Reaksi Pasar dan Dampak Eskalasi Konflik Militer Amerika Serikat-Israel terhadap Iran pada Pasar Saham Indonesia

Dharma Adita, Tiar Lina Situngkir, Arif Fadilla

Abstract


Penelitian ini ditujukan untuk menginvestigasi dampak eskalasi konflik militer antara Amerika Serikat dan Israel terhadap Iran pada 28 Februari 2026 terhadap pasar modal Indonesia. Penelitian mengadopsi pendekatan event study dan regresi data panel untuk menguji reaksi pasar melalui abnormal return pada 24 perusahaan tercatat dalam indeks IDX30. Periode pengamatan dilakukan selama tujuh hari, yaitu tiga hari sebelum, hari kejadian, dan tiga hari sesudah peristiwa. Analisis perbedaan abnormal return dilakukan menggunakan Wilcoxon Signed Rank Test, sedangkan pengujian pengaruh peristiwa menggunakan regresi data panel dengan Common Effect Model serta variabel kontrol ukuran perusahaan, leverage, dan likuiditas. Hasil penelitian mengindikasikan bahwa tidak terdapat perbedaan signifikan abnormal return sebelum dan sesudah peristiwa dengan nilai signifikansi 0,864. Hasil regresi panel juga menunjukkan bahwa variabel peristiwa tidak berpengaruh signifikan terhadap abnormal return dengan nilai probabilitas 0,743. Temuan ini mengonfirmasi bahwa pasar saham Indonesia tidak memberikan reaksi yang signifikan terhadap guncangan geopolitik tersebut selama periode pengamatan.

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DOI: https://doi.org/10.37531/sejaman.v9i1.11495

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