MARKET REACTION TO BUDGET EFFICIENCY POLICY : AN EVENT STUDY ON HOTEL, RESORT AND CRUISE LINE STOCKS IN INDONESIA
Keywords:
Abnormal Return; Event Study; Semi-strong Market; Trading Volume Activity; Government Policy
Abstract
This study aims to analyze the stock market reaction to the announcement of government budget efficiency using abnormal returns and trading volume as proxies for investor response. The research employs an event study method with the Wilcoxon Signed Rank Test to examine differences in averages before and after the announcement. The sample consists of 17 listed stocks in the hotel, resort, and cruise lines sectors in Indonesia. The results indicate that there are no significant differences in average abnormal returns or trading volume around the announcement. This finding suggests that the announcement of government budget efficiency did not trigger a strong market reaction, which may be due to the information being anticipated by investors, its medium- to long-term impact, or a neutral investor response. The results support the semi-strong form of the efficient market hypothesis, where stock prices reflect all relevant public information. This study provides implications for investors and policymakers in understanding market reactions to fiscal policy announcements and can serve as a basis for further research on public policy and capital markets.
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Yuliawati, T., Waspada, I., & Sari, M. (2024). Mengukur Efisiensi Pasar: Pengaruh Stock Split Terhadap Aktivitas Perdagangan Dan Return Saham Di Indonesia. Jurnal Akuntansi, 19(2), 107–115. http://jurnal.unsil.ac.id/index.php/jak
Dhaoui, A., & Bacha, S. (2017). Investor emotional biases and trading volume’s asymmetric response: A non-linear ARDL approach tested in S&P500 stock market. Cogent Economics and Finance, 5(1). https://doi.org/10.1080/23322039.2016.1274225
Fama, E. F. (1970). Stock market price behavior. The Journal of Finance, 25(2), 383–417.
Gunawan, D. N. P. H., & Wirama, D. G. (2024). Reaksi Pasar atas Pergantian Nama Perusahaan yang Terdaftar di Bursa Efek Indonesia Tahun 2012–2022. Jurnal Samudra Ekonomi Dan Bisnis, 15(1), 89–99. https://doi.org/10.33059/jseb.v15i1.8197
Hartono, J. (2017). Teori Portofolio dan Analisis Investasi Edisi Kesebelas. BPFE.
Hayumurti, S. K., & Khomsiyah. (2025). Event Study: Capital Market Reaction Before and After the Announcement of Presidential and Vice Presidential Candidates 2024. Owner Riset & Jurnal Akuntansi, 9(2), 1295–1303. https://doi.org/10.33395/owner.v9i2.2675
Lesmana, S., & Sumani. (2023). Abnormal Return Analysis Before and After General Election in Asia. The Winners, 23(2), 113–119. https://doi.org/10.21512/tw.v23i2.7083
Mallikarjunappa, T., Saldanha, D., & Hawaldar, I. T. (2025). Do stock markets exhibit cyclical market efficiency? Emerging markets’ perspective. Cogent Economics and Finance, 13(1). https://doi.org/10.1080/23322039.2025.2476094
Martins, A. M., Correia, P., & Cró, S. (2023). Stock market reaction to the military conflict between Russia and Ukraine: an event study for the European tourism and hospitality industry. Journal of Applied Economics, 26(1). https://doi.org/10.1080/15140326.2023.2261756
Mcwilliams, A., & Siegel, D. (1997). Event studies in management research: Theoretical and empirical issues. Academy of Management Journal, 40(3), 626–657. https://doi.org/10.2307/257056
Millawati, N. P. S., & Wirakusuma, M. G. (2024). Preferensi Investor di Sekitar Cum-Dividend Date Sebelum dan Saat Masa Pandemi Covid-19. E-Jurnal Akuntansi, 34(2), 282–295. https://doi.org/10.24843/EJA.2024.v34.i02.p01
Muna, H., & Khaddafi, M. (2022). The Effect of Stock Split on Stock Return, Stock Trading Volume, and Systematic Risk in Companies Listed on the Indonesia Stock Exchange. International Journal of Finance, Economics and Business, 1(1), 51–56. https://doi.org/10.56225/ijfeb.v1i1.4
Ntim, C. G., English, J., Nwachukwu, J., & Wang, Y. (2015). On The Efficiency of The Global Gold Markets. International Review of Financial Analysis, 41, 218–236. https://doi.org/10.1016/j.irfa.2015.03.013
Obradović, S., & Tomić, N. (2017). The effect of presidential election in the USA on stock return flow – a study of a political event. Economic Research-Ekonomska Istrazivanja, 30(1), 112–124. https://doi.org/10.1080/1331677X.2017.1305802
Pandey, A., Bhama, V., & Mohapatra, A. K. (2020). Trading strategy using share buybacks: Evidence from India. Investment Management and Financial Innovations, 17(2), 169–182. https://doi.org/10.21511/imfi.17(2).2020.14
PHRI, P. H. dan R. I. (2025). Hasil Survei: Dampak Inpres Efisiensi, 88 Persen Hotel Memprediksi Bakal Melakukan PHK. https://www.phri.or.id/media/detail/4229
Phuong, L. C. M. (2021). Food and beverage stocks responding to COVID-19. Investment Management and Financial Innovations, 18(3), 359–371. https://doi.org/10.21511/imfi.18(3).2021.30
Prameswari, I. A. N., & Wirakusuma, M. G. (2018). Analisis Reaksi Pasar Modal Pada Peristiwa Pemilihan Gubernur Dki Jakarta Tahun 2017. E-Jurnal Akuntansi Univeritas Udayana, 22(2), 944–975. https://doi.org/10.24843/EJA.2018.v22.i02.p05
Praptiwi, R. N., & Widjatmaka, T. (2021). Keterkaitan Abnormal Return Dan Trading Volume Activity Pada Berbagai Peristiwa Pemilu. Remittance Jurnal Akuntansi Keuangan Dan Perbankan, 02(02), 38–54. https://doi.org/10.56486/remittance.vol2no2.134
Instruksi Presiden Republik Indonesia Nomor 1 Tahun 2025, (2025).
Pujaastawan, G., & Wiksuana, I. G. B. (2020). Market Reaction to The Announcement of General Election Result of The President and Vice President of Indonesia in 2019 (Study on LQ 45 Stock Index on The Indonesia Stock Exchange). European Journal of Business and Management, 12(3), 120–123. https://doi.org/10.7176/ejbm/12-3-15
Putra, P. C. A. (2025). Single Index Model Sebagai Dasar Pembentukan Portofolio Optimal. Jurnal Ilmiah Manajemen, Ekonomi, & Akuntansi (MEA), 9(3), 1818–1829. https://doi.org/10.31955/mea.v9i3.6486
Rahman, A. H., Widagdo, B., & Ambarwati, T. (2021). Impact of Before and After Stock Split on Trading Volume Activity, Stock Returns, and Abnormal Returns (Study on Companies Listed on the IDX in 2015-2019). Jamanika (Jurnal Manajemen Bisnis Dan Kewirausahaan), 1(3), 173–179. https://doi.org/10.22219/jamanika.v1i3.18237
Ratnaningsih, N. M. D., & Widanaputra, A. A. G. P. (2019). The Reaction of Indonesian Capital Market to Political Event the Announcement of Indonesia Presidential Election 2019 Results (Event Study on KOMPAS 100). International Research Journal of Management, IT and Social Sciences, 6(6), 87–94. https://doi.org/10.21744/irjmis.v6n6.765
Setyowati, S. A. E., & Hariyati. (2022). Analisis Reaksi Pasar Modal Pada Peristiwa Politik Pemilihan Umum Di Indonesia, Malaysia, dan Thailand. Akunesa: Jurnal Akuntansi Unesa, 10(2), 46–56. https://doi.org/10.26740/akunesa.v10n2.p46-56
Shaikh, I. (2019). The U.S. Presidential Election 2012/2016 and Investors’ Sentiment: The Case of CBOE Market Volatility Index. SAGE Open, 9(3), 1–18. https://doi.org/10.1177/2158244019864175
Singh, G., & Padmakumari, L. (2020). Stock market reaction to inflation announcement in the Indian stock market: A sectoral analysis. Cogent Economics and Finance, 8(1). https://doi.org/10.1080/23322039.2020.1723827
Sopyana, N. P. Li., & Yasa, G. W. (2016). Perbedaan Reaksi Pasar Modal Terhadap Peristiwa Pemilihan Presiden Dan Wakil Presiden Republik Indonesia Tahun 2014. Jurnal Buletin Studi Ekonomi, 21(2), 136–146.
Souffargi, W., & Boubaker, A. (2024). Impact of political uncertainty on stock market returns: the case of post-revolution Tunisia. Cogent Social Sciences, 10(1). https://doi.org/10.1080/23311886.2024.2324525
Yuliawati, T., Waspada, I., & Sari, M. (2024). Mengukur Efisiensi Pasar: Pengaruh Stock Split Terhadap Aktivitas Perdagangan Dan Return Saham Di Indonesia. Jurnal Akuntansi, 19(2), 107–115. http://jurnal.unsil.ac.id/index.php/jak
Published
2026-04-08
How to Cite
Putra, P., Kusuma, I., & Yani, N. (2026). MARKET REACTION TO BUDGET EFFICIENCY POLICY : AN EVENT STUDY ON HOTEL, RESORT AND CRUISE LINE STOCKS IN INDONESIA. Jurnal Ilmiah Manajemen, Ekonomi, & Akuntansi (MEA), 10(1), 2319-2334. https://doi.org/10.31955/mea.v10i1.7241
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