The Influence of Capital City Redeployment’s Announcement on Abnormal Return and Trading Volume Activity of the LQ-45 Companies

Abstract

This study aims to investigate the difference between abnormal return and trading volume activity before and after the occurrence of the capital city deployment announcement at the listed companies in LQ-45 index stock. This study carried out by using event study analysis method with 11(eleven) exchange days: 5 (five) days before, 1-day event date, and 5 (five) days after the announcement. The population is companies listed in LQ-45 index stock. The sample was selected with a purposive sampling method consisting of 44 abnormal distributed companies using One-Sample Kolmogorov-Smirnov. The data were analyzed by using Wilcoxon Sing Rank Test. The result showed that: a). there is no significant difference between abnormal return average toward before and after the occurrence., and b). there is a significant difference in trading volume activity before and after the announcement.