Capital Market Reaction Against Political Events (Event Study Of Demonstration 212 Peaceful Action ) Yessy Ethiza Faramida 1, Sri Utami Ady²* 1,2

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1 Capital Market Reaction Against Political Events (Event Study Of Demonstration 212 Peaceful Action ) Yessy Ethiza Faramida 1, Sri Utami Ady²* 1,2 Fakultas Ekonomi Dan Bisnis Universitas Dr.Soetomo Surabaya (sri.utami@unitomo.ac.id) ABSTRACT This study aimed to explain the reaction of the capital market (Event study) 212 demonstrations peaceful protest events against the share price of PT Nippon Indosari Corpindo Tbk on December The study was conducted at PT Nippon Indosari Corpindo Tbk. As one of the companies affected directly the event. The data used the daily closing stock price data, daily stock trading volume, and the number of outstanding shares obtained from the Indonesia Stock Exchange. By using a t test analysis, there were three hypotheses in this study, namely whether the investor obtain abnormal return to their events (H1), whether there was a difference of abnormal return before and after the event (H2), whether there were differences in the volume of stock trading before and after the event (H3). Results of tests made clear that investors did not earn abnormal return to their peaceful protest demonstration event 212, the results of tests performed also explained that there was no significant difference in abnormal stock returns and trading volume before and after the event. This was because the Indonesian people already familiar with the demonstrations that occurred in the country, so that market participants were more calm in dealing with the situation. The reaction of investors to the event in the Indonesian capital market was quite low indicates the level of efficiency of the Indonesian capital market was still weak. Keywords: Abnormal Return,Trading Volume Stocks, EventStudy, Peace Action Event 212. Introduction Almost all countries in the world have capital markets except for countries that are still experiencing political and economic problem which is still difficult to overcome. Political events often lead to fluctuations in stock prices and trading volumes in the stock market. By looking at the political and security conditions of a country is more stable and the dynamic development of the economy, investors will be interested to invest, including buying shares resulting in rising stock prices. Conversely, if the security situation and political and economic instability, investors will sell shares caused the stock price to decline. Much information can be obtained in the capital market, such as information about the environmental conditions of micro and macro environmental conditions. Information is the most fundamental requirement for investors to make decisions. An events and information are affecting levels of capital market sensitivity to stock price and trading volume of shares that will have an impact on stock returns to be obtained. The level of efficiency of the capital market can be divided into three kinds, namely a weak form of efficiency, semi strong form and the strong form of (Fama, 1970). The Results of research on the efficiency of the capital market in Indonesia is still diverse. Tjandra, (2006), showed that the Indonesian Stock Exchange (JSX at that time) had a semi-strong form. (Khajar, 2008) shows the Indonesia Stock Exchange has been efficient in the weak form both in crisis and post-crisis period. (Ady & Mulyaningtyas, 2017) showed that the level of efficiency of the Indonesian capital market, efficient in a weak form when seen from the difficulty investors get a return abnormal based on information from historical data, although in general, based on a review of behavioral finance, the efficient market hypothesis can not be proven optimal because the biased behavior of investors caused investors act irrationally. In markets with high levels of efficiency, 1

2 information will be directly reflected in the share price isconcerned. The reaction can be seen from the abnormal return received by investors. Study of events (event study) analyse abnormal returns of securities that may occur around the announcement of an event (Hartono, 2015). In addition to abnormal returns, capital market reactions to information can also be seen through the parameter movement in trading activity in the stock market. Research on the capital market reactions to events caused by non-economic factors that occurred in Indonesia is very interesting to do. Investors can purchase and selling stocks based on rumors and growing non-economic factors (Ady, Sudarma, Salim, & Aisyah, 2013). As was the case at the end of 2016 ago, Indonesia had experienced a political event with their peaceful protest demonstration of 212 that occurred in Jakarta on December 2, This event involves PT Nippon Indosari Corpindo Tbk, which is one of the Foreign Investment Company (PMA) engaged in the consumer goods industry sectors that are listed in the Indonesia Stock Exchange with an IPO on June 28, the Company received the negative issues of society. This stems from the slide of bread "Sari Roti" in the 212 peaceful actions. Some photos circulating on social media showed cart itinerant baker (hawker tricycle) reads "FREE TO Mujahid" is intended for the participants of the demo. PT Nippon Indosari Corpindo Tbk as the owner of the trademark. Sari Roti respond to the fray by making a clarification to emphasize that they are not involved in the political action. Clarifications delivered the company in a release posted on website its official (06/12/2016). Sari Roti had become a trending topic on Twitter sequence one time (Kusuma, 2016). detikfinance, accessed on 17 March 2017). After the company made the clarification, rather than solve the problem. Clarifications made it responded negatively by netizens on social media. They are busy to include #BoikotSariRoti every posting on social media. Sari Roti stock was down amid hectic statement #BoikotSariRoti in cyberspace. 212 peaceful protest demonstration events like this will make market respond quickly to the information and make the price down. Study of correcting the market to an event is called event study. Event study can also be used to test water for an update of an event. If in the event there is an important information content according to investors, investors will react positively or negatively according to the perception of investors about the content of the information. Various events, such as political events, economic, and so may have an impact on the capital market. (Nurhaeni, 2009), (Purba & Handayani, 2017), (Oktavia, 2015), (Anggarani, 2012) shows that the impact of political events on the capital markets by looking at their abnormal return obtained by investors during the period of the political event. However, the results of research (Pratama, Sinarwati, & Dharmawan, 2015), (Fiton, 2015) showed no significant Abnormal Return on political events observed period. The results of different tests This raises the interest to see and observe the reaction and the information content of a political event. Tests conducted information content to see the reaction of an event occurring. This study tried to photograph the peaceful protest 212 political events in the company of PT Nippon Indosari Corpindo Tbk. Problem Formulation Based on the description of the above background, the principals problem in this study could be formulated as follows: 1. Does the investor obtain abnormal return with Peaceful Demonstrations 212 events dated December 2, 2016? 2. Is there a difference between the abnormal return of PT Nippon Indosari Corpindo Tbk before and after the Peaceful Demonstrations 212 events dated December 2, 2016? 3. Is there a difference between Trading Volume Activity (TVA) before and after the Peaceful Demonstration 212 events? Objectives Based on the description of existing problems, the purpose of this study were: 1. To investigated whether the Peaceful Demonstrations 212 events dated December 2, 2016 will resulted abnormal return for investors. 2

3 2. To determine whether there was a difference of abnormal return before and after the Peaceful Demonstrations 212 events dated December 2, To find out whether there were differences between the Trading Volume Activity (TVA) before and after the Peaceful Demonstration 212 events. a. Stocks Stock is a sign of ownership or possession of any person or entity in a corporation or limited liability company (Suhartono & Qudsi, 2009: 40). Each investor who invests in the stock, every day, from time to time, they must diligently monitor recent developments condition of issuers in which they invest money and observe the movement of stocks as a whole. By holding the stock of a company, investors expect to get a return. The factors that affect stock price fluctuations may come from internal and external. Internal factors include: (Alwi, 2008: 87) a) Announcement of marketing, production, sales such as advertising, details of the contract, price changes, etc., b) Announcement of funding, such as announcements relating to equity and debt, c) Announcements of investment, as did the expansion of the factory, research development and closure of other businesses and so forth. Regarding the relationship between the dividend by the stock price, (Ady, Salim, & Susanto, 2010);(Ady, 2004), found that the amount of the dividend does not affect the spread stock price, however (Siaputra & Atmadja, 2006) found that the average value of the stock price before the ex-dividend date and the average value of the stock price after the ex-dividend date was statistically significantly different. This indicates, that there was a significant stock price movements during the two periods as a result of these observations dividend distribution announcement. However, the magnitude of the stock price changes were not statistically different from the value of the dividend per share to be distributed. The external factors include: a) the announcement of the government such as changes in interest rates on savings and time deposits, foreign exchange rates, inflation, etc., b) Announcement of the securities industry,as reported annual meetings, insider trading, stock trading volume, restrictions / delay trading, c) the domestic political turmoil and fluctuations in the exchange rate is also a significant factor in the movement of stock prices on the stock exchange of a country, d) Various issues both at home and abroad, and so forth. Research Jannah (Jannah & Ady, 2017) indicate that the interest rate did not have a significant impact on investment decisions. (Nurhaeni, 2009), (Purba & Handayani, 2017), (Oktavia, 2015), (Anggarani, 2012) shows that the impact of political events on the capital markets by looking at their abnormal return obtained by investors during the period of the political event. But the results of the study (Pratama et al., 2015), (Fiton, 2015) showed no significant Abnormal Return on political events observed period. b. Actual Return Actual Return is return that has happened which is calculated based on historical data and is used as one measure of corporate performance. This return is useful as a basic determinant of expected return that expected to be obtained by investors in the future. To calculate the actual return by using a formula as follows: R it = P it P it 1 P it 1 Dimana : Rit = daily stock return securities i in period t Pit = daily stock price securuties i in period t Pit-1= daily stock price securities i in period t-1 c. Return Expectations Return expectations are return expected to be obtained by investors in the future. Return this nature has not happened. There are three models in estimating the expected return, is as follows: a. Mean Adjusted model) This model assumes that the return expectations of a constant value equal to the average return during the estimated period. 3

4 b. Market model This model is made with two phases: (1) establish an expectation model using actual data from actual during the estimation period and (2) use the expectations model to estimate the return of expectations in the window period. c. Market adjusted model This model assumes that the best estimator to estimate returns of a security is the market index return at that time. d. Abnormal Return Abnormal Return is an indicator used to gauge market reaction to events. Abnormal return is the excess of the return that really going against the normal return is the return expected by investors.thus, the abnormal return is the difference between actual returns that occurred with the return expectations. Here is the formula of abnormal returns: AR it = R it E R ( it ) Dimana : ARi,t = Abnormal Return of securities i -th in the event period to-t Ri,t = Actual Return that happened for the securities of the i -th on the event period to t E (Ri,t)= Expected return of securities i -th to the event period to-t e. Trading Volume Activity (TVA) Trading Volume Activity (TVA) is a measure of whether the announcement issued by the company relating to the increase in the volume of trading activity of the company concerned at the time of the announcement. TVA is measured with a formulation as follows: TVA it = stock i traded period t stock ioutstanding period t f. Capital Markets Capital markets according to Law No. 8 In 1995 is the activity concerned with the public offering and trading of securities, public companies related to the issuance of securities, as well as institutions and professions related to securities. The efficiency of the capital market is one indicator to determine the quality of the capital market. The higher degree of efficiency, the quality of the capital market will be better. Efficient capital markets are capital markets that the prices of securities reflect the relevant information. The efficiency of the capital market to consist of three forms: (Fama, 1970): a. Weak forms, Efficient in weak forms states that stock prices reflect all available information on price record time ago. b. Semi-strongform,in the form of semi strong market stating that prices not only reflect the prices in the past, but all of the information published. c. Strong form, an efficient capital market in the strong form stating that all relevant information available reflected in stock prices. Buffet in (Hagstrom, 2010) states that the price movements in the stock market is a psychological movement of investors. The movement of stock prices are rising (bullish) indicates investor expectations are optimistic about future prospects, and movement of stocks declining (bearish) indicates market pessimism. (Ady, 2015) showed that psychological factors determine the success of investing in capital markets and good emotional management will make investors more rational, minimizing fear and greed, so that minimize the biased behavior of psychological and cognitive in investing. 4

5 g. Event Study According Peterson (1989), event study is an observation of the movement of stock prices in the capital market to find out if there are abnormal returns obtained shareholder resulting from a particular event. In testing the efficiency of capital markets, event study used to determine whether abnormal returns that occur after the event previously estimated and used to measure how much influence the events of the activity in the capital market. In addition, studies using event study can also be used to test the information content of an event or announcement. CONCEPTUAL FRAMEWORK Before the event Event : peaceful protest demonstration 212 Stock of PT Nippon Indosari Corpindo Tbk Abnormal Return Treading Volume Activity (TVA) Figure. 1. Conceptual Framework After the event Before The event After the event HYPOTHESES The hypotheses of this study were as follows: H1: Investors earned abnormal returns with the Peace Demonstration 212 event dated December 2, H2: There were difference abnormal returns before and after the Peace Demonstrations 212 event dated December 2, H3: There is a difference Trading Volume Activity (TVA) before and after the Peace Demonstrations 212 events dated December 2, METHODS This study using event study method with case study of one company, PT Nippon Indosari Corpindo Tbk. Event study in this study aims to determine the market's reaction to an event, the Peace Demonstrations 212 event dated December 2, The phenomenon was appointed to look at the effect of an event on the price of shares PT Nippon Indosari Corpindo Tbk in the Indonesian Stock Exchange by observing abnormal return and trading volume activity that occurs. The period of observation in this study was 42 days of exchange which is divided into two periods, namely the estimation period and the period of occurrence. The estimation period for 21 days, from T-31 to T- 11. the period of occurrence for 21 day period, which consists of 10 days prior to the event (pre-event),1 day at the time of the event(eventdate),10 days after the event(post-event). In Peaceful Demonstration 212 event dated 02 Desember A B C D E (t) Figure 2. Research Estimation Period 5

6 Where: A: initial estimation period (t-31) dated 20 Oktober 2016 B: the end of the estimation period (t-11) dated17 November 2016 C: start of the event period (t-10) dated18 November 2016 D: the event period (t) dated December 2, 2016 E: the end of the event period (t + 10) dated19 Desember2016 IDENTIFICATION VARIABLES, INDICATORS VARIABLE AND DEFINITIONS OF OPERATIONS 1. Identification a. Independent Variables (variable effect) is the condition of the domestic safety (Peace Demonstration Event 212). b. Dependent variables (variables affected) is the stock price changes before and after the events indicated by the abnormal return and trading volume activity. 2. Variable indicator a. internal security condition (Peace Demonstration 212 event) is a condition that security is closely related to a country's economic stabiliitas. Capital market reaction indicated by the change in the price of the securities in question, in this study share price reaction was measured by using abnormal return and trading volume (TVA). b. The actual return, in the form of data closing share price during the period of occurrence, namely the estimation period and the period of occurrence. c. Market adjusted model, in this study using a model to calculate market adjusted return expectations. Data in the form of composite stock price index from the date of October 7, 2016 until December 19, 2016 or during the study period. d. Abnormal return, consisting of actual return and the return expectations. The report takes the form of the closing stock price data during the study period is 42 days. e. Trading Volume Activity (TVA), by looking at the data of outstanding shares in the capital market during the study period that was periode events during the 20 days, which consists of 10 days before event (preevent)and 10 days after the event (post-event). Tabel 1. Operational Definition No Variable Operational Definition Measurement Actual Return Abnormal Return Market adjusted model 4. Trading volume activity (TVA) Daily stock price of securities i at time t all (Pi, t) minus the daily stock price of securities i at time to t-1 (Pi, t-1) divided by the daily stock price securities i at time t-1 (Pi, t-1). Difference between expected return with the return obtained This model assumes that the best estimate for estimating the returns of a security is the market index return at that time.. Comparison between the number of shares traded by the number of shares outstanding Rmt = R it = P it P it 1 P it 1 AR,it = Ri,t E (Ri,t) IHSG t IHSG t 1 IHSG t 1 TVA it = stock i traded period t 6

7 stock i outstanding period t The Data analysis technique are: a. Hypothesis 1 Hypothesis 1, that "Investors earn abnormal returns with the Peace Demonstrations 212 events dated December 2, 2016" will be tested by using event study method that analyze the market's reaction to the information through parameter abnormal returns received by investors. The steps of this test as follows: 1. Calculating actual return for each outstanding share: P R it P it 1 it = P it 1 Where: Rit = Actual return stock i day t Pit = the closing price of the stock i days t Pit'st = the closing price of the stock i day t-1 2. Calculating expected return in this study to calculate the expected return using market adjusted model. This model assumes that the best estimator to estimate returns of a security is the market index return at that time. Exspected return is calculated by the following formula: Rmt = IHSG t IHSG t 1 IHSG t 1 Dimana : Rmt = Actual market return at time t, indeks saham t = Stock index at time t, indeks saham t 1 = Stock index at time t Calculate abnormal return Abnormal return is the difference between actual return and the expected return. Return of stock i on day t: AR it = R it E R ( it ) Where : AR,it Rit E(Rit) = Abnormal return stock i on day-t = Actual return stock i on day-t = Expected return stock i on day-t. 4. Testing the significance of abnormal return in the event period. This test using paired sample T-test 7

8 b. Hypothesis 2 H2 that "There is a difference of abnormal return before and after the Peace Demonstrations 212 events dated December 2, 2016" will use different test. The research period is 10 days before the event and 10 days after the event. The steps of the test as follows: a. Develop statistical hypothesis H0: μ1 = μ2 (There is no difference of abnormal return before and after the Peace Demonstrations 212 events dated December 2, 2016). Ha: μ1 μ2 (There are differences of abnormal return before and after the Peace Demonstrations 212 events dated December 2, 2016). b. Significance level used was 5% α = 0.05 If the probability <0.05, then H0 is rejected or Ha be accepted. It means that there are significant differences. If the probability > 0.05, then H0 be accepted or Ha rejected. That is not a significant difference. c. Specify different test were used. Used Paired t-test sample if the data were normally distributed whereas Wilcoxon Signed Rank if the data are not normally distributed. c. Hypothesis 3 H3 that "There are differences in Trading Volume Activity (TVA) before and after the Peace Demonstrations 212 events dated December 2, 2016". The steps of measures as follows: 1. Calculating the volume of stock trading activity i in period t, as follows: TVA it = stock i traded period t stock ioutstanding period t 2. Test difference in average trading volume activity sampled stock during the ten days before and ten days after the event by using Paired Sample T-test when the normal distribution of data and test Wilcoxon Signed Rank if the data are not normally distributed. RESULTS AND DISCUSSION 1. Hypothesis 1 a. Descriptive statistics Hypothesis testing was one to know whether the investor obtain abnormal return to their peace demonstration event 212. The period used in the hypothesis 1 was the estimation period was from T-31 (October 20, 2016) until the T-11 ( 17 November 2016) and the period of the event consisting of the initial period of the event T-10 (18 November 2016) to T-1 (December ), at the time of the event (T) which was dated December 2, 2016 and the end of the event period T + 1 ( December 5, 2016) to T + 10 (December 19, 2016). Here were the results of descriptive statistical testing of hypothesis 1: Tabel 2. Descriptive Statistic Test Hypotesis 1 Descriptive Statistics N Minimum Maximum Mean Std. Deviation Estimation Period 21 -,040830,054689, , Event PeriodOpe 21 -,038666, , , Valid N (listwise) 21 Source: Data processed 8

9 Table 4.8 above showed the minimum, maximum, mean and a standard deviation of abnormal returns within 42 days of observation. In the estimation of a 21-day period value abnormal return indicates a minimum value of , maximum value of and the average (mean) with a standard deviation of The event period for 21 days showed a minimum value of , maximum value and the mean with a standard deviation of b. Normality Test Tabel 3. Normality Test Hipotesis 1 Variable Kolmogorov-Smirnov Statistic df Sig Discription Estimation period,180 21,075 Normal Event period,192 21,041 Not Normal Source: Data processed Based on table 4.9 the results on data normality test, it can be obtained that the data abnormal return during the estimation period had the Sig Because the significance value of 0.075> 0.05 then the data was normally distributed. As for the data abnormal returns during the event period had the Sig. amounted to 0,041. Because the significance value <0.05 then the data stated were not normally distributed. So as to perform different test hypotheses 1 using the Wilcoxon Signed Rank Test. c. Wilxocon Signed Rank Test In the test this hypothesis, using the WilcoxonSigned Rank test for the normality test hypotheses 1 indicates that the data were not normally distributed. Here are the results of testing hypothesis 1: Tabel 4. Uji Wilcoxon Signed Rank Test Hypotesis 1 Test Statistics a Event period Estimation period Z -,261 b Asymp. Sig. (2-tailed),794 a. Wilcoxon Signed Ranks Test b. Based on positive ranks. Source: Data processed Based on the table above 4:10, explaining that sig. (2-tailed) = 0,794. With a significance level of 0.05, sig 0.794> Conclusions from the hypothesis with a significance level of 0.05 was proved that the abnormal return during the estimation period and the period of the event was not a significant difference. So H1 was rejected, which means that "Investors Do Not Accept Abnormal Return With the presence of Peace Demonstration Event 212 On December 2, 2016". 9

10 Source: Data processed Figure 3. Graph Abnormal Return Estimated Period and events Period From the graph above showed the movement of the abnormal return during the estimation period and the events period in the Sari Roti company. In the estimation period was about T-26 to T- 28 days before the event, abnormal return value had increased quite sharply, which means that the good news in the company Sari Roti thus affecting the value of the abnormal return. By the time the event occurred (T) showed a negative of abnormal return This was because the slide Sari Roti products into a peaceful protest demonstration which makes the company gets 212 negative sentiment from the community. A day later, at the time T + 1 abnormal returns turned positive. Presumably because there was a clarification that created the company to dispute the company's involvement in the demonstration. At T + 2 to T + 4 showed the value of abnormal return turn back to negative due to the boycott cider toast spread in cyberspace due to the netizen did not accept the clarification made by a company. Abnormal return back to stability by continuing to move in the positive direction in the following days. The absence of the abnormal return received by investors peaceful protest demonstration proved that the 212 didn t provide useful information content to the market participants in the decision, so the market didn t respond. This showed the confidence of investors that the rally 212 concentrated on the monument will go peacefully. Market participants were calmer in dealing with this incident. Besides the Indonesian people were familiar with the demonstrations that occurred in the country. They argue that this demo was a demo for a moment that occurs as demos in general. Investors in this study did not react quickly to absorb information, so that it was in accordance with a semi-strong efficient market. The efficiency of the market in the form of semi strong suggests that prices not only reflect the prices in the past, but all the information was published. Public information will be reflected in stock prices quickly and bias. Investors will not generate abnormal returns by buying shares on the basis of a publication. Conditions that cause inefficient market covers only a small part of market participants that could affect the stock price and published information were easily able suspected by some investors. The absence of abnormal return received by investors with their event peaceful action 212 is not in accordance with the results of research conducted by Yudhanagara (2010) found that investors earn abnormal returns with their Bombing Incident JW Marriott and Ritz-Carlton on 17 July 2009 and research conducted by Sari (2007) also explains that the Kuningan bomb events 9 September 2004 resulted in abnormal returns a significantfor investors in Indonesia. The results of this study conflict with (Nurhaeni, 2009), (Purba & Handayani, 2017), (Oktavia, 2015), (Anggarani, 2012) which showed that political events have an impact on the capital market by looking at their abnormal return obtained by investors at the event period the political. But the results of this study support the results of the study of Pratama (Pratama et al., 2015), (Fiton, 2015) which showed no significant Abnormal Return on political events observed period. 212 Protest events are not considered as crucial by the investor events, when compared to the JW Mariot bomb or the bombing of kuningan was 10

11 causing investors to panic selling action to avoid losses due to their expectations of some investors that the stock price will generally fall. In contrast to this study, only observe the movement of stock prices Sari Roti where market capitalization is not too large so the effect of event for the stackhorders are not too obvious. As investors should be more cautious in performing the calculations, precisely when the events macro political economy of a country could indirectly affect the economic condition of the country. Because of these factors could also affect the stock price fluctuations in the stock market. Moreover, as an intelligent investor should conduct technical analysis and fundamental analysis before investing because of factors that affect stock price fluctuations come from internal and external. Stock prices in the stock market always fluctuates from time to time. 2. Hypothesis 2 Hypothesis testing 2 was conducted to determine whether there was a difference of abnormal return received by investors before and after the event. Research period starts from before the event period T-10 (18 November 2016) to T-1 (December 1st 2016) and after the event period T + 1 (December 5th 2016) to T + 10 (December 19, 2016). Here are the results of testing hypothesis 1: a. Descriptive Statistics Tabel 5. Descriptive StatisticsHypothesis 2 N Minimum Maximum Mean Std. Deviation Before Period 10 -,038666, , , After Period 10 -,011717,012350, , Valid N (listwise) 10 Source: Data processed At table 4:11 above, hypothesis test 2 consists of two variables: the variable abnormal return during the 10 days before the event and 10 days after the event with a total of as much data as 20 days of observation. Lowest abnormal return before the events of , the highest abnormal return of and the average(mean)of with a standard deviation of While the lowest abnormal return 10 days after the events of , the highest of and average abnormal return of with a standard deviation of b. Normality Test Before determining the analytical tools used, the first test data was normality test. Assuming seen from the indication of normality where the data was distributed normally then use the Paired SampleT-Test, otherwise if the data were not normally distributed then used the Wilcoxon Signed Rank non-parametric test. If the probability > 0.05 the data was expressed in normal distribution, whereas the probability of <0.05 then the data stated were not normally distributed. Here was a results of normality test: Tabel 6. Normality Test Hypothesis 2 Variable Kolmogorov-Smirnov Statistic df Sig Description Abnormal Return (T-10 T-1),187 10,200 Normal Abnormal Return (T+1 T+10),195 10,200 Normal 11

12 Source: Data processed From the table above normality test using the Kolmogorov-Smirnov test, resulting that all the variables with normal distribution for the value of each variable has a value of signifikannsi > 0.05 (α). So it could be passed into parametric statistical analysis, which in this case was a statistical measurement tools with the Paired SampleT-test. a. Uji Paired Sample T-test Tabel 7. Paired Sample T-test Hipotesis 2 Paired Differences 95% Confidence Interval of the Difference Mean Std. Deviation Std. Error Mean Lower Upper t df Sig. (2- tailed) Pair 1 Abnormal_10hari_Before - Abnormal_10hari_After Source: Data processed by the table above, 2-tailed sig = with 0.05 significance level. Because the significance value of 0.518> 0.05, then hypothesis 2 that "There is abnormal returns differences before and after the events Peaceful Demonstrations 212 dated December 2, 2016" was rejected with 95% confidence level. The negative T-test shown that the value of peace rally before 212 was smaller than the abnormal returns after a peaceful protest 212. It also appears in the table of descriptive statistics which abnormal return before the event was smaller than after the event. When referring to the abnormal return before and after it was noticeable the difference. However, statistically no difference in abnormal returns that occur within the company Sari Roti before and after event demonstrations 212. This means that the difference of abnormal return before and after events were not statistically significant. Absence of significant abnormal return in the Sari Roti s company reflecting investor skepticism in making a decision whether to sell or buy shares, as investors hesitated to interpret signals delivered issuers in the decision to sell or buy shares. Here was a graph illustrating the change in the value of the abnormal return 10 days before and 10 days after the event peaceful action 212: 12

13 Abnormal Return Abnormal Return Source: Data processed Figure 4. Abnormal Return Before and After the Event Graph On the chart above looks difference abnormal stock returns that occurred in PT Nippon Indosari Corpindo Tbk before and after the peaceful protest 212. In the period from T-1 to T-10 decline and rise so sharply. It looks at three to six days before the event showed a drastic decrease and then increase. Abnormal return movement up and down this happened because of a panic and indecision of investors which resulted in the situation becoming BearishMarket. Bearish market is a condition where the stock market is declining or weakened. The rise and fall of abnormal returns movement's also occur 10 days after the incident took place but the movement up and down the abnormal return was not so sharp as compared to prior events. On T + 1 showed that abnormal returns are positive values. This was because the clarifications made by the company to dispute the company's involvement in the action Sari Roti bread-for free at 212-violence took place. The denial announcement in connection with the circulation of information regarding the distribution of products free of charge by the seller Sari Roti bread circumference (hawker tricycle) on a 212-violence allegedly involving the company. Statements made precisely to get a comment from a number of users of social media Twitter accounts. Many people write hashtag #boikotsariroti in cyberspace, even Sari Roti became Tranding topic the order of theon Twitter at the time. This makes the abnormal return values indicate negative values seen on the T-2 and T-4 caused investors tend to avoid risk. After #boikotsariroti incident, the abnormal return value back to stability with positive abnormal return value was seen in T + 5 to T Investors use as a benchmark stock index investing. JCI, investors can determine if this was the right time to invest or to attract capital. All activities demand, supply, purchase and sale of shares will affect the stock prices of existing capital markets. Motive an investor to invest in stocks was to get the advantage of increasing dividends. No investor wants to get a loss on the shares purchased. Therefore, an investor would certainly consider carefully their investment decisions. This consideration was based on information obtained from the stock market and economic and political development is going on. The absence of a significant difference because few investors who consider a peaceful demonstration event 212 as an event that contains the relevant information in making investment decisions. This suggests that these events were not absorbed properly so the market did not respond. In this case explained that the capital market in Indonesia was a weak form of the market, therefore, the current share price already reflects the information contained in the market so that investors will not earn abnormal returns despite knowing some information on the market. The study's findings are consistent with the results of research conducted by Yudhanagara Yudhanagara ( 2010), Fiton, (2015), Sari, (2007) dan (Pratama et al., 2015) which states that the absence of a significant difference between abnormal returns before and after the event, On the contrary, the results of research conducted by Nurhaeni, (2009) and states that there are significant differences between the abnormal return before and after events. 13

14 Conditions developing countries such as Indonesia are mostly located in the political intervention, in another words the economic policy urgently need a political umbrella of the various parties. Developing countries have a high level of political fluctuation compared to developed countries. The political instability meant that invest in developing countries should watch for signs - political phenomenon that happen and will happen. Due to economic conditions, political in a country affects the rise and fall of stock prices in a capital market. 3. Hypothesis 3 Hypothesis 3 testing was done to determine whether there were differences in Trading Volume Activity (TVA) received by investors before and after the events. The study period started from before the event period T-10 (18 November 2016) to T-1 (December 1st 2016) and after the event period T + 1 (December 5th 2016) to T + 10 (December 19, 2016). Here were the results of testing hypothesis 1: a. Descriptive Statistics Tabel 8. Statistik Deskriptif Hipotesis 3 N Minimum Maximum Mean Std. Deviation TVA before event TVA after event Valid N (listwise) 10 Source: Data processed Table 4:15 above showed the value of stock trading volume minimum, maximum, average (mean) and standard deviation in the 10 days before the event and 10 days after the event. Within 10 days after event of the minimum value of trading volume amounted to , its maximum value and the average(mean)of with a standard deviation of While 10 days after event of a minimum value of , maximum value and the average(mean)of with a standard deviation of b. Normality Test Before determining the analytical tools used, the first test data normality. Assuming seen from the indication of normality where the data was distributed normally then use the Paired SampleT-Test, otherwise if the data were not normally distributed then used the Wilcoxon Signed Rank non-parametric test. If the probability> 0.05 the data was expressed in normal distribution, whereas if the probability of <0.05 the data stated were not normally distributed. The result of normality test Data as follows: Table 9. Normality Test Hypothesis 3 Variabel Kolmogorov-Smirnov Description 14

15 Statistic df Sig TVA before event,185 10,200 Normal TVA after event,325 10,004 not Normal Source: Data processed The above table illustrates the results data normality test trading volume activity (TVA) TVA indicating that the data was not normal because of the level of significance <0.05. Thus the different test were used for hypothesis 3 is the Wilcoxon signed rank test. c. Wilcoxon Signed Rank Test Tabel 10. Wilcoxon Signed Rank Test Hypothesis 3 Test Statistics a TVA after period TVA before period Z -1,886 b Asymp. Sig. (2-tailed),059 Sumber : data diolah a. Wilcoxon Signed Ranks Test b. Based on positive ranks. testing using the Wilcoxon Signed Rank test for normally distributed data. By using a significance level of 0.05, if sig. 0.05, hypothesis 3 was rejected, which means there was no difference between TVA TVA before and after events. Conversely, if the value of sig. <0.05 then the third hypothesis is accepted, which means that there is a difference TVA before and after events. According to the table above, shows sig. > Α is 0.059> There are currently no Significant Differences Between Trade Volumes Before and After Protest Demonstration Event 212. Here was a graph illustrating the volume of stock trading before and after the occurrence of 212 events a peaceful protest Trading Volume Activity of stock Volume Perdagangan Saham Source: Data processed 15

16 Figure 4. Trading Volume Activity Before and After the Event Figure 4. showed the movement of the TVA for 10 days before and 10 after the event has increased and decreased. Activity volume of stock trading was used to see whether individual investors assess informative report or not and use it in buying or selling stocks that will benefit above normal(abnormalreturns).within 10 days prior to the event (T-1 to T-10) the movement of TVA less stable, thus suspected that the issue of peaceful protest that will take place on December 2, 2016 in part contains information for investors who invest their shares in the Sari Roti company so that the number of shares traded increased, while most investors consider the absence of useful information so that stock trading volume has decreased. In the period from T-1 to T-3 TVA movement has increased, while at T + 1 to T + 3 showed no movement of stock trading volume activity in the market. This indicates that the negative reaction from investors due to their involvement in a peaceful demonstration Sari Roti 212 continues with the action #boikotsariroti bustling social media. Investors consider it as bad news that investors sell shares due to fears of uncertainties in the capital markets. The absence of reaction in the equity markets significantly after the incident showed that investors in Indonesia was still not anticipate quickly the information it receives in the capital market, so there was no significant difference in the period before the event and after the event. The results of the research hypothesis 3 which states that the absence of a significant difference between the volume of stock trading before and after the event, according to the results of research conducted by Yudhanagara, (2010), Fiton, (2015) dan Pratama et al., (2015). But this result is not consistent with studies conducted by (Nurhaeni, 2009) which showed that statistically there was a significant difference to the average TVA before and after the event. The trading volume in the stock market can be used as an important indicator for market participants. Trading volume data will be used to provide a general overview of the market conditions and will help to predict the trend of future prices. Rising trading volume indicates an increase in trading activity undertaken by the investors in the capital market. The more information that is available and the sooner the information provided would facilitate investors in evaluating the portfolio of shares held. Because the information will create supply and demand by investors that led to the stock trading transactions. Changes in stock prices either increase or decrease will usually be correlated with the increase or decrease in the volume of trade. The decline in the price of a particular pattern followed by a very high sales volume, generally will mean that the market (stock) will experience Bearish (price declines). CONCLUSIONS AND RECOMMENDATIONS A. Conclusions Based on the discussion that has been done in the previous chapter, the study aimed to analyze the abnormal return and trading volume activity (TVA) with their event peaceful protest demonstration of 212 that occurred on December 2, 2016 resulted in the following conclusion: 1. Based on the statistical test analysistest Wilxocon Signed Rank for normally distributed data, hypothesis 1, which reads "Do Investors Receiving abnormal Return With the presence of Protest Demonstration Event 212" shows that the abnormal return during the estimation period and the period of the event was not a significant difference. This means that investors do not receive abnormal return to their events. This was because the Indonesian people already familiar with the demonstrations that occurred in the country, so that market participants were more calm in dealing with the situation. 2. Analysis of abnormal return 10 days before and 10 days after the event showed there was no significant difference. This was because the events of the 212 peaceful actions do not contain information useful to investors in making an investment decision or not, so the market does not respond. 16

17 3. Of the different test Trading Volume Activity (TVA) 10 days before and 10 days after event of Protest Demonstrations 212 using Wilxocon Signed Rank test, showed There were differences in Trading Volume Activity (TVA) before and after the events Peaceful actions Demonstrations 212 dated December 2, 2016" rejected, meaning that there was no significant difference between TVA before and after events. Investors have not anticipate rapid market information so that the capital market did not react, there was no significant difference in TVA before and after the events Protest Demonstration 212. The reaction of investors to the event in the Indonesian capital market was quite low indicates the level of efficiency of the Indonesian capital market was still weak. B. Recommendations 1. For subsequent researchers who conduct similar research in order to use a larger sample, longer observation period that more accurate data and use other methods than market adjusted model in calculating the value of the abnormal return. 2. For companies, the results of this study provide input for the company in the face of any external factors, such as economic and political instability in this study is a peaceful demonstration event 212. Since it can impact on market sentiment and issues that can negatively affect the market.reaction. 3. For investors, we recommend using technical analysis and fundamental analysis in analyzing changes in stock prices so that investment decisions are taken more accurate, more rational. It is important for investors to maintain emotional stability and did not panic selling to avoid losses. Referrences Ady, S. U. (2004). Analisis Variabel-variabel yang Berpengaruh terhadap Spread Harga Saham pada Industri Manufaktur di Bursa Efek Jakarta. Majalah Ekonomi Dan Bisnis FE. Universitas Dr. Soetomo, 4(2), Ady, S. U. (2015). Manajemen Psikologi dalam Investasi Saham: Kajian Fenomenologi dalam Sentuhan Behavioral Finance. (M. Bendatu, Ed.) (1st ed.). Jogjakarta: Andi. Ady, S. U., & Mulyaningtyas, A. (2017). Eksplorasi Tingkat Efisiensi Pasar Modal Indonesia, Studi Kasus di Bursa Efek Indonesia. Ekspektra: Jurnal Bisnis Dan Manajemen, 1(2), Ady, S. U., Salim, U., & Susanto, H. (2010). Analisis Variabel yang Berpengaruh terhadap Spread Harga Saham pada Industri Manufaktur di Bursa Efek Jakarta. WACANA, 13(132). Retrieved from Ady, S. U., Sudarma, M., Salim, U., & Aisyah, S. (2013). Psychology s Factors of Stock Buying and Selling Behavior in Indonesia Stock Exchange (Phenomenology Study of Investor Behavior in Surabaya). IOSR Journal of Business and Management, 7(3), Retrieved from Alwi, I. Z. (2008). Pasar Modal Teori dan Aplikasi. Jakarta: Yayasan Pancur Siwah. Anggarani, D. A. (2012). Analisis Pengaruh Kondisi Politik Dalam Negeri terhadap Abnormal Return Index LQ-45(Studi Kasus Pergantian Kepemimpinan di Indonesia Tahun 1999, 2001, 2004 dan Universitas. Fama, E. F. (1970). American Finance Association Efficient Capital Markets : A Review of Theory and 17

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