SATIFAE, Dewi Fitri (2025) Analysis of Differences in Stock Price and Trading Volume Activity Before and After the Boycott Event: Event Study on IDX and Bursa Malaysia. Skripsi thesis, Universitas Jenderal Soedirman.

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Abstract

This study aims to analyze differences in stock prices through abnormal returns and trading volume activity before and after the boycott. The variables in this study consist of stock prices and trading volume activity. The population samples initially focused on companies with global brand affiliations from the United States that were included in the boycott list. Indofood Sukses Makmur Tbk (INDF) and Indofood CBP Sukses Makmur Tbk (ICBP) were also added because both appeared on the public boycott list in Indonesia, reflecting that market reactions are shaped by both international. The sampling technique used purposive sampling with a total of 13 companies, consisting of 10 companies on the IDX and 3 companies on the Bursa Malaysia that have direct or indirect affiliations with Israel. From the sampling results, 3,900 observation data were obtained and analyzed using descriptive statistical tests, normality tests, and hypothesis tests through SPSS 25. The research results showed no significant difference in abnormal returns and trading volume activity before and after the boycott. However, based on stock price charts and trading activity, there were short-term changes in both variables on both exchanges. The results of this study imply that although boycotts do not have a statistically significant effect on abnormal returns or trading volume activity, capital markets in Indonesia and Malaysia demonstrate efficiency in absorbing information. Investors continue to respond quickly through short-term changes in stock prices and trading activity, thus confirming the relevance of the Efficient Market Hypothesis and portfolio analysis in understanding market behavior in response to non-economic events. Keywords: Stock Prices, Abnormal Returns, Trading Volume Activity, Event Study, Boycott, Efficient Market Hypothesis

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