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All Journal Luxury: Landscape of Business Administration
Yasti Sari
Institut Teknologi dan Bisnis Master
Economics, Econometrics & Finance Social Sciences

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Analysis of the Impact of The India–Pakistan War on Abnormal Return and Trading Value Activity (TVA) of LQ45 Stocks Yasti Sari; Harry Patuan Panjaitan; Evelyn Wijaya
Luxury: Landscape of Business Administration Vol. 4 No. 2 (2026): Luxury: Landscape of Business Administration
Publisher : First Ciera Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.61230/luxury.v4i2.155

Abstract

This study aims to analyze the impact of the war between India and Pakistan on abnormal return and trading value activity (TVA) of stocks listed in the LQ45 index on the Indonesia Stock Exchange (IDX). The research applies an event study methodology with a 7-day observation window (–3, 0, +3) around three major events: the Pahalgam attack on April 22, 2025, Pakistan’s retaliatory strike on India on May 7, 2025, and the claim of Pahalgam assailants’ killing on July 28, 2025. The sample consists of 45 LQ45 companies, and the analysis techniques include normality test, average abnormal return (AAR), cumulative average abnormal return (CAAR), and paired sample t-test. The results indicate that certain events generated significant abnormal returns on specific days; however, in general, there was no significant difference before and after the events for most stocks. Meanwhile, TVA analysis shows an increase in trading activity during the conflict, although the paired sample tests were not significant in most periods. These findings suggest that Indonesian investors tend to respond selectively to geopolitical conflicts, with reactions more reflected in trading volume fluctuations rather than stock price movements.
Co-Authors Evelyn Wijaya Harry Patuan Panjaitan