DOI of the published article https://doi.org/10.31893/multiscience.2025602
The Impact of Russia’s Invasion of Ukraine on Agricultural Stock Prices on The IDX
Dampak Invasi Rusia ke Ukraina terhadap Harga Saham di Sektor Pertanian pada Bursa Efek Indonesia
DOI:
https://doi.org/10.21070/ups.8071Keywords:
Abnormal Return, Trading Volume Security, Security Return Variability, Event Study, Signaling Theory, Efficient Capital MarketAbstract
The purpose of this study is to examine the impact of Ukraine’s Russian invasion on stock prices in the agricultural products industry listed on the Indonesia Stock Exchange and to analyze the differences before and during the invasion, measured using variable of abnormal return, trading volume activity, and security return variability. This study considers the time range between 2020 and 2024. This study employs the Capital Asset Pricing Model (CAPM) and event study methodology to analyze stock price movements over a four-year period. The dataset includes 24 months pre-invasion (February 2020 to January 2022), the event itself (March 2022), and 24 months post-invasion (February 2024). Statistical analyses were conducted using SPSS v.29, incorporating descriptive tests, normality
testing via the One-Sample Kolmogorov-Smirnov test, and hypothesis testing using the Wilcoxon Signed-Rank test.
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