ANALISIS REAKSI PASAR MODAL TERHADAP KETEGANGAN GEOPOLITIK SELAT HORMUZ: STUDI KASUS PADA SAHAM SEKTOR ENERGI DI BEI

Abstract

The Strait of Hormuz is one of the most critical oil transit routes in the world, handling approximately 20% of global oil supply per day. Geopolitical tensions in this region have the potential to disrupt global energy markets and, consequently, the financial markets of oil- importing countries such as Indonesia. This study examines the reaction of the Indonesian capital market—particularly energy sector stocks listed on the Indonesia Stock Exchange (IDX)—to the geopolitical tension event that culminated in a market crash on March 28, 2026, allegedly triggered by the closure of the Strait of Hormuz. An event study approach was employed, using Abnormal Return (AR) and Trading Volume Activity (TVA) as the primary variables. The event window spans 11 trading days (t-5 to t+5), with an estimation window of t-110 to t-10 used to compute expected returns via the market model. A Paired Sample T-Test was conducted to compare mean values before and after the event. Results indicate that AR showed no significant difference (t = 2.43; Sig. = 0.072 > 0.05), and TVA also showed no significant difference (t = -1.83; Sig. = 0.141 > 0.05). These findings suggest that the geopolitical event did not carry sufficient information content to trigger a statistically meaningful response in the Indonesian capital market, providing partial evidence inconsistent with the semi-strong form of the Efficient Market Hypothesis