The Effect of Indonesian Domestic Events Towards Stock Price Volatility by Using the Realized Volatility Method

This research aimed to analyze how various domestic events impact stock price volatility on the Indonesian stock exchange. We used high-frequency data to calculate intra-daily volatility as measured by realized volatility. There was a lack of research in the Indonesian stock exchange that analyzed stock volatility using realized volatility. This research covered events that occurred in Indonesia in the period from January to April 2021. There were 45 companies and 15 events included in the analysis. This study only included events related to the public's attention and did not include events directly related to any companies. The results showed that only three out of 15 events significantly changed the stocks' realized volatility. The three events were the announcement of candidates for the Board of Directors of the Sovereign Wealth Fund, the announcement of an additional economic recovery boostered budget, and the Malaysian PM's visit to Indonesia for discussion on Palm Oil. The three events were government policies related to macro-scale economies that involved substantial funding. This finding provided insight into how market players in Indonesia paid great attention to the government's macro policies. However, it took more events and a longer observation time to make a statistically conclusive decision