Dampak Britain Exit (Brexit) Terhadap Abnormal Return Dan Trading Volume Activity Pada Indeks LQ-45 (original) (raw)

2018

Abstract

Britain Exit (Brexit) is a referendum conducted by British on June 23 th , 2016 to determine UK’s membership status in UE. The impact of Brexit event not only happens in UE as an abandoned community. However, some stock market in other countries like Indonesia is also shows change due to the event. Stock market can’t be separated by various economic and non-economic factors as major role in economy a country. Hence , examining the impact of Brexit event on LQ-45 index which is the most liquid index is the purpose of this study . I ts abnormal return and trading volume activity are employed in required the analyzing. Furthermore, event study methodology are employed to identify the impact of Brexit event by using one sample t-test and paired sample t-test with 100 days estimated period and 11 days event window. In addition, to examine its power robustness test is employed. The result found that Brexit event has information which is capable to incur market reaction. However, that isn’...

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