Rahma Nur Praptiwi, Tri Widjatmaka
Reaksi 10 saham kapitalisasi teratas pada peristiwa Pilpres AS tahun 2020 195
various problems related to ecological issues, human rights, and political conditions, are
often the main factors that trigger changes in stock prices on global stock exchanges.
Political issues are part of non-economic conditions and will affect the state of
the capital market. Because changes in the political situation will have an improved or
even worsening impact on economic stability in which investors want to trade in the stock
market. Political stability and stable economic conditions will create a sense of security
for investors to invest their funds in the stock market. In this way, investors usually have
high expectations of political events, and high expectations will be reflected in changes in
stock prices or movements in stock exchange volume in stock trading.
The United States is a superpower that is the mecca of many countries. The
election of the President of the United States (Pilpres) of the United States of America in
2020 determines the climate around the world. The US Presidential Election which was
held on November 3, 2020, was the 59th US Presidential Election. The presidential
candidates for the Presidential Election are Joe Biden-Kamala Harris and Donald Trump-
Mike Pence.
This study has the objective of whether there is a significant difference before
and after the US presidential election on abnormal returns and whether the trading
volume activity between before and after the US presidential election is significantly
different.
According to (Sudarsono, 2014) return is the result of the acquisition of
investment activities. There are two differences in returns, namely the return that is
realized and the return that is expected or expected (investors want this return). Stock
return refers to the value of profits that investors feel when investing. According to
(Hermuningsih, 2018) return is the result of investing in shares, profits or losses can also
be negative or positive. If it is positive, it means that you can gain capital or get realized
results, while negative means that you have suffered a loss or capital loss.
According to Jogiyanto (2009) referred to in (Hutami, 2015) abnormal return is
the difference between the actual return and the return expected by investors. The
difference in return will be positive if the return obtained is greater than the expected
return or the return that is calculated.
According to Jogiyanto (2009) in (FIrga, 2012), there are three estimation models
of expected return, namely:
a. Mean-adjusted model.
The model assumes that the expected return is constant, with the model the
average return realized before the estimated period (estimation period). Using the average
through adjustment model, the expected return computes it by dividing the firm's actual
realized return over the estimated period by the duration rather than the estimated period.
Where the estimated period is the period the event or event occurred (event period) or the
event window (event window).
b. Market model.
The market treatment model takes two stages, namely: (1) an expectation model
that is formed by using the realization during the estimation period (2) the use of the
expectation model to estimate the expected return in the event window. The expectation
model calculates the amount of the expected return that is not affected by market shifts,
market index gains, and expected returns that are not affected by market shifts. How to
calculate the expected return using the market model is calculated using the beta. Beta on
the IDX (Indonesia Stock Exchange). It has been proven to be biased due to thin trading
because the IDX is a market where trading transactions rarely occur.
c. Market adjusted model.
The market-adjusted model assumes that the best predictor for estimating the