Market Reaction Capital Against Demonstration 212 (On company that Get inside Stock Index Indonesian Sharia)

Abstract

The purpose of this research is to analyze the difference of abnormal return of stock and trading volume of activity of company which entered in index of syariah indonesia stock in period before and after action of Demonstration 212 on December 2, 2016. Data collection method used in this research is documentation and literature study by using the method of event study that is testing the market reaction due to an event through indicators of movement of abnormal return and daily stock volume trading activity during the period of 15 days before and 5 days after the demonstration action. While the analysis used is paired sample t-test using SPSS version 22 applications.Based on the calculation, paired sample t-test shows average abnormal return before and after event no significant difference. This shows that Demonstration 212 does not contain information for investors. While the average trading volume activity before and after the event there are significant differences. This shows that the market reacts to the Demonstration 212 events. Based on the analysis with SPSS, the abnormal return hypothesis variable did not show significant difference to the non economic event Demonstration 212 on December 2, 2016 period 15 days before and 15 days after Demonstration, while the hypothetical variables of trading volume activity succeeded in showing a significant difference to the Demonstration 212 action on 2 December 2016 15 days before and 15 days after the action.