The purpose of this study is to determine the effect of Fed rate and BI rate announcement on abnormal return in Indonesian stock market. This study uses an event study methods of sectoral data from August 2016 to March 2017. The method to calculating abnormal return is using event study, with stages as determination of estimation period, which in this study using event window (-3, +3), (-5, +5), and (-7, +7) and the estimated period of 200 days, the next stage is the calculation of actual return and then followed the calculation of expected return by using ordinary least square (OLS). The results showed that sectoral indices in Indonesia stock exchange tend to have significant differences in the abnormal return is not consistent. This is because there are many other factors that influence abnormal return, such as the US presidential election in November 2016 and February 2017 governor election. The only sectors that responded consistent to the announcement were the transportation, infrastructure and utilization sectors. Meanwhile, agricultural sector did not respond to all the announcement of Fed rate dan BI rate. Investor must be carefully to invest in transportation, infrastructure and utilization sector. Because when fed rate increase and BI rate constant stock price company in transportation, infrastructure and utilization sector will volatility and give a negative abnormal return.
Keywords: Bi Rate, Event Etudy, Fed Rate, Ordinary Least Square, abnormal return
