Analisis Market Overreaction dan Price Reversal pada Pengumuman Tarif Pajak Impor Amerika Serikat 2025(Event Study pada Saham LQ45 di Bursa Efek Indonesia)

Abstract

This study aims to analyze the reaction of the Indonesian capital market to the announcement of tthe United States import tariff policy on April 2, 2025, by examining the presence of abnormal return, market overreaction, and price reversal in stocks iincluded in the LQ45 index on the Indonesia Stock Exchange. The research employs a quantitive approach using an event study method with an observation window of 31 trading days, ranging from t-15 to t+15 around the event date. The data consist of daily closing prices of LQ45 stocks and the Composte Stock Price Index (IHSG), obtained from the Indonesia Stock Exchange. Abnormal return are calculated using the market-adjusted model. Subsequently, stocks are calssified into winner and Loser portofolios based on their Cumulative Abnormal Return (CAR). Data analysis techniques include descriptive statistics, the Kolmogorov-Smirnov normality test, and hypothesis testing using wilcoxon signed ranks test in accordance with data distribution characteristics. The result indicate that there is no significant abnormal return among LQ45 stocks around the announcement of the 2025 U.S. imporrt tariff policy, leading tto the rejection of the first hypothesis . furthemore, the analysis of winner and Loser portofolios does not provide siggnifiant evidence of market ovverreacttion or price reversal following the evetn. These findings suggestt that the Indonesian capital market, particulary large-cap and highly liquid stocks within the LQ45 index, responded to the flobal economic policy announcement in a relatively rational and limited manner. Therefore, the U.S. import tariff announcement in 2025 did not trigger significant market anaomalies and supports the semi-strong form of the Efficient Market Hypothesis during the observation period.