ANALYSIS OF THE IMPACT OF UNITED STATES IMPORT TARIFF INCREASES ON ABNORMAL RETURNS AND TRADING VOLUME ACTIVITY OF LQ45 STOCKS LISTED ON THE INDONESIA STOCK EXCHANGE

Abstrak

This study examines the impact of the United States' import tariff policies on Abnormal Return (AR) and Trading Volume Activity (TVA) in the Indonesian capital market. The analysis focuses on two major trade policy events: the implementation of a 10% import tariff on Chinese goods on February 4, 2025, and the imposition of reciprocal import tariffs on 57 countries, including Indonesia, on April 2, 2025. This study employs secondary data consisting of historical stock prices of companies included in the LQ45 Index and listed on the Indonesia Stock Exchange (IDX) during the period from February to July 2025. An event study methodology is applied to examine market reactions by measuring Abnormal Return and Trading Volume Activity within the event window surrounding each policy announcement. Statistical analysis is conducted using the One-Sample t-test to identify the presence of abnormal returns around the event dates and the Paired Sample t-test to compare market conditions before and after each event. The results reveal the existence of significant abnormal returns during several days surrounding both tariff announcements, indicating that investors responded to the information released to the market. However, the paired sample t-test shows no significant differences in the average Abnormal Return or Trading Volume Activity between the pre-event and post-event periods for either event. These findings suggest that the Indonesian capital market reacted to the tariff announcements only in the short term, with no persistent impact on stock returns or trading activity.

Penelitian ini dilakukan untuk menganalisis dampak kebijakan kenaikan tarif impor yang diberlakukan oleh Amerika Serikat terhadap Abnormal Return dan Trading Volume Activity (TVA). Pengujian difokuskan pada 2 peristiwa utama, yaitu diberlakukan tarif impor 10% Amerika Serikat kepada China pada 4 Februari 2025, dan diberlakukan tarif impor kepada 57 negara, Indonesia salah satunya pada 2 April 2025. Data yang digunakan merupakan data sekunder berupa harga saham historis perusahaan yang tergabung dalam indeks LQ-45 selama periode Februari hingga Juli 2025 yang tercatat di Bursa Efek Indonesia. Metode analisis yang diterapkan adalah event study untuk mengukur Abnormal Return dan Trading Volume Activity di sekitar tanggal peristiwa, dengan pengujian statistik menggunakan paired sample t-test guna membandingkan kondisi sebelum dan sesudah kejadian. Temuan penelitian menunjukkan adanya Abnormal Return pada periode pengamatan di sekitar peristiwa. Namun demikian, hasil uji perbedaan tidak menemukan perubahan yang signifikan pada rata-rata Abnormal Return maupun Trading Volume Activity antara periode sebelum dan sesudah kedua peristiwa perang dagang tersebut. Hal ini mengindikasikan bahwa reaksi pasar yang muncul cenderung bersifat sementara dan tidak berlanjut dalam jangka yang lebih panjang.