Analysis of the Impact of The India–Pakistan War on Abnormal Return and Trading Value Activity (TVA) of LQ45 Stocks

Yasti Sari; Harry Patuan Panjaitan; Evelyn Wijaya

doi:10.61230/luxury.v4i2.155

Authors

Yasti Sari Institut Teknologi dan Bisnis Master
Harry Patuan Panjaitan Institut Bisnis dan Teknologi Pelita Indonesia, Indonesia
Evelyn Wijaya Institut Bisnis dan Teknologi Pelita Indonesia, Indonesia

DOI:

https://doi.org/10.61230/luxury.v4i2.155

Keywords:

Financial Management, Capital Market, Investment Analysis, Stock Market/Securities, Event Study, Behavioral Finance

Abstract

This study aims to analyze the impact of the war between India and Pakistan on abnormal return and trading value activity (TVA) of stocks listed in the LQ45 index on the Indonesia Stock Exchange (IDX). The research applies an event study methodology with a 7-day observation window (–3, 0, +3) around three major events: the Pahalgam attack on April 22, 2025, Pakistan’s retaliatory strike on India on May 7, 2025, and the claim of Pahalgam assailants’ killing on July 28, 2025. The sample consists of 45 LQ45 companies, and the analysis techniques include normality test, average abnormal return (AAR), cumulative average abnormal return (CAAR), and paired sample t-test. The results indicate that certain events generated significant abnormal returns on specific days; however, in general, there was no significant difference before and after the events for most stocks. Meanwhile, TVA analysis shows an increase in trading activity during the conflict, although the paired sample tests were not significant in most periods. These findings suggest that Indonesian investors tend to respond selectively to geopolitical conflicts, with reactions more reflected in trading volume fluctuations rather than stock price movements.

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