Market Reaction to Demonstration Events

Abstract

This study aims to analyse the effect of demonstration events on abnormal returns. The literature shows that demonstration events have information content that can influence investors in the capital market. Therefore, investors in the capital market will react after the information is received. Demonstration events are risks closely related to negative signals influencing investors’ decisions in the capital market. The country’s situation, which was currently in turmoil due to continuous and chaotic demonstrations, greatly affected the state of the country’s economy. The research sample is a company listed on the Indonesian stock exchange. The analysis results show that the days around the date of the demonstration against the Job Creation Law affect abnormal returns. Furthermore, the results of a comparative analysis between demonstration events show that demonstrations highlighting the scarcity of cooking oil and rising cooking oil prices, rising fuel prices, and increasing VAT rates at almost the same time have the highest impact on abnormal returns compared to other demonstration events. This study expands the literature on capital markets by analysing the influence of demonstration events that have broad social and economic impacts on abnormal returns in capital markets in developing countries.

Reaksi Pasar atas Pelaksanaan Serah Terima Presidensi Group of Twenty (G20) Indonesia

“…Beberapa pnelitian lainnya dilakukan Alam et al (2020) mengenai kebijakan lockdown di India yang mendapat respon positif; Du et al (2022) menemukan reaksi positif fari dampak konflik Rusia-Ukraina di pasar energi global; Permana et al (2013) mengenai peristiwa Pilkada Gubernur DKI Jakarta tahun 2012 yang menunjukkan pasar memberikan respon positif dengan adanya perbedaan abnormal return positif pada peristiwa tersebut. Selain itu, penelitian oleh Aldhepis et al (2022) tentang reaksi pasar yang positif terhadap kebijakan tax amnesty menunjukkan reaksi terhadap peristiwa tersebut; maupun hasil studi Setyawati & Widarjo (2023) yang menemukan pasar bereaksi positif terhadap beberapa aksi demonstrasi.…”

“…Terdapat beberapa penelitian terdahulu yang menemukan bahwa peristiwa yang memiliki informasi baik akan direspon positif, sehingga pasar bereaksi positif karena adanya abnormal return (Kusumaningarti, 2022;Aldhepis et al, 2022;Permana et al, 2013;Alam et al, 2020;Du et al, 2022;Setyawati & Widarjo. 2023).…”