ANALISIS ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SAHAM LQ45 ATAS PENGUMUMAN RESHUFFLE KEDUA KABINET PEMERINTAHAN PRESIDEN PRABOWO
DOI:
https://doi.org/10.31959/jm.v15i1.3576Abstract
Introduction: This study investigates the Indonesian stock market's reaction to the announcement of President Prabowo's second cabinet reshuffle on September 8, 2025. He primary objective is to evaluate whether this political event influences stock price fluctuations and trading volume, thereby illustrating the market's capacity to effectively integrate new public information.
Methods: Utilizing a quantitative approach, the research applies an event study methodology to identify unusual returns through the Market-Adjusted Model. One sample test is utilized to determine the significance of these non-normal returns, while A Paired Samples T-test investigates differences in TVA before and after the event. The sample of equities listed in the LQ45 Index was observed within an 11-day window comprising five trading days before and after the announcement date.
Results: The analysis indicates statistically significant abnormal returns on days t+1, t+2, and t+4 post-reshuffle, demonstrating investors' responsiveness to political developments. Conversely, no statistically significant changes in trading volume activity were detected between pre- and post-event periods, suggesting that investor trading behavior remained largely unaltered despite price movements.
Conclusion and Suggestion: This research underscores the transient effects of political events on financial markets and emphasizes the need for investors and policymakers to prepare for potential short-term disruptions following significant political announcements.
Keywords: Abnormal Returns, Cabinet, Event Study, , Information, Trading, Reshuffle, Volume Activity,
References
Aditha, K.K. and Adiputra, I.M.P. (2020) “Analisis Perbedaan Abnormal Return, Trading Volume Activity, Dan Security Return Variability Pada Perusahaan LQ45 Pra Dan Pasca Pengumuman Kabinet Indonesia Maju Periode 2019-2024.”
Alfallah, M.D., Novalia, N. and Kristiastuti, F. (2022) Analisis Reaksi Pasar Modal Indonesia Pada Peristiwa Reshuffle Menteri Kabinet Indonesia Maju Tahun 2020, MANNERS Management and Entrepreneurship Journal. Available at: https://www.bareksa.com/.
Alifiani, Z., Deannes, I. and Ekonomi dan Bisnis, F. (2024) “Analisis Reaksi Pasar Modal Indonesia Terhadap Pengumuman Kenaikan Suku Bunga The Fed (Studi pada Perusahaan Kelompok Indeks LQ45) Analysis Of Indonesian Capital Market Reaction To Fed’s Interest Rate Increase (Study on LQ45 index group companies),” Agustus, 11(4), p. 3982.
Budastra, M.A. et al. (2022) “Reaksi Pasar Modal Indonesia Terhadap Pengumuman Reshuffle Kabinet Indonesia Maju Jilid I Dan Ii,” Jurnal Bisnis Terapan, 6(1), pp. 43–52. Available at: https://doi.org/10.24123/jbt.v6i1.4792.
Cariani, N.L.P. and Sinarwati, N.K. (2024) “Analisis Komparatif Abnormal Return, Trading Volume Activity, dan Security Return Variability,” Jurnal Akuntansi Profesi, 15(01), pp. 95–106. Available at: https://doi.org/10.23887/jap.v15i01.51197.
Danang, S., Djuuna, M. and Dalughu, M.H. (2025) Analisis Reaksi Pasar Modal Indonesia Terhadap Peluncuran Danantara: Event Studi, Jurnal Akuntasi dan Keuangan Kontemporer (JAKK).
Fama, E.F. et al. (1991) Efficient Capital Markets: II The comments of Fischer Black, THE JOURNAL OF FINANCE *.
Farrell, D.M. and Naimah, Z. (2025) “Reaksi Pasar pada Ketidaknormalan Pertumbuhan Persediaan,” Owner, 9(2), pp. 1493–1507. Available at: https://doi.org/10.33395/owner.v9i2.2694.
Fuentes, J. and Videgård, M. (2024) “Efficient market hypothesis in the Nordic and US stock markets,” Gothenburg University Library, pp. 1–38.
Ghoul, S. El et al. (2023) “Event studies in international finance research,” Journal of International Business Studies, 54(2), pp. 344–364. Available at: https://doi.org/10.1057/s41267-022-00534-6.
Hafifa, N. et al. (2025) “Dampak Penurunan IHSG terhadap Stabilitas Ekonomi Publik Indonesia : Analisis Penyebab , Implikasi , dan Strategi Kebijakan,” Socius: Jurnal Penelitian Ilmu-Ilmu Sosial, 02(12), pp. 627–629.
Hatmanti, A. and Sudibyo, B. (2017) “Pengaruh Pelantikan Kabinet Kerja Hasil Reshuffle Jilid Ii Terhadap Harga Saham Lq-45,” Jurnal Economia, 13(1), p. 1. Available at: https://doi.org/10.21831/economia.v13i1.11797.
IDX (2025) “Evaluasi Indeks IDX30, LQ45, IDX80, KOMPAS100, BISNIS-27, MNC36, SMinfra18, dan IDXESGL No. Peng-00012/BEI.POP/01-2025,” 2025, p. 14.
Miller, D.L. (2023) “An Introductory Guide to Event Study Models,” Journal of Economic Perspectives, 37(2), pp. 203–230. Available at: https://doi.org/10.1257/jep.37.2.203.
Nunes, R. da C. (2025) “The Efficient Market Hypothesis as an Extension of Neoclassical Theory: A Theoretical and Empirical Critique.” Available at: https://doi.org/10.32996/jefas.
Pandey, D.K. and Kumari, V. (2020) “Event study on the reaction of the developed and emerging stock markets to the 2019-nCoV outbreak,” (January).
Saputra G, E.F., Pulungan, N.A.F. and Subiyanto, B. (2021) “The Relationships between Abnormal Return, Trading Volume Activity and Trading Frequency Activity during the COVID-19 in Indonesia,” Journal of Asian Finance, Economics and Business, 8(2), pp. 737–745. Available at: https://doi.org/10.13106/jafeb.2021.vol8.no2.0737.
Supramono (2017) “Market Reaction to Cabinet Reshuffle: The Indonesian Evidence,” Management Analysis Journal, 7(5), pp. 183–188.
Sutrisno, B. (2021) “Short-Term Response of Indonesian Stock Market Against Political Events,” 2(1), pp. 1–9.
Talumewo, C.Y., Rate, P. Van and Untu, V.N. (2021) “REAKSI PASAR MODAL INDONESIA SEBELUM DAN SESUDAH PENGUMUMAN PEMBERLAKUAN NEW NORMAL (EVENT STUDY PADA PERUSAHAAN BUMN YANG TERDAFTAR DI BURSA EFEK INDONESIA) INDONESIAN CAPITAL MARKET REACTION BEFORE AND AFTER THE ANNOUNCEMENT OF IMPLEMENTATION NEW NORMAL IN STATED-OWN COMPANIES IN THAT LISTED ON INDONESIAN STOCK EXCHANGE,” Jurnal EMBA, 9(4), pp. 1466–1475.
Tampubolon, R.B., Zai, S.N.P. and Agustin, H. (2023) “The impact of bid-ask spread and trading volume activity on abnormal returns during the Period before and after the announcement of fuel price increase in Indonesia in 2022,” International Journal of Applied Finance and Business Studies, 11(2), pp. 139–153. Available at: https://ijafibs.pelnus.ac.id/index.php/ijafibs/article/view/90.
Tegtmeier, L. (2021) “Testing the Efficiency of Globally Listed Private Equity Markets,” Journal of Risk and Financial Management, 14(7). Available at: https://doi.org/10.3390/jrfm14070313.
Setyaningrum, N.T. and Rusmana, O. (2025) “Fenomena Anomali Pasar dan Perilaku Investor dalam Aktivitas Perdagangan Saham di Indonesia,” Journal of Business and Economics Research (JBE), 6(3), pp. 896–907. Available at: https://doi.org/10.47065/jbe.v6i3.8211.
Vijayashekaranayaka, J.R. and Veena, M. (2025) “Event Study Methodology for Stock Split Announcements,” Monthly, Peer-Reviewed, Refereed, Indexed Journal with IC Value : 86, 87(11), pp. 2455–0620. Available at: https://doi.org/10.2015/IJIRMF/202501004.
Xue, Z. and Zhu, S. (2024) “Impact of media attention, corporate announcements on stock market returns based on big data,” Applied Mathematics and Nonlinear Sciences, 9(2).
Downloads
Published
Issue
Section
License
Copyright (c) 2026 Natashia Amelia Ariyani Eny Trimeiningrum
This work is licensed under a Creative Commons Attribution 4.0 International License.
