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.

Vol 8 | Issue 5 | October 2023 187

Comparative Analysis of Stock Prices, Abnormal Return, Cumulative Abnormal Return
1. Introduction
In today’s interconnected and globalized world, geopo-
litical events have a profound impact on global financial
markets, with their repercussions often extending beyond
the borders of the countries directly involved. Geopo-
litical events, ranging from geopolitical conflicts and
trade disputes to natural disasters and pandemics, possess
the potential to influence financial markets significantly,
sparking substantial market reactions. One such geopo-
litical event that has drawn international attention and
raised widespread concerns about its implications for
economies and financial markets worldwide is the Russia-
Ukraine war. Despite the geographical distance between
Indonesia and the epicentre of the Russia-Ukraine war,
the Indonesia Stock Exchange (IDX) remains intrinsi-
cally connected to the global financial system, rendering
it susceptible to external shocks and the spillover effects
of geopolitical events. As a vital platform for domestic
and international investors to trade stocks and securities,
the IDX plays a pivotal role in shaping Indonesia’s eco-
nomic landscape. The Russia-Ukraine war, characterized
by heightened geopolitical tensions, economic uncertain-
ties, increases in commodity prices—particularly energy
and natural resources—and trade disruptions, holds the
potential to significantly impact the functioning of the
IDX, leading to fluctuations in stock prices, trading vol-
umes, and overall market volatility.
The impact of the Russia-Ukraine war on the IDX
became evident on the 24th of February 2022, following
Russia’s invasion and military attacks on Ukraine. The
invasion raised concerns among investors in the IDX,
prompting them to take precautionary measures to safe-
guard their funds by divesting from risky assets, including
stocks. This shift in investor sentiment had a direct impact
on the Jakarta Composite Index (IDX Composite), which
closed the trading day in the red zone, weakening by 102.2
points or 1.48% to reach 6,817.82, as shown in Fig. 1
(Safitri, 2022). Simultaneously, the downturn in the market
affected 492 companies listed on the IDX, causing their
stock prices to decline (Shemi, 2022).
Additionally, the Russia-Ukraine war disrupted the
global supply of energy commodities, resulting in a surge
Fig. 1. Jakarta Composite Index on the Day of Russia’s Invasion of Ukraine on the 24th of February 2022. Source: Jayani (2022).
Sari et al.
in energy prices due to Russia’s significant role as a major
producer and exporter. Consequently, the price of Indone-
sian Crude Price (ICP) followed the upward trajectory
of global crude oil prices and skyrocketed towards the
US$100 level, surpassing the assumption of US$63 per
barrel set in Indonesia’s 2022 State Budget (Andrianto,
2022). This surge in oil prices brought positive implications
for the energy sector in Indonesia, as evidenced by the
remarkable growth of the energy sector index. In 2022,
the energy sector index outperformed all other sectoral
stock indices, achieving an extraordinary growth rate that
exceeded 100% (Rahmawati, 2022). Fig. 2 displays the per-
formance trend of the Composite Index along with various
sectoral indices throughout the year 2022, providing a clear
visual representation of the energy sector’s outstanding
performance in comparison to the Jakarta Composite
Index (IDX Composite) and other sectoral stock indices.
Moreover, the Russia-Ukraine conflict also disrupted
the global supply of wheat, resulting in a rise in global
wheat prices. While wheat is not a staple food in Indonesia,
the country heavily relies on imported wheat for various
processed food products, including instant noodles and
bread, which are widely consumed by the Indonesian pop-
ulation. According to data provided by Indonesia’s Central
Statistics Agency, in 2021, Indonesia imported a total of
11,172 tonnes of wheat and meslin, valued at US$3,449.8
million, with Ukraine standing out as the second-largest
supplier, accounting for 2,834 tonnes valued at US$843.6
million (Badan Pusat Statistik-BPS, 2022). The increase in
global wheat prices adversely affected food and beverage
companies in Indonesia, such as PT Indofood CBP Sukses
Makmur Tbk and PT Mayora Indah Tbk. Following the
start of the Russia-Ukraine war, MYOR’s shares experi-
enced the most significant decline of −14% in a week, while
ICBP’s shares also stumbled with a decline of −12.94%
(Fernando, 2022).
Several previous studies have examined the reaction of
the stock market to the Russia-Ukraine war using an
event study methodology. One of these studies conducted
by Joshipura and Lamba (2022) investigated the impact
of the Russian invasion of Ukraine on stock markets in
95 countries, including Indonesia. Their findings revealed
Vol 8 | Issue 5 | October 2023 188
Sari et al.
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
as cumulative abnormal returns (CAR) in the majority of
the countries studied, reflecting an overall negative market
reaction. In addition, their findings showed that the inva-
sion triggered different short-term and long-term market
reactions in each country. The findings of Joshipura and
Lamba (2022) are supported by the study conducted by
Boubaker et al. (2022) on the impact of the Russia-Ukraine
invasion on markets in 23 developed and 24 emerging
countries, including Indonesia, within the Morgan Stan-
ley Capital Investment (MSCI) classification. In line with
Joshipura and Lamba’s (2022) findings, Boubaker et al.
(2022) also observed a negative CAR, indicating an over-
all negative market reaction while observing variations in
market reactions across different countries. Additionally,
Tambunan et al. (2023) conducted a study examining the
reaction of the energy sector on the IDX to the Russian
invasion of Ukraine. Tambunan et al. (2023) found sig-
nificant differences in AR and trading volume activity
(TVA) before and after the invasion, highlighting a notable
market reaction in the energy sector on the IDX due
to the invasion. The findings of Tambunan et al. (2023)
are aligned with another study conducted by Kurniawan
and Sudirman (2023), which also examined the market
reactions in the energy sector on the IDX following the
Russian invasion of Ukraine. Similar to Tambunan et al.
(2023), Kurniawan and Sudirman (2023) noted significant
differences in AR before and after the invasion, further
supporting the presence of market reactions in the energy
sector on the IDX caused by the invasion.
In summary, the collective findings of previous studies
indicate that the Russia-Ukraine war events have a sig-
nificant impact on investor decision-making and trigger
market reactions, as evident from varying AR and CAR
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
IDX to the impacts of the Russia-Ukraine war-related
events. To bridge this gap, this study aims to employ event
study methodology to analyze and evaluate the market
reactions of the IDX to three Russia-Ukraine war-related
Comparative Analysis of Stock Prices, Abnormal Return, Cumulative Abnormal Return
events, namely (1) the announcement of the Russian inva-
sion of Ukraine, (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 Ukraine’s first
wheat export ship departure from the port of Odesa on the
1st of August 2022. Focusing specifically on the energy sec-
tor and the food and beverage sector of the IDX, this study
will examine stock prices, AR, CAR, and TVA within these
sectors.
Furthermore, beyond analyzing and evaluating market
reactions, this study also assesses the market efficiency
of the IDX based on the informationally efficient market
hypothesis. According to this hypothesis, an efficient mar-
ket promptly and accurately incorporates new information
into stock prices, limiting opportunities for investors to
earn AR (Fama, 1970). This study will utilize the same
event study methodology to assess the market efficiency of
the IDX. The stock prices will serve as indicators of market
efficiency. By integrating the analysis of market reactions
and market efficiency, this study aims to enhance our
understanding of the interplay between geopolitical events,
market reactions within the IDX, and the market efficiency
of the IDX. The findings of this study will have signifi-
cant implications for investors, policymakers, and financial
institutions, providing them with valuable insights to nav-
igate the IDX during geopolitical events. Investors will
gain deeper insights into potential risks and opportuni-
ties within the IDX, while policymakers can proactively
devise suitable strategies to manage the impact of geopo-
litical events, ensuring market stability and reinforcing
investor confidence. Moreover, financial institutions can
establish robust risk management frameworks, enabling
them to accurately assess market vulnerabilities and opti-
mize their investment strategies during such geopolitical
events.
2. Literature Review and Hypotheses
2.1. Informationally Efficient Market Hypothesis
The informationally efficient market hypothesis is a
theory stating that a market is considered efficient when
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Comparative Analysis of Stock Prices, Abnormal Return, Cumulative Abnormal Return
the prices of its securities accurately and rapidly reflect
all available information. This means that the market
efficiently processes information so that prices promptly
adjust to new information as it becomes available. Conse-
quently, investors are unable to consistently gain abnormal
returns (AR) by exploiting market inefficiencies caused
by incomplete or delayed information. As the market
becomes more informationally efficient, the chance of
gaining AR decreases. There are three levels of market
efficiency based on the type of information that is reflected
in asset prices (Fama, 1970):
1. Weak-form efficiency: In a weak-form efficient mar-
ket, all past market trading information, such as
price and volume data, is already reflected in the
current stock prices. This means that historical
price patterns and trading data cannot provide an
advantage to investors in predicting future price
movements. As a result, investors cannot consis-
tently outperform the market or gain AR by relying
solely on technical analysis or historical trading
information.
2. Semi-strong form efficiency: In a semi-strong form
efficient market, all publicly available information,
including financial statements, news, announce-
ments, and economic data, is quickly and accurately
reflected in stock prices. This means that any
new information that becomes public knowledge is
almost instantly incorporated into prices, leaving lit-
tle room for investors to exploit the information for
excess returns. Consequently, neither fundamental
analysis nor the use of publicly available information
alone can consistently lead to AR.
3. Strong-form efficiency: In a strong-form efficient
market, all information, whether public or private,
is fully and immediately reflected in stock prices.
This includes not only publicly available informa-
tion but also insider information. In such a market,
no group of investors, including insiders, can con-
sistently earn above-average returns based on their
access to information. This implies that even if an
investor has insider knowledge, they cannot exploit
it to gain AR as the market has already factored in
that information.
2.2. Event Study
Event study is a research methodology used to analyze
the market’s reaction to publicly announced events, such as
a company’s earnings announcement, a merger or acqui-
sition, a regulatory change, or any other event that could
potentially impact the market (Hartono, 2018). When an
event contains information relevant to the market, the
market will react upon receiving that information, and
vice versa. Market reactions are typically indicated by
differences in stock prices, which can be measured through
abnormal returns (AR). An event can be considered to
contain relevant information if it generates AR. According
to Tandelilin (2019), the market will respond positively
to good news and negatively to bad news, where positive
market reactions generate positive AR, while negative mar-
ket reactions generate negative AR. In addition to AR,
Sari et al.
the market’s reaction to an event can also be measured
by trading volume activity (TVA), which reflects the sen-
timent and investment decisions of investors in response
to the information content of the event. Increased TVA
indicates a positive reaction to the information and vice
versa (Hartono, 2018).
2.3. Stock Price
Stock price refers to the price of a stock that is valid in
the stock market during a specific time period and can vary
over time based on the demand and supply for the stock at
that moment (Darmadji & Fakhruddin, 2012). The com-
mon types of stock prices are as follows (Widioatmodjo,
2015):
1. The nominal price is the price stated on each share
of stock issued by a company, and investors are
required to pay this nominal price upfront as capital.
The minimum dividend that a company will pay is
usually determined based on the nominal price of a
stock.
2. Initial Public Offering (IPO) price is the price during
the IPO set by the underwriter and the company
issuing the stock. Although each share of stock has
a nominal price, the IPO price may not always be the
same as the nominal price stated.
3. The opening price is the price at which sellers or
buyers request a stock when the stock market opens.
4. Market price is the price at a specific time period,
determined by the demand and supply in the stock
market during that period. The stock price can fluc-
tuate based on the amount of demand and supply for
that stock.
5. The closing price is the last price at which sellers or
buyers request a stock when the stock market closes.
In addition to the demand and supply for a stock, other
factors that can influence the stock price in the stock
market are as follows (Alwi, 2008):
1. Internal factors originate from within the company
issuing the stock, such as equity and debt-related
announcements, changes in the board of directors
or company management, mergers and acquisi-
tions, announcements about business development
or expansion, and announcements of the company’s
financial reports.
2. External factors originate from outside the com-
pany issuing the stock, such as changes in interest
rates, inflation, new economic regulations, legal
claims against the company, fluctuations in cur-
rency exchange rates, political turmoil, various
domestic and foreign issues, and stock trading
restrictions.
2.4. Abnormal Return
Abnormal returns (AR) is the difference between the
actual return of a stock and the expected return of the
stock, often caused by a specific event, and can be calcu-
lated using the following formula (Hartono, 2017):
ARit = Rit − E (Rit ) (1)
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Sari et al. Comparative Analysis of Stock Prices, Abnormal Return, Cumulative Abnormal Return
where:
ARit = Abnormal return of stock i at time t;
Rit = Actual return of stock i at time t;
E(Rit ) = Expected return of stock i at time t, which
can be calculated using the capital asset pricing model as
follows:
 
E (Rit ) = Rf + βi Rm − Rf (2)
where:
E(Rit ) = Expected return of stock i at time t;
Rf = Risk-free rate;
β = Beta;
Rm = Market return.
2.5. Cumulative Abnormal Return
Cumulative abnormal returns (CAR) is the sum of
abnormal returns (AR) over a specific time period and can
be calculated using the following formula (Hartono, 2017):

t2
CARit = ARit (3)
t1
where:
CARit = cumulative abnormal returns of stock i at time
t;
ARit = abnormal returns of stock i at time t.
2.6. Trading Volume Activity
Trading Volume Activity (TVA) is the ratio of the total
number of shares traded to the total number of shares
outstanding (or available for trading) in the market over
a specific time period and can be calculated using the
following formula (Hartono, 2017):
 significant AR and cumulative abnormal returns (CAR)
Stock i traded at time t
TVAit =  (4)
Stock i outstanding at time t
where:
TVAit = trading volume activity of stock i at time t.
2.7. Research Hypotheses
The Russia-Ukraine war has emerged as a significant
geopolitical event that has garnered international attention
and raised concerns about its impact on the Indonesia
Stock Exchange (IDX). The escalating geopolitical ten-
sions, economic uncertainties, rising energy and natural
resource commodity prices, and trade disruptions caused
by the Russia-Ukraine war have the potential to influence
the performance of the IDX and trigger market reactions.
Market reactions are typically indicated by differences in
stock prices, which can be measured through abnormal
returns (AR) (Hartono, 2018). The ability of investors to
obtain AR depends on the efficiency level of the market.
According to the informationally efficient market hypoth-
esis, in an efficient market, stock prices reflect all available
information accurately and rapidly, making it difficult for
investors to gain AR (Fama, 1970). Conversely, in less
efficient markets, stock prices may not accurately and
rapidly reflect all information, providing investors with
more opportunities to exploit information and gain AR
until stock prices adjust. In addition to AR, market reac-
tions to an event can also be measured through trading
volume activity (TVA), which reflects investor sentiment
and investment decisions in response to the information
content of the event (Hartono, 2018).
Several previous studies have examined market reac-
tions to the Russia-Ukraine conflict using the event study
method. For instance, Richad et al. (2023) conducted a
study on market reactions in the energy and non-consumer
cyclical sectors of the Indonesia Stock Exchange con-
cerning seven Russia-Ukraine war-related events. These
events included the announcement of the Russian inva-
sion of Ukraine, the US-imposed Russian oil import
embargo, the Russian blockage of Ukraine’s main wheat
export route, the European Union-imposed Russian oil
import embargo, Indonesia’s announcement that Russia
had agreed to open a wheat export sea route for Ukraine,
Ukraine’s first wheat export since the war began, and
the Minister of Agriculture’s announcement predicting a
threefold increase in instant noodle prices. The results of
their study showed significant differences in stock prices,
AR, and TVA before and after some of the Russia-Ukraine
war-related events they examined. These significant dif-
ferences in stock prices, AR, and TVA reflected market
reactions to the Russia-Ukraine war-related events. Fur-
thermore, Yousaf et al. (2022) conducted a study on market
reactions in G20 member countries and several other
countries, including Romania, Hungary, the Netherlands,
Slovakia, Poland, and Ukraine, following the outbreak of
the geopolitical conflict between Russia and Ukraine. The
study focused on the announcement of Russia’s military
operation in Ukraine on February 24 2022. The results of
their study indicated that the announcement of Russia’s
military operation in Ukraine resulted in negative and
in most countries, particularly European countries and
Russia. The negative and significant values of AR and
CAR reflected negative and significant market reactions
to the announcement of Russia’s military operation in
Ukraine on the day of the event and post-event.
Drawing from the literature review and building upon
the insights gained from the previous studies, this study
develops the following research hypotheses:
1. H 1 : There is a significant difference in stock prices on
the IDX before and after the following Russia-Ukraine
war-related events:
a) Event 1: the announcement of Russia’s invasion
of Ukraine on the 24th of February 2022.
b) Event 2: the announcement of an oil import
embargo on Russia by the European Union on
the 31st of May 2022.
c) Event 3: the announcement of Ukraine’s first
wheat export ship departure from the port of
Odesa on the 1st of August 2022.
2. H 2 : There is a significant difference in abnormal
returns on the IDX before and after (a) event 1, (b)
event 2, and (c) event 3.
3. H 3 : There is a significant difference in cumulative
abnormal returns on the IDX before and after (a)
event 1, (b) event 2, and (c) event 3.
Vol 8 | Issue 5 | October 2023 191
Comparative Analysis of Stock Prices, Abnormal Return, Cumulative Abnormal Return Sari et al.

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

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-
nificant value of the cumulative average abnormal return
(CAAR), where a positive and significant CAAR value
reflects an increase in the stock prices of the energy sector.
Based on the comparative test results presented in
Table VIII, H2b and H2c for the energy sector are accepted,
but H2a is rejected, indicating there is a significant differ-
ence in AR in the energy sector on the IDX before and
after events 2 and 3, but no significant difference before
and after event 1. These comparative test results support
the findings of previous study by Huka and Kelen (2022) as
well as the findings of previous research by Kusuma et al.
(2022), which showed no significant difference in AR in the
energy sector on the IDX before and after the announce-
ment of Russia’s invasion of Ukraine on February 24 2022.
Based on the comparative test results presented in
Table IX, H3b and H3c for the energy sector are accepted,
but H3a is rejected, indicating there is a significant differ-
ence in CAR in the energy sector on the IDX before and
after events 2 and 3, but no significant difference before
and after event 1. These comparative test results support
the findings of previous study by Ahmed et al. (2022),
which showed no significant difference in CAR in the
energy sector of the STOXX Europe 600 index before and
after the onset of the geopolitical crisis between Russia and
Ukraine, marked by the announcement of Russia’s recog-
nition of the independence of two pro-Russian separatist
regions in eastern Ukraine, namely Donetsk and Luhansk,
on Monday, the 21st of February 2022.
Based on the comparative test results presented in
Table X, H4a and H4c for the energy sector are accepted,
but H4b is rejected, indicating there is a significant dif-
ference in TVA in the energy sector on the IDX before
and after events 1 and 3, but no significant difference
before and after event 2. These comparative test results
support the findings of a previous study by Amelya (2022),
which showed a significant difference in TVA in the oil
and gas sector in 7 countries, namely Saudi Arabia, the
United States, Canada, the United Arab Emirates, Nigeria,
Kuwait, and Norway, before and after the announcement
of Russia’s invasion of Ukraine.
4.4. Comparative Analysis of the Food and Beverage
Sector
Based on the comparative test results presented in
Table XI, H1b for the food and beverage sector is accepted,
but H1a and H1c are rejected, indicating there is a signif-
icant difference in stock prices in the food and beverage
sector on the IDX before and after events 2, but no sig-
nificant difference in stock prices before and after event
1 and 3. These comparative test results support the find-
ings of a previous study by Herninta and Rahayu (2021),
which showed significant differences in stock prices of the
food and beverage sector on IDX before and after the
announcement of the first positive COVID-19 cases in
Indonesia, which reflects the IDX’s market reaction.
Based on the comparative test results presented in
Table XII, H2a , H2b and H2c for the food and beverage
sector are accepted, indicating there is a significant differ-
ence in AR in the food and beverage sector on the IDX
before and after events 1, 2 and 3. These comparative test
results support the findings of a previous study by Seo
et al. (2013), which showed a significant difference in AR in
the food and beverage sector before and after food safety-
related events.
Based on the comparative test results presented in
Table XIII, H3a , H3b and H3c for the food and beverage
sector are accepted, indicating there is a significant differ-
ence in CAR in the food and beverage sector on the IDX
before and after events 1, 2 and 3. These comparative test
results support the findings of a previous study by Seo et al.
(2013), which showed a significant difference in CAR in
the food and beverage sector before and after food safety-
related events.
Based on the comparative test results presented in
Table XIV, H4c for the food and beverage sector is
accepted, but H4a and H4b are rejected, indicating there is a
significant difference in TVA in the food and beverage sec-
tor on the IDX before and after events 1, but no significant
difference in TVA before and after event 1 and 2. These
comparative test results support the findings of a previous
study by Zuhroh and Putri (2021) as well as the findings
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
Event z-value p-value
Event 1 −0.314b 0.754
Event 2 −0.401b 0.688
Event 3 −2.483b 0.013
significant difference in TVA in the food and beverage
sector on the IDX before and after the announcement of
the first positive COVID-19 cases in Indonesia.
5. Discussion
The presented comparative test results indicate that
Russia-Ukraine war-related events, namely event 1 (the
announcement of Russia’s invasion of), event 2 (the
announcement of an oil import embargo on Russia by
the European Union on the 31st of May 2022), and
event 3 (the announcement of Ukraine’s first wheat export
ship departure from the port of Odesa on the 1st of
August 2022), triggered market reactions across the energy
and food and beverage sectors on the Indonesia Stock
Exchange (IDX).
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
events. This suggests that these events prompted significant
reactions within the market, likely due to their potential
to disrupt global energy markets and supply chains. Addi-
tionally, abnormal returns (AR) and cumulative abnormal
returns (CAR) in the energy sector (H2b , H2c , H3b , H3c )
were found to be significantly different before and after
events 2 and 3, but not before and after event 1. This
suggests that events related to the oil import embargo and
Ukraine’s wheat export elicited a stronger market reaction
compared to the announcement of Russia’s invasion of
Ukraine. Moreover, trading volume activity (TVA) in the
energy sector (H4a , H4c ) demonstrated a significant dif-
ference before and after events 1 and 3, but not event 2.
This suggests that events related to Russia’s invasion and
Ukraine’s first wheat export provoked a more pronounced
market reaction compared to the oil import embargo
event.
In the food and beverage sector, the results showed that
the hypothesis (H1b ) regarding stock prices was accepted
for event 2, indicating a significant difference in stock
prices before and after the announcement of the oil import
embargo. However, hypotheses H1a and H1c were rejected,
indicating no significant difference in stock prices before
and after events 1 and 3 in this sector. This suggests that
the food and beverage sector displayed a significant reac-
tion to the oil import embargo event, possibly due to the
embargo’s direct effect on trade relationships and supply
chains, particularly those related to oil, which might have
triggered a ripple effect on other sectors, including food
and beverages. AR and CAR for the food and beverage
sector (H2a , H2b , H2c , H3a , H3b , H3c ) were found to be
significantly different before and after all three events. This
indicates that these three events prompted a strong reaction
within the market. Regarding TVA in the food and bev-
erage sector, there was a significant difference before and
after event 3 (H4c ), while no significant differences were
observed before and after events 1 and 2. This suggests that
Ukraine’s first wheat export elicited a more pronounced
market reaction in comparison to the other two events.
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
war-related events. The energy sector consistently dis-
played strong reactions across all three Russia-Ukraine
war-related events, as evidenced by significant changes
in stock prices, abnormal returns, cumulative abnormal
returns, and trading volume activity. This indicates a uni-
form reaction to Russia-Ukraine war-related events. In
contrast, the food and beverage sector exhibited a reaction
that was more specific to each event, primarily reflected in
abnormal and cumulative abnormal returns. This implies
that the food and beverage sector’s reaction is linked to
event-specific factors associated with the Russia-Ukraine
war-related events, such as supply chain disruptions and
shifts in international trade dynamics due to trade embar-
goes. Nevertheless, despite the varying reactions of the
energy sector and the food and beverage sector to different
Russia-Ukraine war-related events, there is still a common-
ality in their more pronounced reaction towards event 3.
6. Conclusion
The findings of this study reveal that Russia-Ukraine
war-related events had an impact on the Indonesia Stock
Exchange (IDX), triggering both immediate and subse-
quent market reactions across the energy and food and
beverage sectors. Of particular note is the diverse nature of
these reactions across various events within these sectors. A
more pronounced market reaction was observed following
event 3 (the announcement of Ukraine’s first wheat export
ship departure from the port of Odesa on 1st August 2022)
compared to event 2 (the announcement of an oil import
embargo on Russia by the European Union) and event
1 (the announcement of Russia’s invasion of Ukraine).
This difference could be attributed to event 3 being a
significant diplomatic breakthrough since the war’s start,
involving multiple countries worldwide. Russia’s blockade
of Ukrainian ports for months necessitated intervention
from numerous nations to enable Russia’s participation
in the wheat and grain export agreement with Ukraine,
facilitated by Turkey and the United Nations. In contrast,
event 2 represents the European Union’s (EU) intervention
effort to halt the Russia-Ukraine war, involving solely EU
member countries, and event 1 involved only Russia and
Ukraine. Given these findings, it is evident that Russia-
Ukraine war-related events involving multiple countries
or entities exert a greater impact on the energy and food
and beverage sectors within the IDX, leading to more
pronounced market reactions. Additionally, the findings of
this study also reveal that the IDX exhibits a level of semi-
strong form market efficiency. This is evident from the
differences in stock prices within the IDX before and after
Russia-Ukraine war-related events, indicating adjustments
to stock prices in response to newly available information
concerning these events. Consequently, stock prices in the
IDX reflect all publicly available information.
Vol 8 | Issue 5 | October 2023 195
Comparative Analysis of Stock Prices, Abnormal Return, Cumulative Abnormal Return
The implications of these findings span across multi-
ple domains. Investors can capitalize on these insights to
make well-informed decisions that effectively manage risk
and maximize returns. Simultaneously, policymakers can
utilize these insights to tailor policies that address sector-
specific vulnerabilities and opportunities stemming from
geopolitical events. This targeted approach enhances both
risk management and overall economic stability. Corre-
spondingly, financial institutions can harness these insights
to refine their risk management strategies and provide
more accurate investment recommendations, thereby nav-
igating uncertainties with greater resilience. Furthermore,
this study serves as a catalyst for further exploration.
Future studies could delve into a more comprehensive
examination of sub-sectors within the energy and food
and beverage sectors, dissecting their distinct responses
to geopolitical events. Additionally, extending the analysis
to encompass a wider spectrum of events from diverse
geopolitical contexts or additional sectors could yield
deeper insights into the varying market reactions observed.
In conclusion, this study sheds light on the interplay
between geopolitical events, market reactions within the
IDX, and the market efficiency of the IDX. The findings
of this study contribute to a deeper understanding of how
geopolitical events shape financial markets, especially the
IDX, offering opportunities for more informed decision-
making, strategic adaptation, and risk mitigation in an
ever-evolving economic landscape.
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