Abnormal Return and Trading Volume Activity Analysis of The National Demonstration Event Using the Mean Adjusted Model (a Study Of Lq-45 Index Stocks)
Keywords:
Study of events, abnormal returns, trading volume activity, national demonstrations, capital market reactions.Abstract
This study aims to investigate the Indonesian capital market response to the national demonstration held on August 29, 2025 by examining abnormal return and trading volume activity (TVA) among LQ45 constituent firms listed on the Indonesia Stock Exchange. An event study approach was applied using an 11-trading-day event window, consisting of August 22, 25, 26, 27, and 28, 2025 as the pre-event period (t−5 to t−1), August 29, 2025 as the event date (t0), and September 1, 2, 3, 4, and 8, 2025 as the post-event period (t+1 to t+5). Expected return was estimated through the Mean Adjusted Model using a 30-trading-day estimation period preceding the event window. The analysis employed a one-sample t-test to assess abnormal return during the event window and a paired-sample t-test to compare abnormal return and TVA between the pre-event and post-event periods. The results demonstrate that abnormal return did not reach statistical significance throughout the event window. Furthermore, the pre-event and post-event comparisons revealed no statistically significant differences in either abnormal return or TVA. While negative abnormal return values were observed during the observation period, their magnitude was insufficient to indicate a significant market response. The findings suggest that the national demonstration did not generate sufficiently strong information to induce measurable changes in stock prices or trading activity among LQ45 constituent firms.
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