DAMPAK KERUSUHAN MAKO BRIMOB MEI 2018 TERHADAP ABNORMAL RETURN INDEKS LQ45 YANG TERDAFTAR DI BEI

Abstrak

This research is an event study that aims to determine the difference
in the average Abnormal return (AR) before, during, and after the Mako
Brimob riot. The subject of this study is the LQ45 index company that has
fulfilled the criteria. The company does not conduct corporate actions such
as the announcement of stock split, right issue, merger & acquisition, and
dividend in the observation period, which is five days before the riot, one
day during the riot (May 9, 2018) and five days after the riot. The results of
the data normality test found that the data in this study were normally
distributed. P-value shows the number 0.412. The results of the different
tests using independent Sample T-Test (H1) showed no difference in the
average abnormal return before, and during the Mako Brimob riots (ρ =
0.050). The results of different tests using independent Sample T-Test (H2)
were no difference in the average abnormal return during and after the incident
of the Mako Brimob riots (ρ = 0.117). The results of different tests
using Paired Sample T-Test (H3) were no difference in the average abnormal
return before and after the incident of the Mako Brimob riots (ρ = 0.77).