesudah pengumuman menteri pada t (-7,7) untuk portofolio ISSI dan t (-10,10) untuk portofolio IHSG. Adanya reaksi negatif invetor mengindikasikan terdapat kebingungan investor saham syariah terhadap menteri yang terpilih pada kabinet Indonesia Maju. Peristiwa ini diharapkan dapat membantu investor atau manajer investasi dalam menentukan strategi investasi pada saat terjadi ketidakpastian politik.

Keywords


abnormal return, pengumuman menteri, strategi investasi

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DOI: https://doi.org/10.33476/j.e.b.a.v5i1.1406

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