Judul: Indonesian Stock Market Reaction to the  Russia-Ukraine Invasion (Case Study of Wheat-Based Product Issuers)
Abstrak: Perang antara Rusia dan Ukraina mengakibatkan adanya pembatasan ekspor bagi Rusia dan kerusakan fasilitas serta blokade pada pelabuhan menyebabkan Ukraina tidak bisa melakukan kegiatan ekspor. Kemudian berdampak pada fluktuasi harga komoditas gandum global akibat gangguan rantai pasok komoditas dari kedua negara yang merupakan produsen sekaligus eksportir penting gandum global. Oleh karena itu, pengumuman invasi Rusia terhadap Ukraina berpotensi mengandung information content yang relevan sehingga berpotensi memengaruhi keseimbangan harga pasar dan pada akhirnya terjadilah reaksi pasar. Tujuan dari penelitian ini adalah untuk menganalisis reaksi pasar saham Indonesia yang ditinjau dari abnormal return pada emiten produk berbahan gandum serta perbedaan abnormal return dan trading volume activity sebelum dan sesudah pengumuman. Metode penelitian yang digunakan yaitu event study dengan periode pengamatan (t-10, t+10). Terdapat sembilan emiten yang dipilih melalui teknik purposive sampling. Hasil penelitian menunjukkan bahwa saham emiten produk berbahan gandum di pasar saham Indonesia bereaksi negatif melalui abnormal return mulai sebelum peristiwa hingga sesudah peristiwa selama periode jendela yang ditetapkan. Hasil uji beda menunjukkan bahwa tidak terdapat perbedaan yang signifikan pada abnormal return antara sebelum dan sesudah pengumuman. Berbeda halnya dengan trading volume activity yang menunjukkan hasil bahwa terdapat perbedaan yang signifikan antara sebelum dan sesudah pengumuman., The war between Russia and Ukraine resulted in export restrictions for Russia, and the damage to facilities and blockade of ports caused Ukraine to halt its export activities. Consequently, this had an impact on the fluctuation of global wheat commodity prices due to disruptions in the commodity supply chain from both countries, which are important producers and exporters of wheat globally. Therefore, the announcement of Russia's invasion of Ukraine potentially contains relevant information content that could influence market price equilibrium, ultimately leading to market reactions. The aim of this study is to analyze the Indonesian stock market's reaction, specifically the abnormal return of wheat-based product issuers, and to examine the differences in abnormal return and trading volume activity before and after the announcement. The research method used is an event study with an observation period of (t-10, t+10). Nine issuers were selected using purposive sampling technique. The research findings indicate that the stocks of wheat-based product issuers in the Indonesian stock market reacted negatively, showing abnormal returns both before and after the event during the designated observation period. The test results show that there is no significant difference in abnormal return between before and after the announcement. However, in contrast, the trading volume activity shows a significant difference between before and after the announcement.
Keyword: abnormal return, event study, market reaction, trading volume activity, wheat-based issuers