Stock Market’s Reaction to Pgn’s Stock Price: Case of Forming Holding Company for Oil and Gas Sector in Bumn (Published)
The stock market reaction to Perusahaan Gas Negara (PGN)’s stock price, case of forming holding company for oil and gas sector in Badan Usaha Milik Negara (BUMN) was analyzed by the correlation between the investors’ reaction on PGN’s stock when the announcement of holding company happened on 25 January 2018. Using the method of event study, daily abnormal return (AR) and daily cumulative abnormal return (CAR) were analyzed under the different event windows (-5, +5, -10, +10, and 15, +15 from the event) for analyzing PGN’s stock market reaction during the holding company event. Furthermore, the significant difference in PGN’s stock market reaction (CAR) compared during the event windows was statistically analyzed using t-test analysis and the influence between CAR and external factor, for example macroeconomic factor (gold price, gas price, oil price, and exchange rate) was determined through regression analysis. Based on the results of this research, market gave a reaction during the event window. Event had a significant and positive influence on CAR both before and after event. Meanwhile, external (macroeconomic) factors generally had no significant influence on CAR during the event window, except gold and gas price at the event window (-5, +5). It can be concluded that PGN’s stock price reaction was caused by the holding event and the external factor did not have any influence on market reaction.
Keywords: Event Study, Stock Price, event window, holding company, market reaction
Impact of Donald Trump Election on Global Indexes (Published)
The purpose of this study was to determine the effect of Donald Trump’s presidential election against abnormal return in the global index. This study uses event studies conducted on the index data from May 2015 until February 2017. Where Donald Trump Presidential election event is divided into four events, the first time to run, the second win in the primaries, the third time as the current elected Trump’s and the fourth as inauguration. This study uses the event window (-5, + 5) and (-15, + 15) of each event, the next step is to calculate the actual return and calculate the expected return using the moving average method. The results showed that most events are considered important by investors is when Trump won in primaries election. This happened because of many factors that occur around the events that influence the abnormal returns, such as the Turkish military coup, and the referendum Brexit. The only index that responded consistently in almost every event is an index of China (SSE) and the American index (S & P 500 and the Dow Jones). When Trump was elected largely global investors responded positively, but in developing countries the index has a negative response.
Keywords: Event Study, Moving Average, Trump Election, Us Presidential Election, abnormal return