Tag Archives: abnormal return

Impact of Donald Trump Election on Global Indexes (Published)

The purpose of this study was to determine the effect of Donald Trump’s presidential election against abnormal return in the global index. This study uses event studies conducted on the index data from May 2015 until February 2017. Where Donald Trump Presidential election event is divided into four events, the first time to run, the second win in the primaries, the third time as the current elected Trump’s and the fourth as inauguration. This study uses the event window (-5, + 5) and (-15, + 15) of each event, the next step is to calculate the actual return and calculate the expected return using the moving average method. The results showed that most events are considered important by investors is when Trump won in primaries election. This happened because of many factors that occur around the events that influence the abnormal returns, such as the Turkish military coup, and the referendum Brexit. The only index that responded consistently in almost every event is an index of China (SSE) and the American index (S & P 500 and the Dow Jones). When Trump was elected largely global investors responded positively, but in developing countries the index has a negative response.

Keywords: Event Study, Moving Average, Trump Election, Us Presidential Election, abnormal return

Analysis of Federal Fund Rate and Bi Rate Announcement to Abnormal Return in Indonesia Stock Market (Published)

The purpose of this study is to determine the effect of Fed rate and BI rate announcement on abnormal return in Indonesian stock market. This study uses an event study methods of sectoral data from August 2016 to March 2017. The method to calculating abnormal return is using event study, with stages as determination of estimation period, which in this study using event window (-3, +3), (-5, +5), and (-7, +7) and the estimated period of 200 days, the next stage is the calculation of actual return and then followed the calculation of expected return by using ordinary least square (OLS). The results showed that sectoral indices in Indonesia stock exchange tend to have significant differences in the abnormal return is not consistent. This is because there are many other factors that influence abnormal return, such as the US presidential election in November 2016 and February 2017 governor election. The only sectors that responded consistent to the announcement were the transportation, infrastructure and utilization sectors. Meanwhile, agricultural sector did not respond to all the announcement of Fed rate dan BI rate. Investor must be carefully to invest in transportation, infrastructure and utilization sector. Because when fed rate increase and BI rate constant stock price company in transportation, infrastructure and utilization sector will volatility and give a negative abnormal return.

Keywords: Bi Rate, Event Etudy, Fed Rate, Ordinary Least Square, abnormal return


This study aims to analyze the stock price reaction to the announcement of Indonesia won the Investment Grade. The method used is the event study. Sample there were 41 companies in Indonesia Stock Exchange. Analysis using the 11-day window period. The data used is the daily stock price and the stock price index. The calculation of the expected return using the market model. The results of the study (1) There is a significant abnormal return the day before the announcement of Investment Grade (2) There is no difference in average abnormal return before and after the announcement of Investment Grade

Keywords: abnormal return, debt rating, investment grade