IMPACT OF PRESIDENTIAL ELECTION ON INDONESIAN CAPITAL MARKET: AN EVENT STUDY ANALYSIS

Political events such as Indonesia presidential election in 2014, US presidential election in 2016, and Indonesia presidential election in 2019 are predicted to have effect on the performance of Indonesian capital market. It will have big impact on the dynamics of the stock market price index which become very volatile because investors will respond to that event. The purpose of this study is to analyze the differences of abnormal returns that found on Indonesia Composite Index in 5 days and 10 days event window between before and after the events. The event study methodology is used to evaluate the impact of presidential election to Indonesian capital market. This study also evaluated the significance effect of every events using paired sample test. The result of this study gives an alternative option for investors to make decision at the time of a similar event in the future.