International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Call for Papers | Fully Refereed | Open Access | Double Blind Peer Reviewed

ISSN: 2319-7064


Downloads: 128 | Views: 184

Comparative Studies | Finance | Indonesia | Volume 8 Issue 8, August 2019


Influence of Palu Donggala Tsunami Earthquake in 2018 to Abnormal Return toward IDX (Case Study on IDX Insurance Company)

Taupik Sodikin | Astrie Krisnawati


Abstract: Palu Donggala tsunami earthquake in 2018 become one of natural disaster that happens in Indonesia. The event caused a negative effect to the stock price of the company that listed in IDX. Average abnormal return and cumulative abnormal return was used to measure and compare data before and after Palu Donggala tsunami earthquake happen. Market-adjusted model has been used for this research with 21 days event window. Data that used are secondary, and the data sample is nine insurance companies that listed in IDX. The data analysis technique is using normality test on Kolmogorov-Smirnov and Shapiro-Wilk. While Paired Sample Test were used for Hypothesis testing to know whether it has a significant difference. The result on Kolmogorov-Smirnov test has shown that average abnormal return and cumulative average abnormal return data is normally distributed. By Paired Sample Test, the result of average abnormal return shows that the phenomena are not significantly impacting because there is no significant difference on average abnormal return before and after Palu Donggala tsunami earthquake. However, the result of cumulative average abnormal return using Paired Sample Test shows that the phenomena are significantly impacting because there is a significant difference in cumulative average abnormal return before and after Palu Donggala tsunami earthquake.


Keywords: Event Study, Abnormal Return, Average Abnormal Return, and Cumulative Average Abnormal Return


Edition: Volume 8 Issue 8, August 2019,


Pages: 1919 - 1923


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