Global or Domestic Factors? Assessing Stock Market Volatility during Indonesian Presidential Elections

This study analyzes four Indonesian presidential elections (2009-2024) as a time series analysis within the event study framework on IHSG volatility. We examine the influence of macroeconomic, trading activity, and VIX channels, as well as whether their impact differs between pre-election and post-election periods. The methodology employs Principal Component Analysis (PCA) to construct channel variables and multiple linear regression with interaction terms on a baseline 5-month window before and after election month. The results consistently show that global risk sentiment (VIX) is the only significant positive driver of volatility. There is no significant interaction effects were found in either the 5-month, indicating that the influence of these channels is not statistically different between the pre-election and post-election periods. We conclude that Indonesian stock market volatility around presidential elections is predominantly driven by global risk sentiment, which overshadows domestic political transitions and associated local market dynamics.