The Influence of Stock Prices and Trading Volume on Abnormal Return of LQ45 Shares Pre and Post 2019 Election

Abstract

This research analyzed the effect of stock prices and trading volume levels on abnormal returns on
the Indonesian stock exchange during the period from April 2019 to June 2019. This research used the
market-adjusted model method and the Kolmogorov Smirnov normality test with a sample size of 45
companies with the largest market capitalization and transaction value highest on the regular market in the
last 12 months. For data processing used the SPSS-24 program. The results showed that the stock price after
the announcement of the election was, on average, smaller than the pre-election announcement period. This
shows that the condition of stock price returns at the pre-announcement point is decreasing and has a longer
time than when the condition of the stock price decline. Meanwhile, the condition of trading volume before
and after the announcement of the election results tends to decline, although not significantly. The average
post-election announcement abnormal return is smaller than the pre-election announcement period. This
indicates an unfavorable abnormal return after the election announcement for investors, which has an impact
on the final transaction decision.