ABNORMAL RETURN DI SEKITAR TANGGAL PERISTIWA EKONOMI MAKRO 2018 DI INDONESIA

Sari

This research analyzed the shift on the BI 7-Day Reverse Repo Rate fluctuation on November 15,
2018. This Event provided the chance for INDEX LQ45 stock price to fluctuate in the stock exchange
and to give different abnormal return, before and after BI 7-Day Reverse Repo Rate. The results
showed that the abnormal return around the date, increase from 5.75% to 6% and led to stability and
negative values which can be categorized as bad news. Bad news occured when Bank Indonesia set
the increase rate of BI 7-Day Reverse Repo Rate to 6% and was stable until January, 2019 compared
to before the Event occured. Two months before the Event there were two changes that did not affect
the abnormal return.The adjustment of the new price after the phenomenon did not require a long
time.