ANALISIS PENGARUH KONDISI POLITIK DALAM NEGERI TERHADAP ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SAHAM JII (STUDI KASUS RESHUFFLE KABINET KERJA II PEMERINTAHAN JOKO WIDODO)

Abstract

Many factors affect capital markets. Broadly, these factors can be devided
 into factors of economic and non-economic factors. Politics is one of the noneconomic
 factors which affect capital markets.
 On July 27, 2016 President Jokowi announced the cabinet reshuffle part II
 with a focus on improving the performance of government in the economy.This
 could be good news or bad news for the capital market players. If the
 announcement contains information, then the market will also respond.
 The aim of this research is to analyze the influence of political conditions
 in the country, in this case is a cabinet reshuffle to the listed shares on Jakarta
 Islamic Index, seen from the abnormal return and abormal trading volume
 activity. This is an event study research by using mean adjusted model method to
 calculate the abnormal return. Observation period used is ten days beforeand after
 the event.
 The result shows that there are significant abnormal returns around the
 observation periods. As for abnormal trading volume activities during the
 observation periods are not significant. This research also shows that islamic
 capital market in Indonesia is semi strong form.