mpact of Indonesia Presidential ElectionQuick Count on Political Connected Stock Volatility: An Event Study

mpact of Indonesia Presidential ElectionQuick Count on Political Connected Stock Volatility: An Event Study

Event study, Presidential election, Quick Count, Stock Volatility, Political Connection

This study assesses the impact of the 2024 Indonesia Presidential Election quick count results on the stock volatility of politically connected firms listed on the Indonesia Stock Exchange. An event study methodology is employed, analyzing four politicallyaffiliated companiesPMMP, TOBA, BRMS, and WIRGacross a six-day event window (T-3 to T+3). A market-adjusted return model calculated abnormal returns (AR) and cumulative abnormal returns (CAAR). The findings reveal a significant market reaction before the event, particularly on T-2, where the average abnormal return (AAR) peaked at 5.82%, mainly driven by PMMP’s strong return of 16.66%. However, the AAR fell sharply to -3.91% on T+3, indicating a market correction. The cumulative abnormal return (CAAR) reached a high of 6.63% on T-2 before declining to 1.48% on T+3. A T-test yielded a p-value of 0.092 at a 10% significance level, showing a statistically weak significance in pre-and post-event returns. While the quick count results impacted stock performance, the market reaction was moderate. This study provides valuable insights forinvestors, helping themunderstand the influence of political uncertainty on politically connected firms in emerging marketsand make informed investment decisions

Hardiansyah1*

https://dinastipub.org/DIJEFA/article/view/3525/2368

University of Paramadina

November 2024

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English

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