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

Penulis

  • Ananta Hagabean Nasution
  • Alyta Shabrina Zusryn

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

Kata Kunci:

abnormal return, pengumuman menteri, strategi investasi

Abstrak

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.

Referensi

Abbes, M. B., & Trichilli, Y. (2015). Islamic stock markets and potential diversification benefits. Borsa Istanbul Review, 15(2), 93–105. https://doi.org/10.1016/j.bir.2015.03.001

Bash, A., & Alsaifi, K. (2019). Fear from uncertainty: An event study of Khashoggi and stock market returns. Journal of Behavioral and Experimental Finance, 23, 54–58. https://doi.org/10.1016/j.jbef.2019.05.004

Bodie, Z., Kane, A., & Marcus, A. (2019). Dasar-Dasar Investasi. Jakarta: Penerbit Salemba Empat.

Chatziantoniou, I., Duffy, D., & Filis, G. (2013). Stock market response to monetary and fiscal policy shocks: Multi-country evidence. Economic Modelling, 30(1), 754–769. https://doi.org/10.1016/j.econmod.2012.10.005

Civilize, S., Wongchoti, U., & Young, M. (2015). Political Connection and Stock Returns: A Longitudinal Study. Financial Review, 50(1), 89–119. https://doi.org/10.1111/fire.12061

Dewi, D. Y., & Santosa, P. W. (2019). Does the January effect anomaly still exist at Indonesia Stock Exchange ? The International Journal of Business Management and Technology, 3(6), 283–292.

Elad, F. L., & Bongbee, N. S. (2017). Event Study on the Reaction of Stock Returns to Acquisition News. International Finance and Banking, 4(1), 33–43. https://doi.org/10.5296/ifb.v4i1.10409

Gärtner, M., & Wellershoff, K. W. (1995). Is there an election cycle in American stock returns? International Review of Economics and Finance, 4(4), 387–410. https://doi.org/10.1016/1059-0560(95)90036-5

Hatmanti, A., & Sudibyo, B. (2017). Pengaruh Pelantikan Kabinet Kerja Hasil Reshuffle Jilid Ii Terhadap Harga Saham Lq-45. Jurnal Economia, 13(1), 1–13. https://doi.org/10.21831/economia.v13i1.11797

Huber, J., & Kirchler, M. (2013). Corporate campaign contributions and abnormal stock returns after presidential elections. Public Choice, 156(1–2), 285–307. https://doi.org/10.1007/s11127-011-9898-4

Husnan, S. (2015). Dasar-Dasar Teori Portofolio dan Analisis Sekuritas (5th ed.). Yogyakarta: UPP STIM YKPN.

Khanal, A. R., & Mishra, A. K. (2017). Stock price reactions to stock dividend announcements: A case from a sluggish economic period. North American Journal of Economics and Finance, 42(June 2009), 338–345. https://doi.org/10.1016/j.najef.2017.08.002

Lee, J. S., Yen, P. H., & Lee, L. C. (2019). Political connection and stock returns: Evidence from party alternation in Taiwan. International Review of Economics and Finance, 63, 128–137. https://doi.org/10.1016/j.iref.2018.08.015

Liew, V. K. Sen, & Rowland, R. (2016). The effect of Malaysia general election on stock market returns. SpringerPlus, 5(1). https://doi.org/10.1186/s40064-016-3648-5

Lin, C. Y., Ho, P. H., Shen, C. H., & Wang, Y. C. (2016). Political connection, government policy, and investor trading: Evidence from an emerging market. International Review of Economics and Finance, 42, 153–166. https://doi.org/10.1016/j.iref.2015.09.008

Markovitch, D. G., & Golder, P. N. (2008). Using stock prices to predict market events: Evidence on sales takeoff and long-term firm survival. Marketing Science, 27(4), 717–729. https://doi.org/10.1287/mksc.1070.0325

Nurlita, V., & Naomi, P. (2019). Do Political Events Affect Stock Return Volatility On Indonesian Stock Exchange. Journal of Economics, Business & Accountancy Ventura, 22(1), 29–38. https://doi.org/10.14414/jebav.v22i1.1215

Obradovi?, S., & Tomi?, N. (2017). The sectoral effect of demonetization on the economy: Evidence from early reaction of the Indian stock markets. Economic Research-Ekonomska Istraživanja, 30(1), 112–124. https://doi.org/10.1080/23322039.2019.1595992

Pástor, ?., & Veronesi, P. (2012). Uncertainty about Government Policy and Stock Prices. Journal of Finance, 67(4), 1219–1264. https://doi.org/10.1111/j.1540-6261.2012.01746.x

Pham, H. N. A., Ramiah, V., Moosa, N., Huynh, T., & Pham, N. (2018). The financial effects of Trumpism. Economic Modelling, 74(January), 264–274. https://doi.org/10.1016/j.econmod.2018.05.020

Ramesh, S., & Rajumesh, S. (2015). Stock Market Reaction to Political Events A Study of Listed Companies in Colombo Stock Exchange of Sri Lanka. Journal of Economics and Sustainable Development, 6(3), 131–139. https://doi.org/10.13140/RG.2.1.5005.1682

Santosa, P. W., & Santoso, P. W. (2019). Does Exchange Rate Volatility cause Overreaction in the Capital Market? Evidence from Indonesia. International Journal of Finance and Accounting, 8(3), 80–87. https://doi.org/10.5923/j.ijfa.20190803.02

Shen, C. H., Bui, D. G., & Lin, C. Y. (2017). Do political factors affect stock returns during presidential elections? Journal of International Money and Finance, 77, 180–198. https://doi.org/10.1016/j.jimonfin.2017.07.019

Sorescu, A., Warren, N. L., & Ertekin, L. (2017). Event study methodology in the marketing literature: an overview. Journal of the Academy of Marketing Science, 45(2), 186–207. https://doi.org/10.1007/s11747-017-0516-y

Trisnawati, F. (2011). Pengaruh Peristiwa Politik terhadap Perubahan Harga Saham. Pekbis Jurnal, 3, 528–535.

Zach, T. (2003). Political Events and the Stock Market: Evidence from Israel. Internasional Journal of Business, 8(3), 243–266. https://doi.org/10.2139/ssrn.420242

Zhao, X., Liano, K., & Hardin, W. G. (2004). Presidential election cycles and the turn-of-the-month effect. Social Science Quarterly, 85(4), 958–973. https://doi.org/10.1111/j.0038-4941.2004.00253.x

Diterbitkan

2020-07-27