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All Journal ProBisnis : Jurnal Manajemen Economics and Business Journal
Nila Rahayu
Universitas Mataram, Indonesia
Humanities Computer Science & IT Economics, Econometrics & Finance Industrial & Manufacturing Engineering Social Sciences

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Market Reaction to the Latest Appointment of The Finance Minister: Empirical Evidence Through Abnormal Return, Trading Activity and Stock Volatility on The LQ45 Index I Ketut Tri Anansa; Siti Aisyah Hidayati; Nila Rahayu
Economics and Business Journal (ECBIS) Vol. 4 No. 5 (2026): July
Publisher : PT. Maju Malaqbi Makkarana

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47353/ecbis.v4i5.478

Abstract

This study examines the Indonesian capital market reaction to the announcement of the appointment of Purbaya Yudhi Sadewa as Minister of Finance on September 8, 2025. Using an event study approach, the analysis focuses on companies included in the LQ45 index and observes market reaction within an eleven-day event window from five trading days before to five trading days after the announcement. Market reaction is measured using abnormal return, trading volume activity, and stock volatility. The data consist of daily stock prices, trading volume, outstanding shares, and market index data obtained from capital market data sources. Because the normality test indicates that the data are not normally distributed, the hypotheses are tested using the Wilcoxon Signed Rank Test. The findings show significant differences in abnormal return, trading volume activity, and stock volatility before and after the announcement. These results indicate that the appointment of the Minister of Finance contains information value for investors and is associated with changes in price reaction, trading intensity, and perceived market risk among LQ45 stocks. The study contributes to event study literature by documenting market responses to a strategic fiscal leadership event in an emerging capital market
Pengaruh Quantitative Easing Amerika Serikat terhadap Pergerakan Harga Saham Indonesia melalui Capital Inflow dan Capital Outflow Adrianda Anwar; Nila Rahayu; Zamroni Alpian Muhtarom; Adika Paranata
ProBisnis : Jurnal Manajemen Vol. 16 No. 06 (2025): December: Management Science
Publisher : Lembaga Riset, Publikasi dan Konsultasi JONHARIONO

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Abstract

Penelitian ini bertujuan untuk menganalisis pengaruh kebijakan Quantitative Easing (QE) Amerika Serikat terhadap pergerakan harga saham Indonesia, dengan menempatkan Capital Inflow dan Capital Outflow (CICO) sebagai variabel mediasi yang merepresentasikan dinamika arus modal asing. Menggunakan data runtun waktu bulanan 32 observasi dari Januari 2023 sampai Agustus 2025, penelitian ini mengaplikasikan metode regresi linier berganda dan Sobel Test untuk menilai jalur transmisinya. Hasil utama menunjukkan bahwa QE Amerika Serikat memiliki pengaruh negatif signifikan terhadap harga saham Indonesia, mengindikasikan bahwa ekspansi likuiditas global tidak selalu direspons positif oleh pasar domestik, terutama ketika dipersepsikan sebagai sinyal meningkatnya ketidakpastian ekonomi global. Sementara itu, CICO terbukti memiliki pengaruh positif signifikan terhadap harga saham, menegaskan peran dominan arus modal asing sebagai pendorong utama aktivitas pasar modal Indonesia. Selain itu, CICO terbukti memediasi sebagian hubungan antara QE dan pergerakan harga saham, meskipun pengaruh langsung QE terhadap pasar masih lebih kuat dibandingkan efek tidak langsungnya melalui arus modal. Temuan ini menunjukkan bahwa transmisi QE Amerika Serikat terhadap pasar saham Indonesia berlangsung melalui mekanisme yang kompleks, melibatkan saluran likuiditas global dan perubahan sentimen risiko investor. Penelitian ini memberikan kontribusi penting bagi literatur spillover kebijakan moneter global serta implikasi strategis bagi regulator dan pelaku pasar dalam mengantisipasi volatilitas pasar modal Indonesia di tengah dinamika kebijakan moneter Amerika Serikat.
Co-Authors Adika Paranata Adrianda Anwar I Ketut Tri Anansa Siti Aisyah Hidayati Zamroni Alpian Muhtarom