Analysis of the Reaction of the Indonesian Capital Market to the Announcement of the Fed Interest Rate Hike
Study on Lq45 Index Group Companies
Abstract
Information was an indicator that can influence penanam modals' decisions when carrying out transctions in the capital market. The importance of information made penanam modals consider various factors before making investment decisions to reduce the risks they will receive. This research aims to find out how the capital market reaction to the announcement of Fed's interest rate increase by seeing whether there are differences in abnormal returns, trading volume activity, and security return variability. The objects used in this research are companies in the LQ45 index group with a research period of 11 days, consisting of 5 days before, duringt, and 5 days after the event. The method used in this research is event study. The sampling technique used in this research was purposive sampling and 39 companies were obtained. The hypothesis test used in this research is the Wilcoxon Signed-Rank Test. The research results found that there were no difference in abnormal returns and trading volume activity in LQ45 companies before or after the announcement of the Fed's interest rate increase. However, there are differences in security return variability both before and after the announcement of the Fed's interest rate increase.
Keyword-abnormal return, event study, security return variability, trading volume activity.
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