Event Study: Reaksi Pasar Saham Sektor Terdampak DI Bursa Efek Indonesia Akibat Tarif Resiprokal Amerika Serikat

Abstract

This study aims to analyze the stock market reaction of affected sectors on the Indonesian Stock Exchange (IDX) following the announcement of the United States reciprocal tariff policy on April 2, 2025. The study employs an event study approach by examining abnormal returns of companies in the textile, garment, and footwear sector; machinery, automotive, electronics, and cable sector; as well as the palm oil sector listed on the IDX. The observation period covers 10 trading days before and 10 trading days after the announcement date (t-10 to t+10). The sample consists of 59 companies selected using a purposive sampling technique. Abnormal returns were calculated using the market-adjusted model, while hypothesis testing was conducted using the Wilcoxon Signed Rank Test due to the non-normal distribution of the data. The results indicate that the announcement of the United States reciprocal tariff did not generate significant abnormal returns in each affected sector. The significance values were 0.135 for the textile, garment, and footwear sector, 0.178 for the machinery, automotive, electronics, and cable sector, and 0.090 for the palm oil sector, all exceeding the 0.05 significance level. However, there was a significant difference in abnormal returns between the pre- announcement and post-announcement periods, with a significance value of 0.019. Furthermore, the sectoral comparison revealed that only the palm oil sector experienced a significant difference in abnormal returns, while the other sectors showed no significant differences. These findings suggest that the Indonesian capital market reacted to the international trade policy through changes in abnormal return patterns before and after the event, although the reaction was not significant within each sector during the post-announcement period.