ROHMA, ALINA (2026) REAKSI PASAR MODAL SEBELUM DAN SESUDAH PENGUMUMAN KEBIJAKAN CUKAI ROKOK :STUDI PADA ABNORMAL RETURN, TRADING VOLUME ACTIVITY, DAN VOLATILITAS HARGA SAHAM PADA EMITEN TEMBAKAU PERIODE 2020-2024. Undergraduate thesis, Universitas Satya Negara Indonesia.

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Abstract

This study aims to analyze the capital market’s reaction to the announcement of cigarette excise tax increases using the event study method. Market reactions are observed through changes in abnormal return, trading volume activity, and price volatility of cigarette company stocks listed on the Indonesia Stock Exchange during the 2020–2024 period, with an event window of 11 days: five days before the announcement (t-5), the announcement day (t0), and five days after the announcement (t+5). The analytical method used is quantitative, employing classical assumption tests and statistical analyses such as the Paired Sample t-Test and the Wilcoxon test. The research sample consists of tobacco sector companies on the Indonesia Stock Exchange during 2020–2024. Sampling was conducted using purposive sampling, a technique based on specific criteria. Data were obtained from publications of the Indonesia Stock Exchange and the official websites of each company. This study uses two cigarette companies as samples. The results show that there is no difference before and after the announcement in abnormal return and trading volume activity. However, in 2022, a significant difference was found in trading volume activity. Descriptively, stock price volatility indicates fluctuations before and after the announcement, suggesting uncertainty in the market.

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