European Journal of Business and Management Research

Vol 8 | Issue 5 | October 2023

ISSN 2507-1076

RESEARCH ARTICLE

Comparative Analysis of Stock Prices, Abnormal

Return, Cumulative Abnormal Return, and
Trading Volume Activity in the Indonesia
Stock Exchange: An Event Study of the
Russia-Ukraine War
Eliza Lukita Sari* , Tubagus Ismail, and Ira Geraldina

ABSTRACT
The Russia-Ukraine war has captured international attention and raised Submitted: August 19, 2023
concerns about its potential implications on global financial markets. This Published: October 18, 2023
study aimed to investigate the interplay between geopolitical events, market
reactions within the Indonesia Stock Exchange (IDX), and the market 10.24018/ejbmr.2023.8.5.2159
efficiency of the IDX. The study employed event study methodology and
analyzed changes in stock prices, abnormal returns, cumulative abnormal
returns, and trading volume activity. The sample comprised 53 companies Graduate Program of Open University,
Indonesia.
in the energy sector and 57 companies in the food and beverage sector listed
on the IDX. The analysis focused on data from 10 days before and after *Corresponding Author:
three Russia-Ukraine conflict-related events, namely (1) the announcement e-mail: elizals@protonmail.com
of Russia’s invasion of Ukraine on the 24th of February 2022, (2) the
announcement of an oil import embargo on Russia by the European Union
on the 31st of May 2022, and (3) the announcement of the first wheat
export ship’s departure from the port of Odesa on the 1st of August 2022.
Both paired sample t-tests and paired sample Wilcoxon signed rank tests
were conducted to assess the statistical significance of differences in the
means of paired samples. The findings revealed significant differences in
average stock prices before and after all three events in the energy sector.
However, only events 2 and 3 displayed significant differences in average
abnormal returns and cumulative abnormal returns. Moreover, events 1 and
3 exhibited significant differences in average trading volume activity. In the
food and beverage sector, a significant difference in average stock prices was
observed before and after event 2, while all three events presented significant
differences in average abnormal returns and cumulative abnormal returns.
Furthermore, event 3 showed a significant difference in average trading
volume activity. These findings indicated that the IDX displayed varying
reactions to different Russia-Ukraine conflict-related events. Notably,
events involving multiple countries or entities exerted a greater impact on
the energy and food and beverage sectors within the IDX, leading to more
pronounced market reactions. Additionally, the findings suggested that the
IDX exhibited a semi-strong form of market efficiency.

Keywords: Event study, Indonesia Stock Exchange, market reaction,

Russia-Ukraine war.

Copyright: © 2023 Sari et al. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original source is cited.

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Comparative Analysis of Stock Prices, Abnormal Return, Cumulative Abnormal Return Sari et al.

1. Introduction in energy prices due to Russia’s significant role as a major

producer and exporter. Consequently, the price of Indone-
In today’s interconnected and globalized world, geopo-
sian Crude Price (ICP) followed the upward trajectory
litical events have a profound impact on global financial
of global crude oil prices and skyrocketed towards the
markets, with their repercussions often extending beyond
the borders of the countries directly involved. Geopo- US$100 level, surpassing the assumption of US$63 per
litical events, ranging from geopolitical conflicts and barrel set in Indonesia’s 2022 State Budget (Andrianto,
trade disputes to natural disasters and pandemics, possess 2022). This surge in oil prices brought positive implications
the potential to influence financial markets significantly, for the energy sector in Indonesia, as evidenced by the
sparking substantial market reactions. One such geopo- remarkable growth of the energy sector index. In 2022,
litical event that has drawn international attention and the energy sector index outperformed all other sectoral
raised widespread concerns about its implications for stock indices, achieving an extraordinary growth rate that
economies and financial markets worldwide is the Russia- exceeded 100% (Rahmawati, 2022). Fig. 2 displays the per-
Ukraine war. Despite the geographical distance between formance trend of the Composite Index along with various
Indonesia and the epicentre of the Russia-Ukraine war, sectoral indices throughout the year 2022, providing a clear
the Indonesia Stock Exchange (IDX) remains intrinsi- visual representation of the energy sector’s outstanding
cally connected to the global financial system, rendering performance in comparison to the Jakarta Composite
it susceptible to external shocks and the spillover effects Index (IDX Composite) and other sectoral stock indices.
of geopolitical events. As a vital platform for domestic Moreover, the Russia-Ukraine conflict also disrupted
and international investors to trade stocks and securities, the global supply of wheat, resulting in a rise in global
the IDX plays a pivotal role in shaping Indonesia’s eco- wheat prices. While wheat is not a staple food in Indonesia,
nomic landscape. The Russia-Ukraine war, characterized the country heavily relies on imported wheat for various
by heightened geopolitical tensions, economic uncertain- processed food products, including instant noodles and
ties, increases in commodity prices—particularly energy bread, which are widely consumed by the Indonesian pop-
and natural resources—and trade disruptions, holds the ulation. According to data provided by Indonesia’s Central
potential to significantly impact the functioning of the Statistics Agency, in 2021, Indonesia imported a total of
IDX, leading to fluctuations in stock prices, trading vol- 11,172 tonnes of wheat and meslin, valued at US$3,449.8
umes, and overall market volatility. million, with Ukraine standing out as the second-largest
The impact of the Russia-Ukraine war on the IDX supplier, accounting for 2,834 tonnes valued at US$843.6
became evident on the 24th of February 2022, following million (Badan Pusat Statistik-BPS, 2022). The increase in
Russia’s invasion and military attacks on Ukraine. The global wheat prices adversely affected food and beverage
invasion raised concerns among investors in the IDX, companies in Indonesia, such as PT Indofood CBP Sukses
prompting them to take precautionary measures to safe- Makmur Tbk and PT Mayora Indah Tbk. Following the
guard their funds by divesting from risky assets, including start of the Russia-Ukraine war, MYOR’s shares experi-
stocks. This shift in investor sentiment had a direct impact enced the most significant decline of −14% in a week, while
on the Jakarta Composite Index (IDX Composite), which ICBP’s shares also stumbled with a decline of −12.94%
closed the trading day in the red zone, weakening by 102.2 (Fernando, 2022).
points or 1.48% to reach 6,817.82, as shown in Fig. 1 Several previous studies have examined the reaction of
(Safitri, 2022). Simultaneously, the downturn in the market the stock market to the Russia-Ukraine war using an
affected 492 companies listed on the IDX, causing their event study methodology. One of these studies conducted
stock prices to decline (Shemi, 2022). by Joshipura and Lamba (2022) investigated the impact
Additionally, the Russia-Ukraine war disrupted the of the Russian invasion of Ukraine on stock markets in
global supply of energy commodities, resulting in a surge 95 countries, including Indonesia. Their findings revealed

Fig. 1. Jakarta Composite Index on the Day of Russia’s Invasion of Ukraine on the 24th of February 2022. Source: Jayani (2022).

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Sari et al. Comparative Analysis of Stock Prices, Abnormal Return, Cumulative Abnormal Return

Fig. 2. Performance trend of Jakarta Composite Index (IDX Composite) and sectoral indices in 2022. Source: Chandren (2023).

significant and negative abnormal returns (AR) as well events, namely (1) the announcement of the Russian inva-
as cumulative abnormal returns (CAR) in the majority of sion of Ukraine, (2) the announcement of an oil import
the countries studied, reflecting an overall negative market embargo on Russia by the European Union on the 31st
reaction. In addition, their findings showed that the inva- of May 2022 and (3) the announcement of Ukraine’s first
sion triggered different short-term and long-term market wheat export ship departure from the port of Odesa on the
reactions in each country. The findings of Joshipura and 1st of August 2022. Focusing specifically on the energy sec-
Lamba (2022) are supported by the study conducted by tor and the food and beverage sector of the IDX, this study
Boubaker et al. (2022) on the impact of the Russia-Ukraine will examine stock prices, AR, CAR, and TVA within these
invasion on markets in 23 developed and 24 emerging sectors.
countries, including Indonesia, within the Morgan Stan- Furthermore, beyond analyzing and evaluating market
ley Capital Investment (MSCI) classification. In line with reactions, this study also assesses the market efficiency
Joshipura and Lamba’s (2022) findings, Boubaker et al. of the IDX based on the informationally efficient market
(2022) also observed a negative CAR, indicating an over- hypothesis. According to this hypothesis, an efficient mar-
all negative market reaction while observing variations in ket promptly and accurately incorporates new information
market reactions across different countries. Additionally, into stock prices, limiting opportunities for investors to
Tambunan et al. (2023) conducted a study examining the earn AR (Fama, 1970). This study will utilize the same
reaction of the energy sector on the IDX to the Russian event study methodology to assess the market efficiency of
invasion of Ukraine. Tambunan et al. (2023) found sig- the IDX. The stock prices will serve as indicators of market
nificant differences in AR and trading volume activity efficiency. By integrating the analysis of market reactions
(TVA) before and after the invasion, highlighting a notable and market efficiency, this study aims to enhance our
market reaction in the energy sector on the IDX due understanding of the interplay between geopolitical events,
to the invasion. The findings of Tambunan et al. (2023) market reactions within the IDX, and the market efficiency
are aligned with another study conducted by Kurniawan of the IDX. The findings of this study will have signifi-
and Sudirman (2023), which also examined the market cant implications for investors, policymakers, and financial
reactions in the energy sector on the IDX following the institutions, providing them with valuable insights to nav-
Russian invasion of Ukraine. Similar to Tambunan et al. igate the IDX during geopolitical events. Investors will
(2023), Kurniawan and Sudirman (2023) noted significant gain deeper insights into potential risks and opportuni-
differences in AR before and after the invasion, further ties within the IDX, while policymakers can proactively
supporting the presence of market reactions in the energy devise suitable strategies to manage the impact of geopo-
litical events, ensuring market stability and reinforcing
sector on the IDX caused by the invasion.
investor confidence. Moreover, financial institutions can
In summary, the collective findings of previous studies
establish robust risk management frameworks, enabling
indicate that the Russia-Ukraine war events have a sig-
them to accurately assess market vulnerabilities and opti-
nificant impact on investor decision-making and trigger
mize their investment strategies during such geopolitical
market reactions, as evident from varying AR and CAR
events.
observed across different countries and sectors. However,
despite this existing body of studies, there remains a
research gap in understanding the market reactions of the 2. Literature Review and Hypotheses
IDX to the impacts of the Russia-Ukraine war-related
events. To bridge this gap, this study aims to employ event 2.1. Informationally Efficient Market Hypothesis
study methodology to analyze and evaluate the market The informationally efficient market hypothesis is a
reactions of the IDX to three Russia-Ukraine war-related theory stating that a market is considered efficient when

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Comparative Analysis of Stock Prices, Abnormal Return, Cumulative Abnormal Return Sari et al.

the prices of its securities accurately and rapidly reflect the market’s reaction to an event can also be measured
all available information. This means that the market by trading volume activity (TVA), which reflects the sen-
efficiently processes information so that prices promptly timent and investment decisions of investors in response
adjust to new information as it becomes available. Conse- to the information content of the event. Increased TVA
quently, investors are unable to consistently gain abnormal indicates a positive reaction to the information and vice
returns (AR) by exploiting market inefficiencies caused versa (Hartono, 2018).
by incomplete or delayed information. As the market
becomes more informationally efficient, the chance of 2.3. Stock Price
gaining AR decreases. There are three levels of market Stock price refers to the price of a stock that is valid in
efficiency based on the type of information that is reflected the stock market during a specific time period and can vary
in asset prices (Fama, 1970): over time based on the demand and supply for the stock at
that moment (Darmadji & Fakhruddin, 2012). The com-
1. Weak-form efficiency: In a weak-form efficient mar-
mon types of stock prices are as follows (Widioatmodjo,
ket, all past market trading information, such as
2015):
price and volume data, is already reflected in the
current stock prices. This means that historical 1. The nominal price is the price stated on each share
price patterns and trading data cannot provide an of stock issued by a company, and investors are
advantage to investors in predicting future price required to pay this nominal price upfront as capital.
movements. As a result, investors cannot consis- The minimum dividend that a company will pay is
tently outperform the market or gain AR by relying usually determined based on the nominal price of a
solely on technical analysis or historical trading stock.
information. 2. Initial Public Offering (IPO) price is the price during
2. Semi-strong form efficiency: In a semi-strong form the IPO set by the underwriter and the company
efficient market, all publicly available information, issuing the stock. Although each share of stock has
including financial statements, news, announce- a nominal price, the IPO price may not always be the
ments, and economic data, is quickly and accurately same as the nominal price stated.
reflected in stock prices. This means that any 3. The opening price is the price at which sellers or
new information that becomes public knowledge is buyers request a stock when the stock market opens.
almost instantly incorporated into prices, leaving lit- 4. Market price is the price at a specific time period,
tle room for investors to exploit the information for determined by the demand and supply in the stock
excess returns. Consequently, neither fundamental market during that period. The stock price can fluc-
analysis nor the use of publicly available information tuate based on the amount of demand and supply for
alone can consistently lead to AR. that stock.
3. Strong-form efficiency: In a strong-form efficient 5. The closing price is the last price at which sellers or
market, all information, whether public or private, buyers request a stock when the stock market closes.
is fully and immediately reflected in stock prices.
In addition to the demand and supply for a stock, other
This includes not only publicly available informa-
factors that can influence the stock price in the stock
tion but also insider information. In such a market,
market are as follows (Alwi, 2008):
no group of investors, including insiders, can con-
sistently earn above-average returns based on their 1. Internal factors originate from within the company
access to information. This implies that even if an issuing the stock, such as equity and debt-related
investor has insider knowledge, they cannot exploit announcements, changes in the board of directors
it to gain AR as the market has already factored in or company management, mergers and acquisi-
that information. tions, announcements about business development
or expansion, and announcements of the company’s
2.2. Event Study financial reports.
Event study is a research methodology used to analyze 2. External factors originate from outside the com-
the market’s reaction to publicly announced events, such as pany issuing the stock, such as changes in interest
a company’s earnings announcement, a merger or acqui- rates, inflation, new economic regulations, legal
sition, a regulatory change, or any other event that could claims against the company, fluctuations in cur-
potentially impact the market (Hartono, 2018). When an rency exchange rates, political turmoil, various
event contains information relevant to the market, the domestic and foreign issues, and stock trading
market will react upon receiving that information, and restrictions.
vice versa. Market reactions are typically indicated by
differences in stock prices, which can be measured through 2.4. Abnormal Return
abnormal returns (AR). An event can be considered to Abnormal returns (AR) is the difference between the
contain relevant information if it generates AR. According actual return of a stock and the expected return of the
to Tandelilin (2019), the market will respond positively stock, often caused by a specific event, and can be calcu-
to good news and negatively to bad news, where positive lated using the following formula (Hartono, 2017):
market reactions generate positive AR, while negative mar-
ket reactions generate negative AR. In addition to AR, ARit = Rit − E (Rit ) (1)

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Sari et al. Comparative Analysis of Stock Prices, Abnormal Return, Cumulative Abnormal Return

where: until stock prices adjust. In addition to AR, market reac-

ARit = Abnormal return of stock i at time t; tions to an event can also be measured through trading
Rit = Actual return of stock i at time t; volume activity (TVA), which reflects investor sentiment
E(Rit ) = Expected return of stock i at time t, which and investment decisions in response to the information
can be calculated using the capital asset pricing model as content of the event (Hartono, 2018).
follows: Several previous studies have examined market reac-
  tions to the Russia-Ukraine conflict using the event study
E (Rit ) = Rf + βi Rm − Rf (2) method. For instance, Richad et al. (2023) conducted a
study on market reactions in the energy and non-consumer
where: cyclical sectors of the Indonesia Stock Exchange con-
E(Rit ) = Expected return of stock i at time t; cerning seven Russia-Ukraine war-related events. These
Rf = Risk-free rate; events included the announcement of the Russian inva-
β = Beta; sion of Ukraine, the US-imposed Russian oil import
Rm = Market return. embargo, the Russian blockage of Ukraine’s main wheat
export route, the European Union-imposed Russian oil
2.5. Cumulative Abnormal Return
import embargo, Indonesia’s announcement that Russia
Cumulative abnormal returns (CAR) is the sum of had agreed to open a wheat export sea route for Ukraine,
abnormal returns (AR) over a specific time period and can Ukraine’s first wheat export since the war began, and
be calculated using the following formula (Hartono, 2017): the Minister of Agriculture’s announcement predicting a
threefold increase in instant noodle prices. The results of

t2
CARit = ARit (3) their study showed significant differences in stock prices,
t1 AR, and TVA before and after some of the Russia-Ukraine
war-related events they examined. These significant dif-
where: ferences in stock prices, AR, and TVA reflected market
CARit = cumulative abnormal returns of stock i at time reactions to the Russia-Ukraine war-related events. Fur-
t; thermore, Yousaf et al. (2022) conducted a study on market
ARit = abnormal returns of stock i at time t. reactions in G20 member countries and several other
countries, including Romania, Hungary, the Netherlands,
2.6. Trading Volume Activity Slovakia, Poland, and Ukraine, following the outbreak of
Trading Volume Activity (TVA) is the ratio of the total the geopolitical conflict between Russia and Ukraine. The
number of shares traded to the total number of shares study focused on the announcement of Russia’s military
outstanding (or available for trading) in the market over operation in Ukraine on February 24 2022. The results of
a specific time period and can be calculated using the their study indicated that the announcement of Russia’s
following formula (Hartono, 2017): military operation in Ukraine resulted in negative and
 significant AR and cumulative abnormal returns (CAR)
Stock i traded at time t in most countries, particularly European countries and
TVAit =  (4)
Stock i outstanding at time t Russia. The negative and significant values of AR and
CAR reflected negative and significant market reactions
where: to the announcement of Russia’s military operation in
TVAit = trading volume activity of stock i at time t. Ukraine on the day of the event and post-event.
2.7. Research Hypotheses Drawing from the literature review and building upon
the insights gained from the previous studies, this study
The Russia-Ukraine war has emerged as a significant
develops the following research hypotheses:
geopolitical event that has garnered international attention
and raised concerns about its impact on the Indonesia 1. H 1 : There is a significant difference in stock prices on
Stock Exchange (IDX). The escalating geopolitical ten- the IDX before and after the following Russia-Ukraine
sions, economic uncertainties, rising energy and natural war-related events:
resource commodity prices, and trade disruptions caused a) Event 1: the announcement of Russia’s invasion
by the Russia-Ukraine war have the potential to influence of Ukraine on the 24th of February 2022.
the performance of the IDX and trigger market reactions. b) Event 2: the announcement of an oil import
Market reactions are typically indicated by differences in embargo on Russia by the European Union on
stock prices, which can be measured through abnormal the 31st of May 2022.
returns (AR) (Hartono, 2018). The ability of investors to c) Event 3: the announcement of Ukraine’s first
obtain AR depends on the efficiency level of the market. wheat export ship departure from the port of
According to the informationally efficient market hypoth- Odesa on the 1st of August 2022.
esis, in an efficient market, stock prices reflect all available 2. H 2 : There is a significant difference in abnormal
information accurately and rapidly, making it difficult for returns on the IDX before and after (a) event 1, (b)
investors to gain AR (Fama, 1970). Conversely, in less event 2, and (c) event 3.
efficient markets, stock prices may not accurately and 3. H 3 : There is a significant difference in cumulative
rapidly reflect all information, providing investors with abnormal returns on the IDX before and after (a)
more opportunities to exploit information and gain AR event 1, (b) event 2, and (c) event 3.

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4. H 4 : There is a significant difference in trading volume 4. Results

activity on the IDX before and after (a) event 1, (b)
4.1. Descriptive Statistics of the Energy Sector
event 2, and (c) event 3.
Table I shows that the mean values of average stock
prices and ATVA increased after event 1, i.e., by 4.1% and
73.5%, respectively. However, the mean values of AAR
3. Research Methodology and CAR decreased, both by 14.1%. Moreover, the highest
This study adopts a quantitative comparative study maximum values for average stock prices, AAR, CAR,
design and utilizes the event study method to analyze and ATVA, occurred after event 1, i.e., Rp. 46,827.50,
0.0493, 0.49305, and 0.11310308, respectively. Conversely,
and evaluate market reactions on the Indonesia Stock
the lowest minimum value for ATVA occurred before event
Exchange (IDX) in response to three Russia-Ukraine war-
1, i.e., 0.00000006. The lowest minimum values for average
related events as follows:
stock prices, AAR, and CAR occurred after event 1, i.e.,
1. The announcement of Russia’s invasion of Ukraine Rp. 50.50, −0.06441, and −0.64406, respectively.
on the 24th of February 2022. Table II shows that the mean values of average stock
2. The announcement of an oil import embargo on prices and ATVA increased after event 2, i.e., by 5.7% and
Russia by the European Union on the 31st of May 2.95%, respectively. However, the mean values of AAR and
2022. CAR decreased, both by 54.1%. The highest maximum
3. The announcement of Ukraine’s first wheat export value for average stock prices occurred after event 2, i.e.,
ship departure from the port of Odesa on the 1st of Rp. 36,560.00. On the other hand, the highest maximum
August 2022. values for AAR, CAR, and ATVA occurred before event
2, i.e., 0.02146, 0.21465, and 0.03257141, respectively. The
To investigate the presence and significance of the IDX lowest minimum values for average stock prices, ATVA,
market reaction towards these events, this study will com- AAR, and CAR, occurred before event 2, i.e., Rp. 55.20,
pare and assess differences in stock prices, abnormal 0, −0.06946, and −0.69464, respectively.
returns, cumulative abnormal returns, and trading volume Table III shows that the mean value of average stock
activity as key indicators of market reactions before and prices increased after event 3, i.e., by 3.1%. On the contrary,
after the mentioned events. Additionally, this study will the mean values of ATVA, AAR, and CAR decreased
utilize the same event study methodology to assess the by 15.2% and 57.6% respectively. The highest maximum
market efficiency of the IDX. The stock prices will serve value for average stock prices occurred after event 3, i.e.,
as indicators of market efficiency. The analysis will rely Rp. 35,185.40. However, the highest maximum values for
on secondary data collected from the IDX website and ATVA, AAR, and CAR occurred before event 3, i.e.,
Yahoo Finance. The data analysis process will involve 0.02562111, 0.04313, and 0.43127, respectively. The low-
conducting a normality test using the Shapiro-Wilk test. est minimum values for average stock prices and ATVA
For data with a normal distribution, a paired sample t-test occurred before event 3, i.e., Rp. 53.50 and 0, respectively.
will be employed for comparison testing. Conversely, for
data that does not follow a normal distribution, a paired TABLE I: Energy Sector—Event 1
sample Wilcoxon signed rank test will be employed for
N Minimum Maximum Mean
the comparison. Both normality testing and comparison
Average stock 53 52.40 46,250.00 2,307.2708
testing will be carried out using the IBM SPSS Statistics price before
v27 software. Average stock 53 50.50 46,827.50 2,402.4719
The event window, the period during which market reac- price after
tions will be analyzed, spans 21 days, comprising 10 days AAR before 53 −0.05683 0.04837 −0.0121665
before the event, the event date, and 10 days after the event. AAR after 53 −0.06441 0.04931 −0.0145364
This chosen event window duration allows for capturing CAR before 53 −0.56833 0.48366 −0.1216651
market reactions while avoiding confounding influences CAR after 53 −0.64406 0.49305 −0.1453640
from other events. The population for this study includes ATVA before 53 0.00000006 0.03949905 0.0049089471
all companies operating in the energy and food and bever- ATVA after 53 0.00000016 0.11310308 0.0085186552

age sectors listed on the IDX. The sample comprises a total

of 53 energy companies and 57 food and beverage com- TABLE II: Energy Sector—Event 2
panies were selected using the non-probability sampling N Minimum Maximum Mean
technique based on the following criteria: Average stock 53 55.20 34,710.00 2,250.0100
price before
1. Companies listed on the IDX operating in the energy Average stock 53 57.20 36,560.00 2,377.7970
and food and beverage sectors have conducted an price after
Initial Public Offering (IPO) at least one year before AAR before 53 −0.06946 0.02146 −0.0164602
the event window period. AAR after 53 −0.05918 0.01265 −0.0253582
2. Companies listed on the IDX operating in the energy CAR before 53 −0.69464 0.21465 −0.1646016
and food and beverage sectors with actively traded CAR after 53 −0.59181 0.12648 −0.2535816
stocks, i.e., stocks with prices above Rp. 50 during ATVA before 53 0 0.03257141 0.00429077
the event window period. ATVA after 53 0.00000053 0.03150596 0.00441732

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TABLE III: Energy Sector—Event 3 AAR, and CAR occurred after event 2, i.e., at Rp. 68.30,
N Minimum Maximum Mean 0.00000056, −0.04948, and −0.49485, respectively.
Average stock 53 53.50 32,680.00 2,275.3815 Table VI shows the mean values of the average stock
price before prices experienced a decrease of 9.2%, ATVA decreased
Average stock 53 54.00 35,185.40 2,345.7408 by 29.1%, and both AAR and CAR decreased by 27.0%
price after after event 3. Furthermore, for the maximum values,
AAR before 53 −0.04995 0.04313 −0.0125906 the highest maximum values of average stock prices and
AAR after 53 −0.06767 0.01393 −0.0198489
ATVA occurred before event 3, i.e., by Rp. 11,607.50 and
CAR before 53 −0.49946 0.43127 −0.1259059
0.02205793, respectively. However, the highest maximum
CAR after 53 −0.67673 0.13928 −0.1984892
values of AAR and CAR occurred after the announce-
ATVA before 53 0 0.02562111 0.00331709
ment of event 3, i.e., by 0.01679 and 0.16791, respectively.
ATVA after 53 0.00000021 0.01805265 0.00281369
On the other hand, for the minimum values, the lowest
minimum value of average stock prices occurred before
the announcement of event 3, i.e., by Rp. 66.00. Con-
Conversely, the lowest minimum values for AAR and versely, the lowest minimum values of ATVA, AAR, and
CAR occurred after event 3, i.e., −0.06767 and −0.67673, CAR occurred after the announcement of event 3, i.e., by
respectively. 0.00000036, −0.04878, and −0.48778, respectively.
4.2. Descriptive Statistics of the Food and Beverage 4.3. Comparative Analysis of the Energy Sector
Sector
Based on the comparative test results presented in
Table IV shows the mean values of the average stock Table VII, H1a , H1b and H1c for the energy sector are
prices experienced an increase after event 1, i.e., by 4.0%. accepted, indicating there is a significant difference in
In contrast, the mean values of both average abnormal stock prices in the energy sector on the IDX before and
returns (AAR) and cumulative abnormal returns (CAR) after events 1, 2, and 3. These comparative test results
experienced a decrease of 30.4%. Moreover, the mean support the findings of a previous study by Nerlinger and
value of the average trading volume activity (ATVA) also Utz (2022), which showed that the geopolitical conflict
decreased by 11.0%. Furthermore, for the maximum val- between Russia and Ukraine has led to significant differ-
ues, the highest maximum value of average stock prices ences in stock prices of the energy sector in 75 countries
occurred after event 1, i.e., by Rp. 11,491.24. However,
the highest maximum values of AAR, CAR, and average
TABLE V: Food and Beverage Sector—Event 2
ATVA occurred before event 1, i.e., by 0.08968, 0.89684,
N Minimum Maximum Mean
and 0.09403500, respectively. On the other hand, for the
minimum values, the lowest minimum value of the ATVA Average stock 53 68.60 12,115.60 2,018.6094
price before
occurred before event 1, i.e., by 0.00000061. Conversely,
Average stock 53 68.30 11,296.67 2,074.0120
the lowest minimum values of average stock prices, AAR, price after
and CAR occurred after event 1, i.e., by Rp. 74.70, AAR before 53 −0.04056 0.00946 −0.0163572
−0.05494, and −0.54945, respectively. AAR after 53 −0.04948 0.00912 −0.0216729
Table V shows the mean values of the average stock CAR before 53 −0.40563 0.09462 −0.1635717
prices experienced an increase after event 2, i.e., by 2.7%. CAR after 53 −0.49485 0.09123 −0.2167286
On the contrary, the mean value of the ATVA decreased ATVA before 53 0.00000114 0.05044238 0.0025066390
by 39.9%. Moreover, the mean values of both AAR and ATVA after 53 0.00000056 0.02195861 0.0015057639
CAR also decreased by 32.5%. Furthermore, for the maxi-
mum values, the highest maximum values of average stock TABLE VI: Food and Beverage Sector—Event 3
prices, ATVA, AAR, and CAR, occurred before event 2, N Minimum Maximum Mean
i.e., at Rp. 12,115.60, 0.00946, 0.09462, and 0.05044238, Average stock 53 68.60 12,115.60 2,018.6094
respectively. On the other hand, for the minimum values, price before
the lowest minimum values of average stock prices, ATVA, Average stock 53 68.30 11,296.67 2,074.0120
price after
AAR before 53 −0.04056 0.00946 −0.0163572
TABLE IV: Food and Beverage Sector—Event 1 AAR after 53 −0.04948 0.00912 −0.0216729
N Minimum Maximum Mean CAR before 53 −0.40563 0.09462 −0.1635717
Average stock 53 83.50 10,441.99 1,716.9174 CAR after 53 −0.49485 0.09123 −0.2167286
price before ATVA before 53 0.00000114 0.05044238 0.0025066390
Average stock 53 74.70 11,491.24 1,785.5815 ATVA after 53 0.00000056 0.02195861 0.0015057639
price after
AAR before 53 −0.05437 0.08968 −0.0148647
AAR after 53 −0.05494 0.03103 −0.0193858 TABLE VII: Energy Sector—Stock Price
CAR before 53 −0.54368 0.89684 −0.1486474 Event z-value p-value
CAR after 53 −0.54945 0.31027 −0.1938581 Event 1 −2.063b 0.039
ATVA before 53 0.00000061 0.09403500 0.00360612 Event 2 −2.257b 0.024
ATVA after 53 0.00000159 0.06618424 0.00322369 Event 3 −2.678b 0.007

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Comparative Analysis of Stock Prices, Abnormal Return, Cumulative Abnormal Return Sari et al.

worldwide, indicated by a positive and statistically sig- 4.4. Comparative Analysis of the Food and Beverage
nificant value of the cumulative average abnormal return Sector
(CAAR), where a positive and significant CAAR value Based on the comparative test results presented in
reflects an increase in the stock prices of the energy sector. Table XI, H1b for the food and beverage sector is accepted,
Based on the comparative test results presented in but H1a and H1c are rejected, indicating there is a signif-
Table VIII, H2b and H2c for the energy sector are accepted, icant difference in stock prices in the food and beverage
but H2a is rejected, indicating there is a significant differ- sector on the IDX before and after events 2, but no sig-
ence in AR in the energy sector on the IDX before and nificant difference in stock prices before and after event
after events 2 and 3, but no significant difference before 1 and 3. These comparative test results support the find-
and after event 1. These comparative test results support ings of a previous study by Herninta and Rahayu (2021),
the findings of previous study by Huka and Kelen (2022) as which showed significant differences in stock prices of the
well as the findings of previous research by Kusuma et al. food and beverage sector on IDX before and after the
(2022), which showed no significant difference in AR in the announcement of the first positive COVID-19 cases in
energy sector on the IDX before and after the announce- Indonesia, which reflects the IDX’s market reaction.
ment of Russia’s invasion of Ukraine on February 24 2022. Based on the comparative test results presented in
Based on the comparative test results presented in Table XII, H2a , H2b and H2c for the food and beverage
Table IX, H3b and H3c for the energy sector are accepted, sector are accepted, indicating there is a significant differ-
but H3a is rejected, indicating there is a significant differ- ence in AR in the food and beverage sector on the IDX
ence in CAR in the energy sector on the IDX before and before and after events 1, 2 and 3. These comparative test
after events 2 and 3, but no significant difference before results support the findings of a previous study by Seo
and after event 1. These comparative test results support et al. (2013), which showed a significant difference in AR in
the findings of previous study by Ahmed et al. (2022), the food and beverage sector before and after food safety-
which showed no significant difference in CAR in the related events.
energy sector of the STOXX Europe 600 index before and Based on the comparative test results presented in
after the onset of the geopolitical crisis between Russia and Table XIII, H3a , H3b and H3c for the food and beverage
Ukraine, marked by the announcement of Russia’s recog- sector are accepted, indicating there is a significant differ-
nition of the independence of two pro-Russian separatist ence in CAR in the food and beverage sector on the IDX
regions in eastern Ukraine, namely Donetsk and Luhansk, before and after events 1, 2 and 3. These comparative test
on Monday, the 21st of February 2022. results support the findings of a previous study by Seo et al.
Based on the comparative test results presented in (2013), which showed a significant difference in CAR in
Table X, H4a and H4c for the energy sector are accepted, the food and beverage sector before and after food safety-
but H4b is rejected, indicating there is a significant dif- related events.
ference in TVA in the energy sector on the IDX before Based on the comparative test results presented in
and after events 1 and 3, but no significant difference Table XIV, H4c for the food and beverage sector is
before and after event 2. These comparative test results accepted, but H4a and H4b are rejected, indicating there is a
support the findings of a previous study by Amelya (2022), significant difference in TVA in the food and beverage sec-
which showed a significant difference in TVA in the oil tor on the IDX before and after events 1, but no significant
and gas sector in 7 countries, namely Saudi Arabia, the difference in TVA before and after event 1 and 2. These
United States, Canada, the United Arab Emirates, Nigeria, comparative test results support the findings of a previous
Kuwait, and Norway, before and after the announcement study by Zuhroh and Putri (2021) as well as the findings
of Russia’s invasion of Ukraine. of previous research by Jatmiko (2021), which showed no

TABLE VIII: Energy Sector—Abnormal Returns TABLE XI: Food and Beverage—Stock Price
Event t-value p-value Event z-value p-value
Event 1 0.849 0.399 Event 1 −0.506b 0.613
Event 2 4.320 <0.001 Event 2 −2.072b 0.038
Event 3 3.860 <0.001 Event 3 −0.020b 0.984

TABLE IX: Energy Sector—Cumulative Abnormal Returns TABLE XII: Food and Beverage—Abnormal Returns
Event t-value p-value Event z-value p-value
Event 1 0.849 0.399 Event 1 −2.117b 0.034
Event 2 4.320 <0.001 Event 2 4.338 <0.001
Event 3 3.860 <0.001 Event 3 3.203 0.002

TABLE X: Energy Sector—Trading Volume Activity TABLE XIII: Food and Beverage—Cumulative Abnormal Returns
Event z-value p-value Event z-value p-value
Event 1 −3.368b <0.001 Event 1 −2.117b 0.034
Event 2 −0.828b 0.408 Event 2 4.338 <0.001
Event 3 −2.288b 0.022 Event 3 3.203 0.002

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Sari et al. Comparative Analysis of Stock Prices, Abnormal Return, Cumulative Abnormal Return

TABLE XIV: Food and Beverage—Trading Volume Activity after event 3 (H4c ), while no significant differences were
Event z-value p-value observed before and after events 1 and 2. This suggests that
Event 1 −0.314b 0.754 Ukraine’s first wheat export elicited a more pronounced
Event 2 −0.401b 0.688 market reaction in comparison to the other two events.
Event 3 −2.483b 0.013 Collectively, the comparative test results highlight the
varying reactions observed within both the energy and
food and beverage sectors on the IDX to Russia-Ukraine
significant difference in TVA in the food and beverage war-related events. The energy sector consistently dis-
sector on the IDX before and after the announcement of played strong reactions across all three Russia-Ukraine
the first positive COVID-19 cases in Indonesia. war-related events, as evidenced by significant changes
in stock prices, abnormal returns, cumulative abnormal
returns, and trading volume activity. This indicates a uni-
5. Discussion form reaction to Russia-Ukraine war-related events. In
contrast, the food and beverage sector exhibited a reaction
The presented comparative test results indicate that
that was more specific to each event, primarily reflected in
Russia-Ukraine war-related events, namely event 1 (the
abnormal and cumulative abnormal returns. This implies
announcement of Russia’s invasion of), event 2 (the
that the food and beverage sector’s reaction is linked to
announcement of an oil import embargo on Russia by
event-specific factors associated with the Russia-Ukraine
the European Union on the 31st of May 2022), and
war-related events, such as supply chain disruptions and
event 3 (the announcement of Ukraine’s first wheat export
shifts in international trade dynamics due to trade embar-
ship departure from the port of Odesa on the 1st of
goes. Nevertheless, despite the varying reactions of the
August 2022), triggered market reactions across the energy
energy sector and the food and beverage sector to different
and food and beverage sectors on the Indonesia Stock
Russia-Ukraine war-related events, there is still a common-
Exchange (IDX).
ality in their more pronounced reaction towards event 3.
In the energy sector, the hypotheses (H1a , H1b , H1c )
concerning stock prices were accepted, indicating a signif-
icant difference in stock prices before and after all three
6. Conclusion
events. This suggests that these events prompted significant
reactions within the market, likely due to their potential The findings of this study reveal that Russia-Ukraine
to disrupt global energy markets and supply chains. Addi- war-related events had an impact on the Indonesia Stock
tionally, abnormal returns (AR) and cumulative abnormal Exchange (IDX), triggering both immediate and subse-
returns (CAR) in the energy sector (H2b , H2c , H3b , H3c ) quent market reactions across the energy and food and
were found to be significantly different before and after beverage sectors. Of particular note is the diverse nature of
events 2 and 3, but not before and after event 1. This these reactions across various events within these sectors. A
suggests that events related to the oil import embargo and more pronounced market reaction was observed following
Ukraine’s wheat export elicited a stronger market reaction event 3 (the announcement of Ukraine’s first wheat export
compared to the announcement of Russia’s invasion of ship departure from the port of Odesa on 1st August 2022)
Ukraine. Moreover, trading volume activity (TVA) in the compared to event 2 (the announcement of an oil import
energy sector (H4a , H4c ) demonstrated a significant dif- embargo on Russia by the European Union) and event
ference before and after events 1 and 3, but not event 2. 1 (the announcement of Russia’s invasion of Ukraine).
This suggests that events related to Russia’s invasion and This difference could be attributed to event 3 being a
Ukraine’s first wheat export provoked a more pronounced significant diplomatic breakthrough since the war’s start,
market reaction compared to the oil import embargo involving multiple countries worldwide. Russia’s blockade
event. of Ukrainian ports for months necessitated intervention
In the food and beverage sector, the results showed that from numerous nations to enable Russia’s participation
the hypothesis (H1b ) regarding stock prices was accepted in the wheat and grain export agreement with Ukraine,
for event 2, indicating a significant difference in stock facilitated by Turkey and the United Nations. In contrast,
prices before and after the announcement of the oil import event 2 represents the European Union’s (EU) intervention
embargo. However, hypotheses H1a and H1c were rejected, effort to halt the Russia-Ukraine war, involving solely EU
indicating no significant difference in stock prices before member countries, and event 1 involved only Russia and
and after events 1 and 3 in this sector. This suggests that Ukraine. Given these findings, it is evident that Russia-
the food and beverage sector displayed a significant reac- Ukraine war-related events involving multiple countries
tion to the oil import embargo event, possibly due to the or entities exert a greater impact on the energy and food
embargo’s direct effect on trade relationships and supply and beverage sectors within the IDX, leading to more
chains, particularly those related to oil, which might have pronounced market reactions. Additionally, the findings of
triggered a ripple effect on other sectors, including food this study also reveal that the IDX exhibits a level of semi-
and beverages. AR and CAR for the food and beverage strong form market efficiency. This is evident from the
sector (H2a , H2b , H2c , H3a , H3b , H3c ) were found to be differences in stock prices within the IDX before and after
significantly different before and after all three events. This Russia-Ukraine war-related events, indicating adjustments
indicates that these three events prompted a strong reaction to stock prices in response to newly available information
within the market. Regarding TVA in the food and bev- concerning these events. Consequently, stock prices in the
erage sector, there was a significant difference before and IDX reflect all publicly available information.

Vol 8 | Issue 5 | October 2023 195

Comparative Analysis of Stock Prices, Abnormal Return, Cumulative Abnormal Return Sari et al.

The implications of these findings span across multi- www.cnbcindonesia.com/market/20220308082957-17-320812/harga

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