Dwi Haringka, Market Reactions To Donald Trump’s Import Tariff Policy Announcement: An Event Study of the LQ45 Index on the Indonesia Stock Exchange.

This study aims to analyze the reaction of the Indonesian stock market to the announcement of import tariff policy by the President of the United States, Donald Trump, on July 8, 2025. Market reaction in this study is measured using Abnormal Return (AR) and Trading Volume Activity (TVA) of stocks included in the LQ45 index on the Indonesia Stock Exchange. This research employs a quantitative approach using the event study method. The sample consists of 45 LQ45 stocks with an eleven-trading-day event window, consisting of five days before the event, the event day, and five days after the event. AR is calculated using the market model, while TVA is measured by comparing the number of shares traded with the number of outstanding shares. The normality test is conducted using the Shapiro-Wilk test. The hypotheses are tested using the One Sample t-Test and One Sample Wilcoxon Signed Rank Test to examine the significance of abnormal return, while the Wilcoxon Signed Rank Test is used to examine differences in average AR and TVA before and after the event.

The results show that significant AR occurred on t−3 within the event window; therefore, the first hypothesis is accepted. The second hypothesis testing result indicates that there is no significant difference in average AR before and after the event; therefore, the second hypothesis is rejected. Meanwhile, the third hypothesis testing result shows that there is a significant difference in TVA before and after the event; therefore, the third hypothesis is accepted. These findings indicate that Donald Trump’s import tariff policy announcement contains information that was responded to by the Indonesian stock market. However, the market reaction is more strongly reflected in changes in trading activity than in changes in average abnormal return.

Keywords: Abnormal return, event study, LQ45, market reaction, trading volume activity.