PENGARUH PERUBAHAN HARGA BAHAN BAKAR MINYAK, TARIF DASAR LISTRIK, UPAH MINIMUM REGIONAL, DAN PEMILIHAN PRESIDEN TERHADAP ABNORMAL RETURN SAHAM

Abstract

Stock is one of the many instruments that are traded in the capital market. Changes in stock returns are influenced by many things. Factors causing these changes are the change in the price of fuel oil, basic electricity tarif, the regional minimum wage, and the presidential election. There are investors who suffered losses in the stock market due to lack of knowledge about the factors that cause changes in the stock return. The purpose of this study was to analyze whether there are abnormal changes in stock returns of the manufacturing companies in Indonesia before and after the change in fuel prices, electricity tariffs, the minimum wages, and the presidential elections. This research helps investors to know the things that need to be seen in the capital market. Samples used in this study are stock companies listed on the Stock Exchange from July 2004 until Juli 2014. Method used in this research is event study. The results of this study indicate that the factors that cause changes in the abnormal return are the number of the existing announcement about an event and the amount of information that can be absorbed by the market became of the announcementc. Another factor that causes a change in abnormal return is the rate of change of inflation when the event occured.