[ABSTAK
Penelitian ini mencoba melihat bagaimana pasar modal di Indonesia memberikanrespon terhadap peristiwa politik terkait Pilkada Gubernur DKI Jakarta. Didalampasar yang efisien, segala informasi termasuk didalamnya peristiwa politik dapatmemberikan pengaruh terhadap reaksi pasar modal di suatu negara. Penelitian inimencoba untuk melihat apakah Pilkada Gubernur di DKI Jakarta juga dapatmempengaruhi respon dari Pasar Modal Indonesia. Penelitian ini menggunakanpendekatan event study terhadap saham-saham yang terdaftar di indeks LQ 45,dengan melakukan penghitungan terhadap abnormal return, average abnormalreturn, standardize abnormal return, wilcoxon signed ranks, dan dummy variable.Diperoleh hasil bahwa pada Pilkada Gubernur DKI Jakarta di tahun 2007 terjadiabnormal return yang signifikan pada hari pemilihan dan setelah pengumumanpemenang pilkada. Pasar modal merespon lambat peristiwa pilkada di tahun 2007.Sedangkan untuk Pilkada Gubernur DKI Jakarta tahun 2012 putaran pertama dankedua menunjukkan adanya abnormal return sebelum hari pemilihan. Pasarmodal merespon sangat cepat pada pilkada di tahun 2012. Tidak ada perbedaanyang signifikan saat sebelum dan setelah pilkada gubernur di tahun 2007 dan2012.

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ABSTRACT
the political events related Jakarta Governor Election. In an efficient market, allinformation including the political events heve an effect to the reaction of thecapital market in the country. This study tried to see if the governor election inJakarta may also affect the response of Indonesian Capital Market. This studyuses event study approach to stocks listed in LQ 45, by calculating the abnormalreturns, average abnormal return, standardize abnormal return, wilcoxon signedranks, and dummy variables. The results indicate that the Jakarta GovernorElection in 2007 have a significant abnormal return on the day of the election andafter the announcement of the winner of the election. The capital market is slow torespond to election in the 2007. As for Jakarta Governor Election 2012 first andsecond round showed abnormal return before election day. Capital marketresponded very quickly on the elections in 2012. There is no significant differencebefore and after the governor elections in 2007 and 201.;the political events related Jakarta Governor Election. In an efficient market, allinformation including the political events heve an effect to the reaction of thecapital market in the country. This study tried to see if the governor election inJakarta may also affect the response of Indonesian Capital Market. This studyuses event study approach to stocks listed in LQ 45, by calculating the abnormalreturns, average abnormal return, standardize abnormal return, wilcoxon signedranks, and dummy variables. The results indicate that the Jakarta GovernorElection in 2007 have a significant abnormal return on the day of the election andafter the announcement of the winner of the election. The capital market is slow torespond to election in the 2007. As for Jakarta Governor Election 2012 first andsecond round showed abnormal return before election day. Capital marketresponded very quickly on the elections in 2012. There is no significant differencebefore and after the governor elections in 2007 and 201., the political events related Jakarta Governor Election. In an efficient market, allinformation including the political events heve an effect to the reaction of thecapital market in the country. This study tried to see if the governor election inJakarta may also affect the response of Indonesian Capital Market. This studyuses event study approach to stocks listed in LQ 45, by calculating the abnormalreturns, average abnormal return, standardize abnormal return, wilcoxon signedranks, and dummy variables. The results indicate that the Jakarta GovernorElection in 2007 have a significant abnormal return on the day of the election andafter the announcement of the winner of the election. The capital market is slow torespond to election in the 2007. As for Jakarta Governor Election 2012 first andsecond round showed abnormal return before election day. Capital marketresponded very quickly on the elections in 2012. There is no significant differencebefore and after the governor elections in 2007 and 201.]