Analisis Komparatif Abnormal Return dan Trading Volume Activity Saham LQ45 Sebelum dan Sesudah Pengumuman Tarif Impor Trump

Ni Made Santi Nareswari; Putu Sri Arta Jaya Kusuma

doi:10.61132/menawan.v4i6.2779

Authors

Ni Made Santi Nareswari Universitas Pendidikan Nasional
Putu Sri Arta Jaya Kusuma Universitas Pendidikan Nasional

DOI:

https://doi.org/10.61132/menawan.v4i6.2779

Keywords:

Abnormal Return, Event Study, LQ45 Index, Signaling Theory, Trump Tariff Policy

Abstract

This study aims to analyze the reaction of the Indonesian capital market to the announcement of Donald Trump’s import tariff policy on April 8, 2025. This trade protectionism policy potentially carries global economic signals that are responded to by domestic market participants. As an event study, this research integrates Signaling Theory and Behavioral Finance Theory to explain how external information is absorbed as a signal by investors and how risk perception influences the rationality of short-term investment decision-making. The research sample consists of 45 companies listed on the LQ45 Index of the Indonesia Stock Exchange. The data analyzed include Abnormal Return (AR) and Trading Volume Activity (TVA) across an 11-day observation period ( to ). Hypothesis testing was conducted using non-parametric statistical analysis via the paired Wilcoxon Signed Ranks Test, as the data were not normally distributed. The results demonstrate a significant yet short-lived market reaction. Aggregate testing reveals significant differences in both Abnormal Return and Trading Volume Activity between the pre- and post-announcement periods. The shifts in stock prices and trading activity reflect the presence of negative information content that was rapidly absorbed by investors through portfolio rebalancing actions. These findings indicate that investors in the Indonesian capital market respond to international information signals efficiently without post-announcement drift, thereby confirming that the Indonesia Stock Exchange meets the criteria for the Semi-Strong Form of Market Efficiency.

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