Difference In Abnormal Returns Research Articles

The Impact Of Daftar Efek Syariah (DES) Announcement To The Asii’s Abnormal Returns And Trading Volume

DES announcement can be an important information for investors in making investment decisions. Islamic investors have to sell their stock when their stocks are excluded from DES. On the other hand, investors who want to invest in Islamic stocks will buy stocks that are included in the DES. The purpose of this study is to examine the impact of ASII stock reentry and exit from and into DES to the abnormal return and trading volume activity. This study uses secondary data obtained from investing.com. The data used in this study are daily stock closing prices, IHSG index and daily stock trading volume. This study follows event study methods. The first event window used in this study is 7 days before November,23,2020 and 7 days after. The second event window used is 7 days before May 24, 2023 and 7 days after. Descriptive statistic and Wilxocon sign ranks is used to analysis the data. The results showed that there was no significant difference in abnormal returns both at the time of ASII exit and reentry. However, trading volume of ASII stock significant difference before and after exit announcement. But when ASII stock reentry to the DES there was no significant difference.

Analyzing the market and financial impacts of the State Bank of India’s Merger: A comprehensive Event Study

This article presents detailed information about the event study that analyzed the market and financial impacts of the State Bank of India’s (SBI) merger. The merger of the SBI with its associate banks plays a significant role in the banking sector. The main aim of this study is to estimate the abnormal return and cumulative abnormal return test the significance of the shares of the SBI and also examine the impact of the merger of the SBI using Event study methodology. The market model is to be used in this study. The researcher has used the Wilcoxon Signed Ranked test for the event study to test the significance. The study reveals no significant difference in abnormal return of the SBI-merger during the pre and post-window periods. By applying the market model, a linear relationship between a stock return and market return be assumed. The findings of the study indicate that there is no significant relation between the pre and post-event windows in the abnormal returns. This suggests the market has already anticipated the effects of the merger. Moreover, the research will analyse the broader implications of the merger such as profitability, asset quality, and operational efficiency. The study contributes to the ongoing disclosure of the effectiveness of mergers in the banking sector and provides valuable insights for policymakers and investors.

Analisis Abnormal Return dan Trading Volume Activity Sebelum dan Sesudah Ex-Dividend Date: Studi Kasus pada Perusahaan High Dividend 20 yang Terdaftar di Bursa Efek Inodnesia Tahun 2023

This research aims to determine whether or not there are differences in abnormal returns and trading volume activity before and after the ex-dividend date in 20 high dividend companies listed on the Indonesia Stock Exchange in 2023. The type of method used in this research is a quantitative method. The sampling technique used was purposive sampling. There were 20 companies used as samples in the research. Research data taken for 30 days consists of 5 days, 10 days and 15 days before and after the ex-dividend date. The analysis used was the paired sample t-test and the Wilcoxon Signs rank test. Based on the research results, it shows that 1) there is no significant difference in abnormal returns before and after the ex-dividend date in high dividend 20 companies. 2) there is a significant difference in trading volume activity before and after the ex-dividend date in high dividend 20 companies.

The Abnormal Stock Return Before And After Stock Split

The purpose of this study was to analyze whether there is a significant abnormal return before and after the stock split event and whether there is a difference in abnormal return before and after the stock split event. The analysis method used in this research is the paired sample t-test method. The population in this study were all companies listed on the Indonesia Stock Exchange during the 2017-2022 period. The samples used in this study were 32 companies. The results of the paired sample t-test test obtained a significant value of 0.958 which means above 0.05. So the results of the paired sample t-test test of the difference in abnormal stock returns before and after the stock split event found that there was no difference in abnormal stock returns before and after the stock split event even though in that period there was a period of covid-19 crisis did not affect the abnormal stock returns of companies that had done a stock split.

MARKET REACTION TO THE ENACTMENT OF FINANCE MINISTER REGULATION NUMBER 120 OF 2023 ON PROPERTY AND REAL ESTATE STOCKS

The introduction of PMK 120 of 2023, which offers DTP VAT incentives for the construction of landed houses and flats in the 2023 fiscal year, has led to a reaction in the capital market measured by Abnormal Return and Trading Volume Activity. A quantitative Event Study research is conducted to determine if there are any significant differences in Abnormal Return and Trading Volume Activity before and after the implementation of PMK 120 of 2023. Companies in the property and real estate sector listed on the Indonesia stock exchange were selected as the research sample through a purposive sampling method, totaling 84 samples. The One-Sample Wilcoxon Signed Rank Test was used as the analytical tool for this study. The findings of the research indicate that while there were no significant Abnormal Returns, there was a significant increase in Trading Volume Activity, suggesting that PMK 120 of 2023 has altered the expectations of individual investors. It is hoped that investors will be able to make informed decisions to either generate income or mitigate risks in the future capital market environment.

Analysis of IDX Energy Performance During the Revocation of Covid-19 Pandemic Status in Indonesia

This study tries to analyze the differences in abnormal returns of IDX Energy sector in Indonesia during the Covid-19 Pandemic and after. This study examines the significance of the announcement of the revocation of the Covid-19 Pandemic status in Indonesia by the government on abnormal stock returns using event study techniques and market adjusted models. The results of the analysis found that there was an increase in the abnormal return of issuers in the energy sector after the government announced the end of the Covid-19 status in Indonesia. This research is important for investors and practitioners in the field of financial management and portfolio investment, especially in reading carefully the influence of information that appears especially during difficult periods such as the Covid-19 pandemic.

Market Reaction to the Russian Invasion of Ukraine in the Oil and Gas Industry on the Indonesian Stock Exchange

The economy in Indonesia experiences growth every year. The capital market is the most important part for economic progress in Indonesia. The aim of this research is to determine the information content of market reactions to the Russian invasion of Ukraine in Indonesia, as well as differences in abnormal returns and trading volume activity before and after the Russian invasion. This type of research is quantitative research using secondary data. The sample used was 9 companies in the Oil and Gas industry using the purposive sampling method. Then test the differences using the paired sample t-test. The results of this study show that there are no significant differences in abnormal returns and there are differences in trading volume activity before and after the Russian invasion of Ukraine in Indonesia.

Is January Effect Too Influential on Experiencing Shares Decline Profit?

This research is included in event study research. Researchers observed whether unusual recoveries occurred before and after the January Effect phenomenon. In the research, researchers tested whether there were differences in abnormal returns before and after the January Effect event and whether there were differences in abnormal returns in each event period. Researchers used 100 periods for the estimation period 20, before January 2023, and 20 periods before the stock exchange's opening in 2024. The research sample used 46 companies from 100 companies registered on Kompas 100 from 1 November 2023 to 31 January 2024. Paired Sample T-test and One Sample T-test were used to test the first and second hypotheses. The research results show no difference in abnormal returns before and after the January Effect event, and there are no abnormal returns in each period of the January Effect event, which only occurs in five periods.

Efektifitas Penggunaan Analisis Stochastic Oscillator Dan Moving Average Convergence-Divergence Pada Perdagangan Saham-Saham Perbankan di Bursa Efek Indonesia

The objective of the research is to find out how effective stochastic oscillator and moving average convergence-divergence (MACD) technical analysis is in yielding capital gain and abnormal return, viewed from descriptive analysis, analysis of effects, and disparity test analysis by using some theories and previous research results. This research uses daily stock closing price data from the issuers in banking su-sector of the research period of 2015-2019. The research employs descriptive analytic approach, regression analysis and disparity test, supported by IBM SPSS version 25 software. The result of the descriptive analysis shows that buy and sell stochastic oscillator and MACD signals are effective in yielding capital gain. The result of regression analysis shows that gain signal yielded by indicator of Stochastic Oscillator and MACD has significant effects on capital gain in which the probability value (Asymp. Sig) of Stochastic Oscillator on capital gain is 0.000, and the probability value (Asymp.Sig) of MACD on capital gain is 0.000. The result of the disparity test analysis shows that there is no difference in abnormal return in the pre and post appearance of gain signal in Stochastic Oscillator and in MACD

Covid-19 Shockwaves Disrupted the Indonesian Capital Market

This study examines the impact of the Covid-19 pandemic on the Indonesian capital market by analyzing abnormal returns and trading volume activity in the LQ45 index stock group from 2018 to 2020. Using secondary data and a purposive sampling method, the research employs Paired Sample t-Test for hypothesis testing. The results show significant differences in abnormal returns and trading volume activity before and during the pandemic, indicating a strong market reaction to Covid-19. These findings underscore the need for strategies to mitigate the effects of global disruptions on the market. Highlights: 1. Market Reaction: Significant changes in abnormal returns, trading volume during Covid-19.2. Methodology: Uses secondary data, Paired Sample t-Test for analysis.3. Focus: Examines LQ45 index stocks, daily prices, and volumes 2018-2020. Keywords: Event Study, Covid-19 Impact, Indonesian Capital Market, Abnormal Returns, Trading Volume

Analisis Reaksi Pasar Terhadap Keterlambatan Penyampaian Laporan Keuangan Interim

The late submission of interim financial reports causes companies listed on the Indonesia Stock Exchange (IDX) to pay a fairly large amount of fines. The Financial Services Authority (OJK) issued regulations for companies going public to report and publish audited annual financial reports, so that each company must submit accordingly and on time. Therefore, this research aims to determine the comparison of abnormal returns and stock trading volume before and when there is a delay in submitting financial reports. The data used in this research are the financial reports of companies registered on the IDX that are late in submitting financial reports. The results of this research show significant differences in abnormal returns and stock trading volume before and after the delay in submitting interim financial reports. The study uses the average difference test method, with the object of the financial statements of 35 listed companies that have not submitted financial reports for the period 2021 to 2022. After descriptive statistical analysis, there are company values that are recorded as poor in submitting their interim financial reporting. The results showed that there was a significant difference between the performance before and after the company's financial reporting on abnormal returns and stock trading volume on the submission of financial reports.

Analisis Perbedaan Return Saham, Abnormal Return, Harga Saham, dan Volume Perdagangan Saham di Masa Pandemi Covid-19

This study aimed to determine any significant difference between stock returns , abnormal returns , stock prices , and stock trading volumes before and after the COVID - 19 pandemic in transportation sector companies listed on the Indonesia Stock Exchange . This research used secondary data with descriptive analysis and quantitative analysis methods . Data analysis in this study used the Wilcoxon signed - rank test , and the data for this study were collected two years before ( 2019-2020 ) and two years after ( 2021-2022 ) the COVID - 19 pandemic in Indonesia . The results show no significant difference in stock returns and stock prices . However , there is a significant difference in abnormal returns and stock trading volumes before and after the COVID -

EVENT STUDY: THE IMPACT OF THE RUSSIA-UKRAINE INVASION ON STOCK PRICES AND ABNORMAL RETURNS

<p><strong>Background of The Study</strong>: The capital market is able to react quickly to issues that arise around it. In February 2022, Russia conducted military operations against Ukraine. Of course, this stole global attention. Investors need to pay attention to any information that may affect trading in the capital market.</p><p><strong>Purpose of The Study</strong>: Empirically analyze how the news of Russia's invasion of Ukraine affects the stock prices and abnormal returns of energy industry companies listed on the Indonesia Stock Exchange (IDX).</p><p><strong>Research Method</strong>: The research uses the event study method, with an observation period of 30 days before and after the announcement to measure the public reaction to the news of the invasion by Russia.</p><p><strong>Research Result</strong>: The results showed that there were visible changes in stock prices from before to after the news of the Russia-Ukraine invasion was announced, as shown in this study. Meanwhile, there is no visible difference in abnormal returns either before or after the news announcement of the invasion between Russia and Ukraine is published.</p><p><strong>Research Gap</strong>: Russia's invasion of Ukraine occurred in 2022, and this study examines companies in the energy industry.</p><p><strong>Keywords</strong>: Russia-Ukraine Invasion, Stock Price, Abnormal Return, Event Study.</p>

Reaksi Pasar Modal Syariah Sebelum dan Sesudah COVID-2019 pada Perusahaan Sub Sektor Pertambangan yang terdaftar dalam Indeks Saham Syariah Indonesia

This research aims to examine differences in returns, abnormal returns and stock trading volume before and after the event of determining COVID-2019 as an Indonesian National disaster in mining sub-sector companies that are members of the Indonesian Sharia Stock Index (ISSI). This research uses a quantitative approach with secondary data collection. Data analysis was carried out using Statistical Product and Service Solutions (SPSS) software version 26, using the paired sample t-test analysis technique. If the data is not normally distributed then use the Wilcoxon test. The results of the research show that there is a significant difference in stock returns before and after the event that declared Covid a national disaster in Indonesia, with a significance value (0.015) lower than the probability value (0.05). This can be seen from the stock return value which decreased over the period of time. observation. Besides that, there is also a significant difference in abnormal returns before and after the event that declared Covid a national disaster in Indonesia, with a significance value (0.000) lower than the probability value (0.05). This can be seen from the abnormal stock return value which decreased over the period of time. observation. However, there is no significant difference in stock trading volume before and after the event that declared Covid a national disaster in Indonesia, with a significance value (0.012) higher than the probability value (0.05). This can be seen from the absence of changes in trading volume during observation period. Keywords: Abnormal Return, Return, Trading Volume Activity

Quadruple Witching Days and Abnormal Returns Analysis in The Indonesian Stock Market

The aim of this research is to analyze the Quadruple Witching Days phenomenon and its impact on abnormal returns on the Indonesian stock market. This phenomenon has attracted the attention of many investors and academics, because it is believed to be able to significantly influence stock price movements. It is hoped that the results of this research can provide an in-depth understanding of the influence of Quadruple Witching Days on the Indonesian capital market. Associative descriptive research tests the influence of Quadruple Witching Days. Using secondary data and library methods in the LQ45 and SRI-KEHATI stock indices listed on the Indonesia Stock Exchange for the period 2010 to 2022 with daily and weekly data. The hypothesis test that will be used in this research is the Paired Sample t - Test and the non-parametric Mann-Withney test. There are differences in abnormal returns before and after the Quadruple Witching Days event on the LQ45 stock index. There is no difference in abnormal returns before and after the Quadruple Witching Days event on the SRI-KEHATI stock index. High Vigilance, Quick Selling or Buying, Portfolio Diversification as a consideration for taking profits for investors LQ45, Long Term Investment Approach, Portfolio Stabilization may be more suitable with investment strategies because there is no significant difference in abnormal returns, investors in SRI-KEHATI.

Analisis Reaksi Emiten Yang Terdaftar Di Bursa Efek Indonesia Terhadap Dampak Covid-19

The purpose of this study was to find out and analyze differences in Abnormal Return & Trading Volume Activity before and after the announcement of the first case of Covid-19 in Indonesia, Micro-Scale Lockdown and Emergency Lockdown in companies listed on the Indonesia Stock Exchange for the 2020-2021 period. The type of research used is case study research (Event Study). The samples were 48 companies listed in Healthcare, Technology, Transportation & Logistics sectors listed on the Indonesia Stock Exchange for the period 2020-2021, taken by using a purposive sampling technique. The analysis technique used is the Wilcoxon Signed Rank Test. The results showed there was no significant difference in abnormal returns on the announcement of the first case of Covid-19 in Indonesia, Micro-Scale PPKM, and Emergency PPKM in the Healthcare, Technology, Transportation & Logistics sector. There is a significant difference in Trading Volume Activity on the announcement of the first case of Covid-19 in Indonesia, Micro-Scale PPKM but there is no significant difference in Trading Volume Activity before and after Emergency PPKM in the Healthcare sector. There is a significant difference in Trading Volume Activity on Micro-Scale PPKM but there is no significant difference in Trading Volume Activity before and after the announcement of the first case of Covid-19 in Indonesia and Emergency PPKM in the Technology sector. There is no significant difference in Trading Volume Activity on the announcement of the first case of Covid-19 in Indonesia, Micro-Scale PPKM, and Emergency PPKM in the Transportation & Logistics sector.

ANALISIS EVENT STUDY NEW NORMAL TERHADAP HARGA SAHAM YANG TERDAFTAR DI BURSA EFEK INDONESIA

This study aims to analyze abnormal returns and trading volume activity before and after the announcement of the implementation of the new normal in the goods and consumption sector. The object of research is through the official website of the Indonesia Stock Exchange (IDX). Retrieval of data using the documentation method, collecting data and information from www.idx.co.id and the website www.finance.yahoo.com which contains daily stock prices covering the number of stock trading transactions and the total number of shares outstanding at the time of observation. The results of the first hypothesis study show that there is no difference in abnormal returns before and after the announcement of the implementation of the new normal in goods and consumption sector companies. The second hypothesis shows that there is no difference in trading volume activity before and after the announcement of the implementation of the new normal in goods and consumption sector companies. This shows that the stock market does not react around the announcement of the implementation of the new normal. Investors do not react to buying or selling shares on the Indonesia Stock Exchange (IDX)

The Market Response to the United States COVID-19 in Taiwan’s PCB and Network Communication Industries

This study investigates how COVID-19 in the United States affects the stock prices of the Taiwanese printed circuit board (PCB) and network communication industries. We utilize the event study method to evaluate the market response to the announcements of the United States COVID-19 and the sample period is from February 2020 to April 2020. This study examines whether the COVID-19 caused stock price variations and generated abnormal returns for Taiwanese companies. Finally, this study also evaluates whether there is a significant difference in abnormal returns among companies who have reported corporate social responsibility (CSR) and companies who have not. This study finds that the United States prevention policies have caused a significant influence on abnormal returns in Taiwan’s PCB and network communication industries. Because Taiwan exports PCB to the United States, the stocks price decrease to the United States COVID-19 due to the investors’ expectation of the substantial order decline from the United States in in Taiwan’s PCB and network communication industries. We use ANOVA to prove the difference among the abnormal returns generated by the first, second and third U.S. COVID-19 announcements. The empirical results show that the first announcement caused the largest reactions, and the third announcement caused the least. Furthermore, the United States government’s social distancing policy has caused positive abnormal returns for Taiwan’s PCB and network communication industries due to the great demand for online meeting. Furthermore, we find the significant difference between the implementation and loosening of the social distancing polices. This suggests that investors regard the loosening of the United States social distancing policy signal that the order decline in Taiwan’s PCB and network communication industries. There is no significant difference between the abnormal returns of companies that have reported their CSR practices and that of companies that have not reported.

Effect of Stock Split on Abnormal Return, Trading Volume Activity, Stock Price, Bid-Ask Spread, and Systematic Risk of Companies

Go-public companies can use various techniques and strategies to collect capital for their companies. One of them is by carrying out corporate actions. Stock Split is a company strategy that increases the liquidity of a stock by breaking it into several shares. This study was conducted to see the effect of stock split on whether there were differences in abnormal returns, trading volume activity, stock price, bid-ask spread, and systematic risk at companies that conducted stock split in the 2018-2020 period. A total of 40 companies registered on the IDX and conducted stock split from 2018-2022 to be selected samples using the purposive sampling method. In data processing, software-based technology is used SPSS 25. Based on the calculation and results of data analysis, there are differences in the abnormal return variable before and after the stock split is carried out. While other variables, namely trading volume activity, stock price, bid-ask spread, and systematic risk, no difference between before and after stock split is carried out by the company.

Analisis Reaksi Pasar Terhadap Perubahan Auto Rejection 15% Menjadi Auto Rejection Simetris

The condition of the global economy is likely to be experiencing fluctuations from the effects of ecological 19, which affect many sectors of one of the capital markets. Capital markets are affected by fluctuating prices, asa result of these events countries are implementing such policies as price limit (auto excess). Bank Indonesia the central bank/bi decided to raise its key rate by 25 basis points to 8.25 percent. At the current substandard auto drops to 7%. to June 5, 2023 to 15%, and now auto symmetrical again. This condition certainly triggers market reactions. Therefore the purpose of this study is to recognize market responses asa result of these changes in policy. The study population is 55 companies registered in the Indonesia stock exchange (bei). For sample retrieval techniques conducted by simple random sampling methods by taking out 5 companies in all sectors in bei. The data analysis that was used was Shapiro wilk's test for the normality of data, and a hypothetical test used wilxocon signed rank because of insufficient data distribution. Test one specimen t-test and test specimen t-test shows no abnormal return differences in previous and previous periods of auto policy change. But there are differences before and after in the variable trade volume.