Do Presidential Debates and Elections 2024 Affect Abnormal Return and Trading Volume Activity in the Energy and Infrastructure Sector? Arja Sadjiarto (a*), Adeline Eugenia Sunata (a), Aurellia Janice Marcella Tanaya (a)
a) Tax Accounting Program, School of Business and Management, Petra Christian University, Indonesia
Abstract
This study aims to analyze the influence of political events, especially Indonesia^s presidential debates and election in 2024 on abnormal returns and trading volume activity of stocks in the energy and infrastructure sectors. Utilizing a quantitative research approach, the study samples 147 public companies within these sectors. The data comprises closing stock prices, the composite stock price index, and daily trading volumes before, during, and after selected political events. The research employs an event study model to measure abnormal returns and a mean difference test to analyze the impact of political events on changes in trading volume. The findings indicate a significant difference in average abnormal returns during the first debate period across all sample companies. In the second debate period and following the election results announcement, the study reveals differences in average abnormal returns specifically for all infrastructure listed companies. However, there are no differences in average abnormal returns for the entire sample during the third debate, fourth debate, and on election day. Political connections do not significantly affect abnormal returns and trading volume activity for issuers in the infrastructure and energy sectors in Indonesia. A novelty aspect of this research is the examination of political connections to observe stock market reactions during the presidential election period. The limitations of this study include the restricted sampling to companies in the energy and infrastructure sectors. The implications highlight the importance of understanding market dynamics and the factors influencing investor decisions.
Keywords: abnormal return, trading volume activity, presidential debates and election
