Capital market reaction: Before and after the 2019 presidential and legislative general elections in Indonesia

This study identified the difference in levels of abnormal returns and trading volume activity (TVA) before and after the 2019 presidential and legislative elections held in Indonesia. This study had employed a sample of companies listed in the LQ45 stock index (a capitalisation-weighted index of the 45 most heavily traded stocks on the Jakarta Stock Exchange, Indonesia) between January and October 2019. The data analysis technique, namely pairwise difference test, was applied to test five days before and after the 2019 presidential and legislative elections. As a result, the TVA displayed a variance before and after the 2019 simultaneous elections. Nonetheless, insignificant difference was noted for the level of abnormal returns before and after the 2019 presidential and legislative elections in Indonesia. It was evidenced in this study that the Indonesian financial market reflected a semi-strong market; signifying that the LQ45 capital market reacted to the 2019 simultaneous election events due to the high enthusiasm exhibited by the market players towards the political conditions.