DIFFERENTIATION ANALYSIS OF ABNORMAL STOCK RETURN AMID POLITICAL CONTESTATION AND PANDEMIC IN INDONESIA

Political events frequently affect the condition of the stock market and industrial sectors anywhere in the world, Indonesia is no exception. Regarding the political year, the manufacturing industry is expected to perform the best. The two manufacturing industry sectors are expected to gain the highest performance growth, namely the food and beverage industry and textile product industry. Due to the increasing demand for election campaign activities in local Indonesia, both are likely to achieve positive growth. The condition of pandemic of Covid-19 strike combined political events are an event that could have implications for capital market turbulence, this hypothesis is developed on the assumption that major events can affect the macroeconomics so that corporate actions in the form of dividend announcements can affect stock returns, this will certainly be avoided by investors. However, in this research using event study data set for 2018-2020 based on the corporate actions of dividend announcements, it was revealed that this was not an influential factor. Using the event study research method and the paired sample t-test, the results show that there is no difference in stock returns before and after the announcement of dividends, even though the corporate action was carried out during the Covid-19 pandemic which was happened consecutively after political events. From the results of the research conducted by the writers, which results in the premise that cash dividend announcements do not provide a good signal for investors in Indonesia, there is an assumption that investors do not notice dividend announcements as a distortion of interest in investing .


A. INTRODUCTION
The development of capital market activities is one of the information that shows the growth of a country, especially in the financial sector, the capital market is the scene where investors expect on gaining profit in return of investment. To get the expected results, every investor must pay attention to several important aspects of the company's financial and non-financial investments, which can affect the rate of return.
The advantage that gathered by investors when investing in the capital market is the dividends distributed by the issuer. Issuers distribute dividends to shareholders in return for their services. The dividend announcement is the day on which the company provides information about the distribution of dividends to the public, and the company also sets a specific date to determine which shareholders will receive the dividend1. Jogiyanto suggested that information released as an announcement will provide a signal for investors to make investment decisions. 2 If the announcement contains a positive value, the market is expected to react if the announcement was accepted by the market. The market reaction is expressed by fluctuation in the trading volume of the stock. When the information is announced and all market participants have accepted the information, market participants first interpret and analyze the information as a good signal (good news) or a bad signal (bad news), this can affect investment decisions. Economic situations these days in Indonesia are unpredictable, presumptions of the cause are sequence of events initiated by general election in 2019 and later the strike of pandemic of Covid-19 which led the economic condition become more reactive. Those two moments were relatively consecutive. As an economic instrument, the capital market cannot be separated from various environmental influences, especially the economic and political environment. Macroeconomic conditions, in the form of economic growth, inflation rates, currency exchange rates and financial sector policies will affect the growth of the capital market in Indonesia.
Likewise, the conditions of political events, such as wars, political unrest, changes of government or other events closely related to the stability of a country's economy, will be factors that influence the growth of the capital market. The favorable value of stock returns will lead the capital inflow to the market of the country, which could make the macroeconomic grow and indirectly prosper the society through uplift in purchasing power.
In terms of the stock market, a conducive political situation will make stock prices rise. On the other hand, if the political situation is uncertain, it will create an element of uncertainty in business. Political events frequently affect stock market conditions and industrial sectors anywhere in the world, Indonesia is no exception.
Indonesia has held elections in April 2019. Regarding the political year, the manufacturing industry was expected to perform the best. The two manufacturing industry sectors were expected to gain the highest performance growth, namely the food and beverage industry and the textile and textile product (TPT) industry. Due to the increasing demand for election campaign activities, both were likely to achieve positive growth. Airlangga Hartarto stated that the economy in general will move forward when the presidential and legislative elections are held in a conducive atmosphere. Therefore, industry players are able to take the opportunity in this political year, industrial growth can be boosted by elections as a catalyst. The increase in consumption mainly occurred in food and beverages as well as textile products.
During the campaign period, the need for the products of the two manufacturing industry sectors will increase. For example, for campaign attributes and campaign consumption or party meetings 3 .
The Ministry of Industry stated that the performance of the food and beverage industry, as well as the textile industry and textile product (TPT) were predicted to grow in the first semester of 2019. One of the reasons for this increase was the growth in consumption during the 2019 General Election and the holy month of Ramadan.
Secretary General of the Ministry of Industry Haris Munandar revealed that the increase was mainly in the domestic market in line with the election and the entry of the month of Ramadan. It was hoped that a smooth and safe election will support the future business climate. Haris said, "So far, the food and beverage industry, as well as the textile industry and textile product (TPT) continue to contribute to the growth of the non-oil and gas sector and the national economy. Throughout 2018, the growth of the textile and textile products (TPT) industry grew by 8.73% and the food and beverage industry at 7.91%. This realization was higher than the economic growth which was in the range of 5.17% 4 . Looking at the nine sectoral stock indexes on the IDX, the sectors that are still able to register strengthening since the first time the 3 "Pemilu 2019, Ini Rekomendasi Saham Dan Industri Yang Moncer -Finder Indonesia," accessed February 7, 2022, https://www.finder.com/id/pemilu-2019-ini-rekomendasi-sahamdan-industri-yang-moncer. 4 "Pemilu Dan Ramadan Kerek Pertumbuhan Industri Mamin Dan TPT Semester I -Industri Katadata.Co.Id," accessed February 7, 2022, https://katadata.co.id/ekarina/berita/5e9a51942f9fd/pemilu-dan-ramadan-kerekpertumbuhan-industri-mamin-dan-tpt-semester-i. Covid-19 case was announced in Indonesia, namely in early March 2020 until now are the consumer goods sector and the basic industry & chemical sector. This shows that consumer goods company stocks are the most resilient in a pandemic. During the period 30 December 2019 to 30 April 2020, the decline in the consumer goods sector index was only 11.27%, lower than the property and real estate sector which fell 41.84%. Even if viewed within a period of one month, March 2020 to April 2020, the consumer goods sector index rose 9.78%, while the property & real estate sector was minus 13.40%. In a pandemic situation like today, what the community needs are basic or primary needs. Companies engaged in business related to basic needs are the ones that can survive the most, as reflected in their share price. If dissected further, a number of researches from capital market analysts explained that the food and beverages (F&B) business line is considered one of the most resistant business sectors to the economic crisis during the Covid-19 pandemic. This is because people need food and drink supplies under any conditions, even in the midst of difficult conditions 5 .
Citing the Liputan 6 News article, it appears that PT Mayora Indah Tbk decided to distribute a cash dividend of Rp 30 per share. The total value of the dividends distributed is Rp. 670.76 billion. Dividends will begin to be distributed on July 30, 2020.
In 2019, the Company managed to achieve an increase in sales of Rp. 966 billion, compared to 2018. The figure was from Rp. 24.06 trillion in 2018 to Rp. 25.03 trillion in 2019. "Facing the risks in 2020, PT Mayora Indah Tbk will continue to innovate in its various business lines, so that the products produced by PT Mayora Indah Tbk will always be relevant to consumers," said President Director Andre Sukendra Atmadja. It is believed that these efforts will be able to continue to positively support the long-term financial performance of PT Mayora Indah Tbk 6 . Especially because the business line of PT Mayora Indah Tbk is a food and beverage product that has become the daily consumption needs of the community. 2019 was not an mild year, the dynamics that occurred at home and abroad generally limited the pace of economic growth. In this 5 "Mau Investasi Saham? Cek Sektor Usaha Yang Bertahan Di Masa Pandemi : Okezone Economy," accessed February 7, 2022, https://economy.okezone.com/read/2020/06/10/278/2227600/mau-investasi-saham-ceksektor-usaha-yang-bertahan-di-masa-pandemi. 6 "Mayora Tebar Dividen Rp 670,7 Miliar -Saham Liputan6.Com," accessed February 7, 2022, https://www.liputan6.com/saham/read/4290875/mayora-tebar-dividen-rp-6707-miliar. case, PT Mayora Indah Tbk was able to face and overcome the existing challenges well, and can even distribute cash dividends.
This research pick the scope of the implications of dividend announcements in the food and beverage sector because companies in that sector play an important role in meeting consumer needs. People's need for food and beverage products will always be there because it is one of the basic daily needs. Based on this fact, food and beverage companies are considered to continue to survive. The food and beverage industry is an industry with good development, positive growth or development, very fast and will always exist because it is a basic need of society. Judging from several previous studies that there is a significant difference between abnormal returns before dividend announcements in companies that experience an increase and decrease in dividends, and there is no significant difference between abnormal returns after dividend announcements 9 . In companies that experience an increase or decrease in dividends. Research on the impact of political events combined with pandemic situation on abnormal returns and stock trading volume activities is conducted through an event study. This event study was conducted to observe stock price movements in the capital market when an event occurred and to find out whether there were unusual investment returns received by investors as a result of the event. This encourages researchers to examine the differential analysis of abnormal return before and after the announcement of cash dividends amid political contestation and pandemic in Indonesia. This research is distinct from previous studies because it was conducted during certain moments, namely political contestation and pandemic conditions so that later readers can find out whether there are significant differences in abnormal stock returns before and after the announcement of cash dividends under certain conditions.
In this research, the writer used the data set of event study of IDX listed F&B companies during 2018 -2020 in regards of cash dividend announcement.
The writes hope that this research can contribute to various lines related to the capital market, especially related studies that continue to develop. The results of this study are expected to be input for issues so that they can be used as a reference to further improve the company's performance which in the end can maximize the company, then for investors, as a material consideration in making investment decisions and assessing the company, especially in certain conditions that indirectly affect the company like pandemics and politics. The writers also hope that this research can later become an empirical reference support that is relevant to similar research.

Dividend
Definition of dividend according to Gumanti 11 is part of the profits distributed to shareholders which can be in the form of cash dividends or stock

Signalling Theory
The dividend signal hypothesis theory was first proposed by Bhattacharya in John and William 15 . This theory states that dividends will reduce information inequality (information asymmetry) between management and shareholders by implying private information about the company's future prospects. The signal hypothesis theory explains that as dividends increase, stock prices will rise, and vice versa. This opinion is a signal from the company to investors about the condition of the company.

Irrelevancy Theory
Modigliani and Miller argued that under the given investment decision conditions, dividend payments would not affect the welfare of shareholders 16 .
Furthermore, Modigliani-Miller believed that the growth of the company depended on the profitability of the company's assets. Therefore, the company's growth is highly dependent on investment decisions. Modigliani-Miller uses various mathematical assumptions to prove that this is a perfect capital market. All investors are rational. There are no issuance fees or floating fees and transaction fees. Dividend policy has no effect on the company's own cost of capital, and every individual has access to information, especially with regard to investment opportunities. Modigliani-Miller believed that the most important point was that the impact of dividend payments on shareholder wealth would be offset by an amount equal to the expenditure or other means of capital 17 .

Clientele Effect Theory
This theory states that differences in the amount of dividends distributed will form different clients as well. Clientele effect theory states that there are differences in preferences between different shareholders on the company's dividend policy 18 . The theory also explains that for a certain group of shareholders, a certain dividend policy will benefit them more.

Bird in The Hand Theory
The relevant dividend theory or better known as the bird in the hand was put forward by Gordon and Lintner. Gordon 19 and Lintner 20  reducing risk. Bird in the hand theory states that investors prefer dividends to being retained by the company as retained earnings. Investors have the assumption that the dividends paid by investors are more certain so they have a lower risk than capital gains.

Abnormal Return
Abnormal return is the difference between the actual return and the expected return 21 . The actual return is the return that occurs at time t which is the difference in the current price relative to the previous stock price. While the expected return is a return that must be estimated. Called abnormal return (abnormal) because it is a return outside the normal. The normal return is the expected return (the return expected by investors). Abnormal returns occur due to new information or new events that change the value of the company and are reacted by investors in the form of an increase or decrease in stock prices. Whilst, according to Tandelilin, abnormal return is the difference between the actual return and the expected return that can occur before the information is published or there has been a leak of information after the information is published 22 . It can be inferenced that the abnormal return is the return received by investors that is not the same as the return they expect because there is information leakage. Abnormal returns can be calculated using the formula 23 : ARit = Rit -E(Rit) Explanation: • ARit: Abnormal return for stock i on day t.
• Rit: Actual return that occurs for stock i on day t.
• E(Rit): Expected return for stock i on day t

Average Abnormal Return (AAR)
Samsul stated that the average abnormal return is the average abnormal return of all types of stocks being analyzed on a daily basis, and also that the 21  Explanation: • AARt: Average abnormal return of all stocks on day t.
• ARi,t: Abnormal return for security i on day t.
• n: number of shares / number of securities affected by the announcement of the event.

Cumulative Abnormal Return (CAR) is the sum of Abnormal Return (AR)
from period to period, to see the development of abnormal returns over several periods, Cumulative Abnormal Return is the daily cumulative abnormal return from the first day to the following days for each type of stock 26 . It can be interpreted that cumulative abnormal returns during the period before an event occurs will be compared with CAR during the period after an event occurs.

Hypothesis Development
Research on market reaction to dividend announcement documented on dividend can cause positive reactions as well as negative reactions due to information asymmetry, which is a condition where one party has more information than the other party and is more prepared to face future problems. 31 .
Based on this analysis, the following framework can be designed as below: the announcement of cash dividends.
Ha : There is a significant difference in abnormal stock returns between before and after the announcement of cash dividends.

C. METHODS
This research using event study method which is observing the market reaction to an event whose information is published as an announcement 32 . The event in question is the dividend announcement. Research data obtained by documenting financial data which includes: 1. The name of the issuer that undertook dividend announcement activities during the research period, namely for the 2018-2020 period.
2. The date of the dividend announcement activity.
3. Data on the issuer's daily closing price for 3 days before, 3 days after the dividend announcement, as well as on the D day or the date of the activity 33 .

Figure 2 Windows Observing Period
Explanation: • t-3 : Period 3 days before ex-date in dividend announcement • t=0 : Ex-date in dividend announcement • t+3 : Period 3 days after ex-date in dividend announcement

Data Analysis Technique
The data analysis technique used is the statistical analysis of parametric Paired Sample T-Test. Before performing the parametric statistical analysis of the Paired Sample T-Test, descriptive statistical tests and data normality tests are required. Paired Sample T-Test parametric statistical analysis in this study was used to determine differences in abnormal returns before and after dividend announcements. 33 Ibid. Based on table 2, the abnormal return variables have differences when the average data is 3 days before the dividend announcement and 3 days after the dividend announcement from 60 companies with the minimum value, namely before the dividend announcement is -146.90 and after the dividend announcement is -230.35. These results indicate a difference from the minimum abnormal return value. The maximum value of abnormal return before dividend announcement is 364.92, while the maximum value after dividend announcement is 157.25, there is a difference from the maximum abnormal return value. The mean value of the abnormal return before the dividend announcement is 7.2115 with a standard deviation of 82.29458 and after the dividend announcement the mean value is -12.3568 with a standard deviation of 73.45337 with these results, there is a difference that is not exorbitant.

Data Normality Test Results
The normality test of the data uses the

Discussion
The test results of market reaction to the dividend announcement as indicated by the presence of abnormal returns, using the paired sample t-test abnormal returns in table 5 do not show any significant difference between abnormal returns in the period before and after the dividend announcement, which is indicated by a significance of p value of more greater than 0.05, the results showed the paired sample t-test is 0.175, which is higher than 0.05. This shows that the announcement of dividends by the company through the annual financial report does not contain relevant information for shareholders to make decisions in investing, for example through buying and selling shares traded on the Indonesia Stock Exchange, even amid political contestation nor the Covid-19 pandemic situation. The leak of information about issuers that would distribute dividends is considered to result in information being spread evenly and not causing a positive and meaningful price reaction. This does not prove the writers' assumption in the background of this study that political climate conditions and pandemics can affect abnormal stock returns before and after the announcement of cash dividends.
The results of descriptive statistical data on market reactions to dividend announcements show a negative signal that causes an abnormal decline, although not significant, from the average value of 7.2115 before dividends and -12.3568 before dividends. Investors stated that the distribution of dividends is not the only information that provides benefits on a share that has been invested in a company, so investors do not keep the shares distributed until before the ex-dividend date.
Due to the financial crisis in developed countries, the unstable economic condition in Indonesia is also the reason why investors do not respond to dividends as information that can provide benefits. Investors will be very careful when making investment decisions. Because in a less stable economic condition it will be difficult to predict the uncertainty that will occur. The financial crisis in developed countries will affect the economies of developing countries. Therefore, investors will avoid This study has limitations that can be taken into consideration for future researchers in order to get better results, including: 1. The market reaction in this study is only observerd from abnormal returns, so therefore it cannot affect the market reaction in this study.
2. The observation period of this study uses a matter of days, so that the variation in stock returns is not very different.

E. CONCLUSION
Based on the research results that has been undertook on the differentiation of abnormal returns before and after the announcement of dividends, the case study on 35  food and beverage companies listed on the IDX during political contestation and Covid-19 pandemic, the writers came to the following conclusions: 1. There is no significant difference between abnormal returns before and after the dividend announcement, even though these events coincided with political contentions and the Covid-19 pandemic in Indonesia, this raises another perspective on investor psychology, which still looks at the intrinsic value of the company itself.
2. Else that can cause this anomaly is because investors do not interpret dividend announcements as profitable information. This signal is not seen properly around the dividend announcement, so it can be interpreted that even if there is an unfavorable market reaction, it cannot change investors' interest in investing. Investors are allegedly sticking with their investment decisions by ignoring information on dividend announcements that occur in the stock market.
This proves the findings of Larasati & Ahmad 38 , Sudira Putra et al. 39 , Ni Indah Mentari & Abundanti 40 that there was no significant difference between abnormal returns before and after the announcement of cash dividend. The significance of p value results show score 0.175, which is greater than 0.05, means that there is no significance differentiation of abnormal returns between before and after dividend announcement, although it is observed amid political events and pandemics.
By means of this research, the writers suggest that investors should more focused and careful in making decisions, and not too focused on internal information, namely dividend announcements because they have no effect on stock returns and more closely observe external information such as macroeconomic changes. On the other hand, it is better for companies to take corporate action, namely in the form of dividend announcements, prioritizing to pay attention to market conditions, whether the market is in a stable condition or not. Because based on the results of this research, dividend announcements do not result a significant implication on the market, so it is 38  necessary to pay attention to market conditions so that the company's goals of carrying out corporate action could be achieved.
For further research, it is recommended not only inspects the difference between abnormal stock returns before and after the announcement of cash dividends, but also solicits for more other indicators with more diverse characteristics from various independent variables regarding market reactions and adds the number of samples of companies that researched, not only food and beverage companies, but several companies listed on the IDX so that the data is not biased and can give different results, and shortens the window period or the observation period in hours, so that variations in stock returns will show the differentiation and can see better market reaction.