Analisisi perbedaan abnormal return dan trading volume terhadap pergantian menteri keuangan activity: Studi peristiwa pada saham perbankan dan energi
DOI:
https://doi.org/10.53088/jerps.v6i2.3027Keywords:
Abnormal Return, Event Study, Market Reaction, Trading VolumeAbstract
Political events, particularly those related to changes in strategic economic positions, often attract investor attention due to their potential to influence economic stability and the direction of a country’s policy. The replacement of the Minister of Finance, as the primary authority in fiscal policy, can trigger market reactions reflected in stock price movements and trading activity. Previous studies have shown that political events and government policies can elicit significant market responses, including abnormal returns and changes in trading volume. In this context, this study analyzes the reaction of the Indonesian capital market to the announcement of the replacement of the Minister of Finance on September 8, 2025, focusing on stocks in the banking and energy sectors. This study employs a quantitative approach using an event study method with an observation window of 31 trading days, consisting of 15 days before, 1 day during, and 15 days after the event, using daily stock prices and trading volume data. The analysis compares conditions before and after the event using nonparametric statistical methods. The results indicate that there is no significant difference in abnormal returns between the two sectors; however, the banking sector shows a significant increase in trading volume. These findings suggest that the market responds more to political events through changes in trading activity rather than abnormal returns.
References
Afonso, A., Alves, J., Jalles, J., & Monteiro, S. (2025). Energy price dynamics in the face of uncertainty shocks and the role of exchange rate regimes: A global cross-country analysis. The Journal of Economic Asymmetries, 32, e00425. https://doi.org/10.1016/j.jeca.2025.e00425
Agustina, Y. (2016). Dampak Pengangkatan Kembali Sri Mulyani Indrawati (SMI) Menjadi Menteri Keuangan Republik Indonesia. Jurnal Akuntansi, Bisnis, Dan Manajemen, 23(2), 90–102.
Amirah, F., Farhan, A., & Rahardjo, K. A. (2025). Event Study Pandemi Covid-19 dan Kinerja Keuangan terhadap Harga Saham Perusahaan yang Terdaftar di Bursa Efek Indonesia (BEI). Journal of Economics, Business, Management, Accounting and Social Sciences, 3(5), 312–322. https://doi.org/10.63200/jebmass.v3i5.211
Arviani, H. A., & Khoirunnisa, R. M. (2017). Reaksi Saham Indeks JII Terhadap Kabinet Kerja Tahun 2015 di Bursa Efek Indonesia. Jurnal Fokus, 7(1), 36–45.
Aryonindito, S., Dahyar, S. S., Cempaka, A. G., & Saputro, V. S. (2025). Market Reactions To Domestic And Global Policy Events: An Event Study Of The Indonesian Capital Market In Early 2025. International Journal of Management and Business Economics, 4(1), 1–5. https://doi.org/10.58540/ijmebe.v4i1.1011
Aulia, F. N. (2026). Analysis of Abnormal Return and Trading Volume Activity on the Announcement of Danantara Holding in Conventional Banks Listed on the Indonesia Stock Exchange ( IDX ). Al-Kharaj: Journal of Islamic Economic and Business, 8(1), 634–644. https://doi.org/10.24256/kharaj.v8i1.9313
Damayanti, E., Larasati, R. D., & Hana, K. F. (2020). Reaksi Pasar Modal Indonesia Terhadap Pengumuman Indonesia Sebagai Negara Maju. POINT (Jurnal Ekonomi Dan Manajemen), 2(1), 1–12. https://doi.org/10.46918/point.v2i1.500
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383. https://doi.org/10.2307/2325486
Fariantin, E., Setiawati, E., & Asdiansyuri, U. (2024). Analisis Abnormal Return dan Trading Volume Activity Untuk Mengukur Terjadinya Januari Effect Pada Kelompok Saham Indeks Lq 45 Di BEI. Jurnal Ganec Swara, 18(1), 296–302.
Hasib, F. F., Azasi, D. N. R., Laila, N., Hendratmi, A., & Sukmaningrum, P. S. (2017). The Effect of the Working Cabinet Reshuffle Volume II on Abnormal Return and Abnormal Trading Volume Activity of the Companies Listed in Jakarta Islamic Index (JII). Proceedings of the International Conference on Business and Management Research (ICBMR-17), 36(Icbmr), 468–478. https://doi.org/10.2991/icbmr-17.2017.43
Hatmanti, A., & Sudibyo, B. (2017). Pengaruh Pelantikan Kabinet Kerja Hasil Reshuffle Jilid Ii Terhadap Harga Saham Lq-45. Jurnal Economia, 13(1), 1. https://doi.org/10.21831/economia.v13i1.11797
Jogiyanto, H. (2010). Teori portofolio dan analisis investasi. Edisi Ketujuh. BPFE. Yogyakarta, 579–591.
Nurliana, D., & Yusnita, R. R. (2026). Reaksi Pasar Modal Perusahaan Sektor Energi Di Bursa Efek Indonesia Terhadap Konflik Geopolitik Israel. Journal Of Islamic Finance And Accounting Research, 5(1), 53–72. https://doi.org/10.25299/jafar.2026.27237
Nurvita, T. (2019). Pengaruh hasil pengumuman pemilihan presiden 2019 terhadap harga saham di Bursa Efek Indonesia. Jurnal Manajemen Bisnis, 22(3), 337–347.
Ridho Dyan Alvionta, Jhonny Ferlion, Frenly Saputra, Ade Yuniati, & Agus Satrya Wibowo. (2025). Dampak Pergantian Menteri Keuangan terhadap Volatilitas Saham Sektor Perbankan di Bursa Efek Indonesia. Jurnal Wahana Akuntansi, 20(2), 146–156. https://doi.org/10.21009/wahana.20.0211
Rosman, M., & Yudanto, A. A. (2022). Analisis Event Study antarsektor di Bursa Efek Indonesia terhadap Peristiwa Pandemi Covid-19. INOBIS: Jurnal Inovasi Bisnis Dan Manajemen Indonesia, 5(4), 581–586. https://doi.org/10.31842/jurnalinobis.v5i4.252
Rundengan, J. M., Mangantar, M., & Maramis, J. B. (2020). Reaksi Pasar atas Pelantikan Sri Mulyani sebagai Menteri Keuangan pada 27 Juli 2016 (Studi pada Saham LQ-45). Jurnal EMBA, 5(2), 2731–2741. https://doi.org/10.35794/emba.v5i3.17151
Suci, M. P. (2021). Analisis Reaksi Pasar Modal Terhadap Peristiwa Pengumuman Merger Bank Syariah (Event Study pada Saham BRI Syariah). Jurnal Ekonomi, Manajemen, Bisnis Dan Sosial (EMBISS), 1(4), 340–352.
Sukma, F. D., & Susandini, A. (2022). Analisis Perbandingan Harga Saham, Volume Perdagangan, Dan Frekuensi Perdagangan Saham Sebelum Dan Sesudah Pengumuman Kasus Pertama Covid-19 di Indonesia (Event Study Pada Perusahaan Telekomunikasi Yang Terdaftar di BEI). Jurnal Kajian Ilmu Manajemen (JKIM), 2(1), 59–67. https://doi.org/10.21107/jkim.v2i1.15513
Sunardi, S., Noviolla, C., Supramono, S., & Hermanto, Y. B. (2023). Stock market reaction to government policy on determining coal selling price. Heliyon, 9(2), e13454. https://doi.org/10.1016/j.heliyon.2023.e13454
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2026 Sulistio Murti Mulyono, Tita Nurvita
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Authors who publish with this journal agree to the following terms:
The author(s) retain copyright and grant the journal the right of first publication with the work simultaneously licensed under a CC BY-SA 4.0 license that allows others to remix, adapt, and build upon the work even for commercial purposes, as long as they credit the author(s) and license their new creations under the identical terms.
License details: https://creativecommons.org/licenses/by-sa/4.0/
