Title: BOMB INCIDENT AND STOCK MARKET REACTION AT THE IDX

Author: Nur Azmi Rifai

Affiliations : Master of Management Science Program, Faculty of Economics and Business, Universitas Airlangga , Surabaya, Indonesia

Publisher: Universitas Airlangga

Abstract

This research is an event study that examines market reactions to the bombings that occurred in Indonesia between 2002 and 2009. Five bombings were recorded, categorized as national in scale. This research uses the Efficient Market Hypothesis theory. The variable used is the average abnormal return. This research is a quantitative study using a sample of 33 companies listed on the IDX in the transportation sub-sector, the restaurant sub-sector, and the tourism and hospitality sub-sector. The results of this study are first, there was no market reaction reflected in the average abnormal return around the date of the bombings.

Keywords: bomb incident, EMH, market reaction, stocks, abnormal return

Sources: http://repository.unair.ac.id/38422/