84 REAKSI PASAR MODAL INDONESIA TERHADAP KEMENANGAN PRESIDEN REPUBLIK INDONESIA DALAM PILPRES 2019 Yani Riyani 1) , Kartawati Mardiah 2) , & Susan Andriana 3) 1, 2, 3 Jurusan Akuntansi, Politeknik Negeri Pontianak 1 email: yani_nizar@yahoo.com 2 email: kartawatimardiah@ymail.com 3 email: susan.a_maylakayla@yahoo.co.id Abstract This study aims to determine whether the announcement of the victory of the President of the Republic of Indonesia in Pilpres 2019 caused a reaction on the Indonesian capital market and whether there were differences in market reactions before and after the announcement and whether there were differences in reactions between Shariah shares and non-Sharia shares in Pilpres 2019. This research is an event study with the following research procedures: determine the event window, determine population and sample, collect price data and market capitalization value, calculate actual return, calculate expected return, calculate abnormal return of each stock by reducing actual return with expected return of each stock, calculating the average abnormal return and calculating the standard error, doing descriptive analysis, testing hypotheses using one sample t test analysis, paired sample t-test or Wilcoxon test and interpreting the test results. The population in this study is all issuers who are members of the Bank Sub Sector, amounting to 45 companies. By using purposive sampling, 34 companies were sampled. This study found that first, the Indonesian capital market did not react when the announcement of the victory of the President of the Republic of Indonesia in Pilpres 2019. Second, there was no difference in market reaction due to the announcement of the victory of the President of Indonesia in Pilpres 2019 before and after the announcement of the winner. And there is no difference in market reaction due to the announcement of the victory of the President of the Republic of Indonesia in Pilpres 2019 for shares of Sharia companies with shares of non-Sharia companies. This research contributed empirical about the content information of the announcement that can cause market reacts. Keywords: market reaction, expected return, actual return, abnormal return 1. PENDAHULUAN Pasar Modal selaku instrumen ekonomi mengalami perkembangan yang sangat pesat yang didalamnya terjadi perdagangan saham perusahaan. Perdagangan saham tersebut dipengaruhi oleh peristiwa-peristiwa internal maupun eksternal yang menyebabkan pasar bereaksi. Pasar akan bereaksi jika peristiwa- peristiwa yang mempengaruhinya mengandung informasi. Semakin mengejutkan peristiwa tersebut maka semakin besar reaksi pasar. Reaksi pasar diproxikan dengan abnormal return, nilai abnormal return yang semakin menjauhi nilai nol berarti pasar bereaksi kuat terhadap peristiwa, sedangkan nilai abnormal return yang semakin mendekati nol berarti reaksi pasar terhadap peristiwa lemah. Reaksi pasar terhadap peristiwa dapat dianggap sebagai kabar baik (good news)