Westra Dwipa Adiluhung, Noer Azam Achsani, Bayu Bandono
Abstract: Exchange-Traded Fund is one of the investment products that traded in Indonesia Stocks Exchange. ETFs are a hybrid product of stock and mutual fund, which trade real-time like stock and diverse like a mutual fund. Political events such as presidential elections can influence investors to make investment decisions in capital market. This is because the presidential election contains relevant information that affects the market. The objective of this study is to examine abnormal returns and abnormal volumes on Indonesian ETFs and foreign ETFs in 2014 and 2019 Indonesian presidential elections. This research used event study method. Data used are Indonesian ETFs and Foreign ETFs that had Indonesian underlying assets and actively traded in presidential elections that consist of 90 days of estimation and 10 days on event windows. There is evidence of abnormal return and abnormal volume on both ETFs. The result shows that ETFs can get significant positive abnormal return on day one after the election and in day two abnormal return drop at its lowest point significantly. Investor may take advantage of that day. Abnormal volume shows Indonesian ETFs traded below market expectations and tend not to trade during the 2019 presidential election. Analysis concludes that foreign ETFs have better performance than Indonesian ETFs.
Keywords: abnormal return, abnormal volume, exchange-traded funds ETFs, event study, presidential election