Electronic Theses and Dissertation

Abstrak peristiwa politik berskala global seperti pemilu di negara dengan kekuatan ekonomi terbesar di dunia berpotensi memengaruhi sentimen dan perilaku investor, termasuk di pasar modal negara berkembang. penelitian ini bertujuan untuk menganalisis pengaruh pemilihan umum presiden amerika serikat (as) tahun 2024 terhadap volatilitas indeks harga saham gabungan (ihsg) di indonesia. penelitian ini menggunakan pendekatan kuantitatif dengan metode event study untuk mengamati fluktuasi abnormal return ihsg selama periode event window selama 21 hari bursa (t–10 hingga t+10), dengan tanggal 5 november 2024 sebagai hari peristiwa. perhitungan abnormal return dilakukan menggunakan tiga model estimasi, yaitu mean adjusted model, market model, dan market-adjusted model. selanjutnya, pengujian statistik dilakukan menggunakan one-sample t-test dan paired sample t-test untuk mengevaluasi adanya reaksi pasar serta perbedaan volatilitas sebelum dan sesudah pemilu. hasil penelitian menunjukkan bahwa terdapat abnormal return yang signifikan pada beberapa hari di sekitar peristiwa, namun secara agregat tidak ditemukan perbedaan yang signifikan dalam volatilitas ihsg sebelum dan sesudah pemilu. temuan ini mengindikasikan bahwa pasar modal indonesia merespons informasi secara parsial dan mendukung bentuk semi-kuat dari teori efficient market hypothesis (emh). penelitian ini memberikan implikasi praktis bagi investor, regulator, dan pembuat kebijakan dalam menyusun strategi pengelolaan risiko terhadap ketidakpastian politik global. kata kunci: volatilitas ihsg, abnormal return, event study, efficient market hypothesis

ABSTRACT Global political events such as the US election, held by the world’s largest economy, have the potential to influence investor sentiment and behavior in emerging capital markets, including Indonesia. This study aims to analyze the impact of the 2024 United States (US) presidential election on the volatility of the Indonesia Composite Stock Price Index (IHSG).. This research employs a quantitative approach using an event study method to observe fluctuations in abnormal returns of the IHSG during a 21-day event window (T–10 to T+10), with November 5, 2024, as the event date. Abnormal returns are estimated using three models: the Mean Adjusted Model, Market Model, and Market-Adjusted Model. Statistical tests including one-sample t-test and paired sample t-test are applied to evaluate market reactions and test for differences in volatility before and after the election. The results show the presence of significant abnormal returns on several days surrounding the event. However, overall findings indicate no statistically significant difference in IHSG volatility before and after the US presidential election. These findings suggest that the Indonesian capital market responded partially to global political uncertainty and support the semi-strong form of the efficient market hypothesis (EMH). This study provides practical implications for investors, regulators, and policymakers in developing strategies to manage market risks driven by global political events. Keywords: IHSG Volatility, Abnormal Return, Event Study, Efficient Market Hypothesis