Abstract:
This research aimed to determine the capital market reaction on the announcement of fuel restriction policy that was held 3 times continuously on August, 1st, August 4th, and August 6th. In measuring capital market reaction,the variables used in this study were Abnormal Return (X1), Price Earning Ratio (X2), Security Return Variability (X3), and Trading Volume Activity (X4) of LQ-45 stocks listed in IDX (Indonesian Stock Exchange) in period of August 2014 – January 2015. In this study, data were collected through IDX website and several secondary data sources. Data obtained in the form of quantitative analysis by doing event study analysis, the classic assumption test and comparative analysis that serve to prove the research hypothesis.The result of this research is there are no significant differences of Abnormal Return (X1), Price Earning Ratio (X2), Security Return Variability (X3), and Trading Volume Activity (X4) before and after the event of fuel restriction policy. In conclusion, the market participants are react normally and there is no shock level appear eventhough the Trading Volume Activity are showing decreasing values in almost stocks, this is because market are already anticipate as issues regarding this event has been spread ahead of the announcement.
