ABNORMAL RETURNS AROUND THE DATE OF MILITARY INVASION: AN EVENT STUDY BASED ON INTRADAY DATA
This study analyzes daytime data. Researchers are studying the factors behind the Russian and Ukrainian military attacks. This study aimed to discover if there was a significant difference in the number of aberrant returns before and after the event, as well as in each daily period during the event. Researchers utilize intraday stock prices to calculate daily returns. This study used 200 estimating periods and 55 event periods. This study samples 15 Indonesian Stock Exchange firms. The first and second hypotheses were tested using paired and one-sample t-tests. Sig > 0.05 (0.703 > 0.05), hence h0 is rejected. The researcher found no difference in aberrant returns before and after the event, and none around the period of the Russian-Ukrainian military incursion. After seven periods, abnormal returns will occur in the event period.
Abnormal Returns, Military Invasion, Intraday Data, Event Study.