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All Journal Danadyaksa: Post Modern Economy Journal
Ratu Livia Ramadhani
Universitas Tadulako, Palu, Indonesia
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Analysis of Abnormal Return and Trading Volume of Sector Stocks Energy on the Indonesian Stock Exchange Due to Conflict Geopolitics of the United States, and Israel-Iran Ratu Livia Ramadhani; Muhammad Yunus Kasim; Munawarah; Rizkiani Iskandar
Danadyaksa: Post Modern Economy Journal Vol. 4 No. 2 (2026): Post Modern Economy Journal
Publisher : Yayasan Pendidikan Islam Bustanul Ulum Mojokerto

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.69965/danadyaksa.v4i2.1013

Abstract

This study analyzes the reaction of the Indonesian capital market to the US–Israel–Iran geopolitical conflict in the energy sector listed on the Indonesia Stock Exchange. The research applies a quantitative event study method focusing on abnormal returns and trading volume activity. The sample consists of 21 energy-sector stocks, the event window covers five trading days before to five trading days after 22 June 2026, expected returns are estimated with the market model, and differences are tested using the paired t-test and the Wilcoxon signed-rank test. The results show that the difference in abnormal return before and after the event is not statistically significant, while trading volume activity declines significantly after the event. These findings suggest that the impact of geopolitical conflict information is reflected mainly in the intensity of investor trading rather than in abnormal returns, which is not inconsistent with the semi-strong form of market efficiency in the Indonesia Stock Exchange.
Co-Authors Muhammad Yunus Kasim Munawarah Rizkiani Iskandar