Title : STOCK PRICE REACTIONS IN THE INDONESIAN CAPITAL MARKET TO THE BOMB TERROR EVENTS PERIOD 2002-2017
Author(s) : Carissa Cindy Febiana, Noorlailie Soewarno
Universitas Airlangga
DOI : https://doi.org/10.19184/jauj.v15i2.6882
ABSTRACT
This research aims to determine the reaction of stock prices in Indonesia stock exchange when the event of terror bombs. This research uses event study where observation to window period of abnormal returns during 5 days before, event date, and 5 days after the event. The data was collected from the Indonesia stock exchange by using daily closing price of stock price and JCI (Jakarta Composite Index). The population is the event of terror bombs period 2002-2017. The sampling technique in this research used purposive sampling with the criteria are the largest number of victims and the availability of data. The statistical instrument test has been carried out by using paired sample t-test and SPSS 24 program. The results show that there is the effect of bomb terrorism on stock price reaction in Indonesia stock exchange indicated by the differences of abnormal returns. The influential incident that occurred during the bombing of Indonesia's history in Bomb Bali I in 2002, with the passage of time and the number of bombing events, investors have been sensitive to the occurrence of bomb explosion events against stock prices in the Indonesian capital market.
Keywords : Event study, terror bombs, abnormal returns, Indonesia stock exchange
Source: https://jurnal.unej.ac.id/index.php/JAUJ/issue/view/672
