REAKSI PASAR MODAL INDONESIA TERHADAP PELUNCURAN RUDAL KOREA UTARA

Abstract

This study aimed to examine the Indonesia capital market reaction to the North Korean missile launching. The type of this research is an event study by using the market model estimation to estimate the expected return. This research used 100 days as the estimated period and 9 days as the windows period. The sample of this research consisted of 76 companies listed in the Index Kompas 100. The result shew that the stock price did not react negatively toward North Korean missile launching. In this research, the emergence of disturbing events at t+3 and t+4 that North Korea succeded in testing hydrogen bomb disturb the events observed by the author. At t +3 and t+4, the stock price react negatively and significantly. The result of this research supported the Signaling theory that the information about a country’s particular events such as information about North Korea’s succes in testing a hydrogen bomb was interpreted as a negative signal (bad news)