Dampak Pemilihan Umum Presiden Indonesia Tahun 2014 dan 2019 terhadap Abnormal Return dan Abnormal Volume Reksa Dana Exchange Traded Fund

Adiluhung, Westra Dwipa (2020) Dampak Pemilihan Umum Presiden Indonesia Tahun 2014 dan 2019 terhadap Abnormal Return dan Abnormal Volume Reksa Dana Exchange Traded Fund. Masters thesis, IPB University.

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Abstract

The Indonesia Stock Exchange not only trades shares, but also mutual funds that are managed professionally by investment managers. Total Net Asset Value (NAV) of mutual funds in 2014 was Rp. 215 trillion and grew by 228% to Rp. 489 trillion in 2018. ETFs (Exchange Traded Funds) are able to benefit positive developments on every year. ETFs is a hybrid investment product with stock and mutual fund features that refer to certain indexs. An interesting feature offered is real time trading like a stock and diversified unit like a mutual fund. Political events such as the presidential election are national-scale events that have a broad impact and influence on the investment climate. Presidential election can lead to positive and negative sentiment from investors because the information circulating thus affecting the investment climate in Indonesia. These conditions allow investors to obtain abnormal returns. ETFs market in Indonesia is still very green where information and studies relating to this product are still very limited, and it is not yet known whether there are abnormal returns and abnormal volumes in ETFs products during presidential elections. The objectives of this study are as follows: (1) Analyzing 2014 and 2019 presidential election events on ETFs abnormal returns, and (2) Analyzing 2014 and 2019 presidential election events on ETFs abnormal volume. This research used a descriptive and quantitative approach by using econometrics modeling and secondary data. The data used in this study were secondary data in the form of closing prices and daily volumes of each ETFs and IHSG that actively traded during the 2014 and 2019 presidential elections. The object of this study is R-LQ45X, XIIT, XIJI, XIIC, EIDO and IDX. The estimation period was set for 90 days and the event window was 10 days (H-5 to H+5). Event study method was used to measure the effects of events that cannot be anticipated by the market, which uses a market model estimation approach for each ETFs. Abnormal return (AR) describes the stock market reaction to new information which is the difference between actual return and expected return. Trading activity during the presidential election period was observed using abnormal volume. The results showed that the Indonesian stock market was still inefficient with the discovery of positive or negative abnormal returns in 2014 and 2019 presidential elections. Average abnormal returns of Indonesian ETFs showed that ETFs reacted with the presidential elections, especially at H+1 significantly positive with the highest value and H+2 are significantly negative with the lowest value. Abnormal volumes show that Indonesian ETFs are traded below market expectations and tend not to be traded in 2019 presidential election period. Investors can consider ETFs in their portfolio to reduce the risk. ETFs can obtain abnormal returns on five days around presidential election event, especially on H+1 short-term investors have opportunity to make a profit with the sell option and H+2 with the buy option. OJK as a regulator needs to encourage investors to invest their capital into ETFs because ETFs can provide favorable returns for investors both in the 2014 election which tends to be optimistic and the 2019 election which tends to be pessimistic. ETFs' potential should not be wasted considering the condition of ETFs that are expanding in recent years so that they can help absorb and influence the supply and demand of the Indonesian capital market. ETFs performance can be improved by providing some incentive in the form of policies that can support the performance of ETFs by OJK so that it's more actively traded on the Indonesian stock market. The Investment Manager as ETFs issuer can periodically evaluate ETF's performance. Managers can use active investment strategies to improve performance to match their benchmark index to increase investor interest. The potential for ETFs is quite good but awareness and product knowledge are still relatively low because of the low volume of ETFs trade in both the 2014 and 2019 presidential election periods. These new products require marketing and education to be more popular than other products.

Item Type: Thesis (Masters)
Uncontrolled Keywords: abnormal return, abnormal volume, ETF, event study, pemilu presiden abnormal return, abnormal volume, ETFs, event study, presidential election
Depositing User: SB-IPB Library
Date Deposited: 15 Jun 2022 01:52
Last Modified: 15 Jun 2022 02:42
URI: http://repository.sb.ipb.ac.id/id/eprint/3860

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