UJI PERBEDAAN ABNORMAL RETURN SAHAM PADA SUBINDUSTRI TEKSTIL SEBELUM DAN SESUDAH PENGUMUMAN KEBIJAKAN TARIF TRUMP

EKA FARADILA YASMIN, . (2026) UJI PERBEDAAN ABNORMAL RETURN SAHAM PADA SUBINDUSTRI TEKSTIL SEBELUM DAN SESUDAH PENGUMUMAN KEBIJAKAN TARIF TRUMP. Sarjana thesis, UNIVERSITAS NEGERI JAKARTA.

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Abstract

Penelitian ini bertujuan untuk menguji perbedaan abnormal return dan cumulative abnormal return (CAR) saham pada subindustri tekstil sebelum dan sesudah pengumuman kebijakan Tarif Trump. Penelitian menggunakan metode event study dengan pendekatan kuantitatif pada lima perusahaan subindustri tekstil yang terdaftar di Bursa Efek Indonesia dan memenuhi kriteria purposive sampling. Event date penelitian ditetapkan pada 8 April 2025 sebagai hari perdagangan pertama setelah pengumuman kebijakan tarif Amerika Serikat. Estimation window menggunakan periode 100 hari perdagangan, sedangkan event window utama yang digunakan adalah (-5,+5) dengan robustness check pada event window (-3,+3) dan (-7,+7). Analisis dilakukan menggunakan perhitungan abnormal return (AR), average abnormal return (AAR), dan cumulative abnormal return (CAR) dengan pendekatan Constant Mean Model dan Market Adjusted Model. Pengujian hipotesis menggunakan paired sample t-test. Hasil penelitian menunjukkan bahwa tidak terdapat perbedaan signifikan abnormal return maupun cumulative abnormal return sebelum dan sesudah pengumuman kebijakan Tarif Trump. Analisis AAR juga menunjukkan bahwa sebagian besar hari pengamatan tidak menghasilkan reaksi pasar yang signifikan. Temuan ini mengindikasikan bahwa pasar tidak memberikan respons yang kuat terhadap informasi kebijakan tarif pada saham subindustri tekstil. Selain itu, rendahnya likuiditas saham dan keterbatasan jumlah sampel diduga memengaruhi kemampuan penelitian dalam mendeteksi reaksi pasar secara optimal. Penelitian ini berkontribusi pada pengembangan kajian event study dan Efficient Market Hypothesis (EMH) dalam konteks kebijakan perdagangan internasional, dimana tidak signifikannya abnormal return dan cumulative abnormal return mengindikasikan bahwa informasi publik terkait kebijakan Tarif Trump telah relatif cepat tercermin dalam harga saham subindustri tekstil. Kata kunci: Kebijakan tarif trump, abnormal return, cumulative abnormal return, event study, subindustri tekstil***** This study aims to examine the differences in abnormal return and cumulative abnormal return (CAR) of textile subindustry stocks before and after the announcement of Trump’s Tariff Policy. The study employed an event study method with a quantitative approach on five textile subindustry companies listed on the Indonesia Stock Exchange that met the purposive sampling criteria. The event date was determined as April 8, 2025, representing the first trading day after the announcement of the United States tariff policy. The estimation window used a 100-day trading period, while the main event window applied was (-5,+5), with robustness checks conducted using (-3,+3) and (-7,+7) event windows. The analysis utilized calculations of abnormal return, average abnormal return (AAR), and cumulative abnormal return (CAR) using the Constant Mean Model and Market Adjusted Model approaches. Hypothesis testing was conducted using the paired sample t-test. The results indicate that there were no significant differences in abnormal return or cumulative abnormal return before and after the announcement of Trump’s Tariff Policy. The AAR analysis also showed that most observation days did not generate significant market reactions. These findings indicate that the market did not respond strongly to the tariff policy information on textile subindustry stocks. In addition, low stock liquidity and the limited sample size were suspected to affect the study’s ability to optimally detect market reactions. This study contributes to the development of event study and Efficient Market Hypothesis (EMH) literature in the context of international trade policy, where the insignificance of abnormal return and cumulative abnormal return indicates that public information related to Trump’s Tariff Policy had been relatively quickly reflected in textile subindustry stock prices. Keywords: Trump’s Tariff Policy, abnormal return, cumulative abnormal return, event study, textile subindustry

Item Type:	Thesis (Sarjana)
Additional Information:	1). Prof. Dr. Umi Widyastuti, S.E., M.E ; 2). Destria Kurnianti, S.E., M.SC
Subjects:	Manajemen > Manajemen , Business
Divisions:	FE > S1 Manajemen
Depositing User:	Eka Faradila Yasmin .
Date Deposited:	18 Aug 2026 07:07
Last Modified:	18 Aug 2026 07:07
URI:	http://repository.unj.ac.id/id/eprint/71394

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