Abnormal Trading Research Articles

Analisis Efek Ramadhan Terhadap Abnormal Return dan Trading Volume Activity pada Perusahaan Yang Masuk dalam Jakarta Islamic Index (JII) di Bursa Efek Indonesia Periode 2014-2018

This study is a study of events aimed at knowing the effects of Ramadhan, to companies listed on the Jakarta Islamic Index on the Indonesia Stock Exchange period 2014-2018, using abnormal return and trading volume activity indicators. This study uses secondary data in the form of daily stock price index for the period 2014-2018 , Composite Stock Price Index (IHSG) and trading volume, with the population of companies entering the Jakarta Islamic Index on The Indonesian Stock Exchange , The statistical test used to test the hypothesis is the normality test, and the paired sample t-test. Result of T-test on Abnormal Return between year 2014-2018 know that there is no significant influence between Ramadhan month to abnormal return from year 2014 until 2018. While for T-test on trading volume activity between year 2014 until 2018 know that only in 2014, 2015, and 2017, 2018 there are significant influence which means the market responds to the event. The result of the test of Ramadhan event has the information even though it does not happen in every year of the research period, this is because Ramadhan is a routine event occuring in Indonesia so investors have been able to predict how the stock movemonts in Indonesia Stock Exchange.

Pengumuman Perhitungan Baru Indeks LQ45 dan IDX30: Apakah Ada Reaksi pada Pasar Modal Indonesia?

This study discusses whether there an influence from the announcement of the newcalculation of LQ45 and IDX30 index. This study uses indicators of abnormal return, cumulative abnormal return, and trading volume activity as a measure of market reaction. The population of this study is the companies incorporated in the IDX30 index. The sampling method uses purposive sampling method and obtained sample of 20 companies.The window period in this study is 11 days. Statistical tests using paired sample t-test and Wilcoxon sign rank test. The results of this study indicate there are no differences in the average abnormal return and trading volume activity before and after the event. There are differences in cumulative abnormal returns before and after events. This shows that investors have anticipated the news and the market has adjusted to a new balance before the announcement of the new LQ45 and IDX30 index calculations officially applied.

5% Rule Disclosure and Stock Trading Volume : Evidence from Korea

Despite the fact that the implementation of 5% rule is widely recognized to enhance the transparency of capital market and fairness of corporate governance market, a few evidences present information effect of 5% rule. Using 7,088 non-financial firm-year observations listed on the Korea Stock Exchange from 2006 to 2012, we analyze the relation between trading volume and 5% rule disclosure. The results show that the daily and abnormal trading volume is increased when 5% rule disclosure is released. Moreover, the trading volume is significantly increased during cooling period. Specifically, trading volume is significantly greater when one day before cooling period or the expiration day of cooling period. We also find the information effect of firms with stable ownership structure before 5% rule disclosure is relatively smaller than the firms with unstable ownership structure with unstable ownership structure. These results imply that capital market participants use the information from 5% rule disclosure and reflect in their real economic decision.

Reaksi Pasar Modal Atas Kenaikan The Federal Funds Rate Pada Tanggal 26 September 2018

In the modern economic system, the role of the capital market is very important as a place where emiten and investors meet. Internal information and external information are needed by investors as a basis for consideration in investment decision making. By looking at the presence or absence of average abnormal returns and average trading volume activity around the event period, this study aims to examine the market reaction to the Federal Funds Rate increase on September 26, 2018. LQ45 is a stock index used as a sample in this study using a purposive sampling technique as a method in sample selection. This study uses one sample t-test, paired sample t-test, and Wilcoxon signed rank test as data analysis techniques. The finding of the significance of average trading volume activity around the event period indicates that the market reacted to the FFR increase on September 26, 2018. However, the results of the study showed no significance of average abnormal return around the event period. Keywords: event study, abnormal return, trading volume activity.
 Keywords : Event Study; Abnormal Return; Trading Volume Activity.

How the individual investors took on big data: The effect of panic from the internet stock message boards on stock price crash

This study examines whether the sentiments expressed in the stock forum posted by individual investors lead to abnormal trading and impose a significant impact on stock price crashes. The history of world financial crises reveals that investor panic is one of the most important factors triggering market crashes. In this paper, we propose a measure to estimate investor panic and its effect on a stock price crash. Using Growth Enterprise Market firms in China's Shenzhen Stock Exchange as a sample, we utilize a computer text mining tool to analyze the contents of nearly one million posts from the largest Chinese stock message board. According to the posting contents, we built a daily Sentiment Index and a Panic Index at the firm level. The empirical results show that the high Sentiment Index leads to a significant following abnormal trading. After controlling public information announcements, this effect is still significant. Moreover, the Panic Index could predict the stock price crash. The effect of the Panic Index on the price crash is stronger either when the information disclosure is opaque or when the proportion of shares held by institutional investors is low.

REAKSI PASAR MODAL INDONESIA TERHADAP KESEPAKATAN INVESTASI ANTARA PEMERINTAH INDONESIA DENGAN PEMERINTAH ARAB SAUDI

Penelitian ini merupakan studi peristiwa yang bertujuan untuk menganalisis perbedaan abnormal return dan trading volume activity saham-saham BEI secara keseluruhan sebelum dan setelah peristiwa politik yang terjadi di dalam negeri. Peristiwa yang menjadi objek pengamatan adalah pengumuman kesepakatan investasi antara pemerintah Indonesia dengan pemerintah Arab Saudi pada tanggal 01 Maret 2017 dengan menggunakan indikator abnormal return dan trading volume activity. Populasi dan sampel dalam penelitian ini adalah seluruh perusahaan yang terdaftar di BEI, yaitu 539 perusahaan. Data yang digunakan adalah data sekunder berupa harga saham penutupan harian, Indeks Harga Saham Gabungan (IHSG), volume perdagangan harian dan jumlah saham yang beredar mulai dari tanggal 01 Februari sampai dengan 29 Maret 2017. Uji statistik yang digunakan untuk menguji hipotesis adalah paired sample t-test. Hasil penelitian menunjukkan bahwa: (1). Kesepakatan investasi antara pemerintah Indonesia dengan pemerintah Arab Saudi berpengaruh positif tidak signifikan terhadap abnormal return keseluruhan saham BEI secara bersamaan untuk periode pengamatan hari ke 12, 11, 09 dan 01. (2). Kesepakatan investasi antara pemerintah Indonesia dengan pemerintah Arab Saudi juga berpengaruh positif tidak signifikan terhadap trading volume activity keseluruhan saham BEI secara bersamaan untuk periode pengamatan hari ke 19, 18 dan 12.

Abnormal trading around common factor pricing models

PurposeThe purpose of this paper is to investigate the impact of factor-based trading strategies on pricing and volume.Design/methodology/approachThe authors employ a regression discontinuity approach to identify abnormalities in volume or pricing around expected portfolio changes. In addition, the authors characterize more granular effects on pricing and volume as a result of portfolio re-classification through Fama and Macbeth (1973) regressions.FindingsThe authors find that firms which are predicted to transfer among the factor portfolios of Fama and French (1993) exhibit strong and statistically significant short-term variation in stock price and volume. Short-term returns around the cutoff values comprising SMB and HML tend to be temporarily high if the firm is predicted to move into a long component of a factor-mimicking portfolio, and temporarily low if moving into a short component. Similar results are apparent when examining movement in and out of the 25 size and book-to-market sorted test asset portfolios.Practical implicationsThe use of portfolio strategies formulated on the basis of sorting procedures, while once upon a time a niche market in the portfolio management industry, is now ubiquitous. The results of this study raise interesting methodological questions about the pricing implications arising from these common methodologies.Originality/valueThis study makes a number of contributions. First, it contributes to the idea that the publication or dissemination of trading strategies or – more generally – common portfolio sorting methods, leads to effects on pricing and volume through commonly motivated trading pressure. In other words, recipe-like discoveries of advantageous trading strategies lead to a synthetic creation of demand. Second, by noting that a lot of factor-focused trading activity begins around July and August of each year, the study relates to existing literature which documents seasonal variation in stock returns and volume. The findings raise questions about what guides institutional investors’ portfolio allocation decisions and whether these are optimal in aggregate.

Google search based sentiment indexes

This study sought to confirm whether Internet search based data have the potential both to reveal populations’ underlying beliefs directly and to affect stock markets of countries – in this case, Portugal. Based on the Internet search volume of several queries related to household concerns, we constructed two Google-based sentiment measures – a Positive Sentiment Index and a Negative Sentiment Index – encompassing both positive and negative search terms. The results reveal that both measures are correlated with aggregate stock market returns, trading volume, and abnormal trading volume. Also, positive sentiment has a stronger impact on these stock market variables than negative sentiment. Further, the proposed sentiment measures are significantly useful when making short-term predictions of market returns and volume.

REAKSI PASAR MODAL TERHADAP PENGUMUMAN KEMENANGAN PRESIDEN JOKO WIDODO BERDASARKAN KEPUTUSAN KPU PEMILU PERIODE 2019-2024 (Studi pada Perusahaan BUMN yang Terdaftar Di BEI)

The capital market is one indicator of economic progress. Events affect the formation of stock price fluctuations. This research was conducted with the aim of knowing the Market Reaction to the announcement of victory, based on data on stock price movements 14 days before and after the event. This type of research is in the form of quantitative research using secondary data, returns and volume of share prices of SOE companies going public, then tested different paired samples test. The results showed that there were significant differences in Abnormal Return. That is, the market reacts to the Announcement of Victory, because stock price movements are still influenced by an information and events. Meanwhile, TVA Abnormal Indicator shows a unique result, there is no partial difference in abnormal trading activity but there is a significant difference in the combined ATVA test. Investors in SOE shares trust the value of SOE shares so that they are not easily affected by short-term information. However, in SOE stock transactions (combined TVA Abnormal Test), a fraction of the activities of panicked SOE Investor investors, as well as traders' activities, can be seen, so there are significant differences in the average Investor trading activityKeywords: Event Study, Abnormal Return, and Abnormal TVA

Online investment forum and the market response around earnings announcement in the Chinese stock markets

PurposeThis paper aims to study the following two questions. Do earnings announcements stimulate investors to participate in online discussions? Does online investment forum participation affect the market’s reaction to earnings news?Design/methodology/approachThe authors collect all the online posts, which were related to the internet service companies and posted in a Chinese financial forum, guba.eastmoney.com (Guba), during the period between June 30, 2008 and December 31, 2015. Multiple linear regression analysis is used to test the questions.FindingsThe study finds that the earnings announcements induce online discussion. In addition, before the earnings announcement, online posting activity does not affect earnings response coefficient but can weaken the positive association between the magnitude of the upcoming earnings surprise and abnormal trading volume. In contrast, after the earnings announcement, online forum participation can facilitate the incorporation of earnings surprise into the price.Originality/valueThis study contributes to the literature studying the impact of social media on market reaction to earnings news by providing evidence that the price discovery process can be affected by the online investment forum. Several policy implications are also provided.

The Index Effect Minute by Minute: Intraday Returns at NASDAQ-100 and MSCI U.S. Rebalancings

I use intraday data from 2013 to 2017 and a dataset of NASDAQ-100, MSCI USA and MSCI USA Small Cap Index constituent changes to investigate abnormal returns and trading volume around index rebalancings. The results show no pre-announcement speculation but a significantly positive (negative) post-announcement jump followed by an intraday drift for promotions (demotions). For small-cap changes, the post-announcement jump is smaller but abnormal returns with the same sign are also found on the rebalancing date and especially during the last 30 minutes of trading. Large-cap index changes have higher abnormal trading volume but much smaller abnormal returns on the rebalancing date. Consistent with the price pressure hypothesis, I find a reversal during the early trading hours on the day following the rebalancing date.

Disposition effect at the market level: evidence from Indian stock market

PurposeThe purpose of this paper is to test the disposition effect at market level and propose an appropriate reference point for testing disposition at market level.Design/methodology/approachThis is an empirical study conducted on 500 index stocks of NSE500 (National Stock Exchange). Winning and losing days for each stock are calculated using 52-week high and low prices as reference points. To test disposition effect, abnormal trading volumes of stocks are regressed on their percentage of winning (losing) days. Further using ANOVA, the difference between mean of percentage of winning (losing) days of high abnormal trading volume deciles and low abnormal trading volume deciles is tested.FindingsResults show that a stock’s abnormal trading volume is positively influenced by the percentage of winning days whereas percentage of losing days show no such effect. Findings are consistent even after controlling for volatility and liquidity. ANOVA results show the presence of high percentage of winning days in higher deciles of abnormal trading volumes and no such pattern in case of losing days confirms the presence of disposition effect. Further an ex post analysis indicates that disposition prone investors accumulate losses.Originality/valueThis is the first study, which proposes the use of 52-week high and low prices as reference points to test the market-level disposition effect. Findings of this study enhance the limited literature available on disposition effect in emerging markets by providing evidence from Indian stock markets.

Short-horizon incentives and stock price inflation

Do managerial incentive horizons have capital market consequences? We find that they do when short-sale constraints are more binding. Firms experience significant stock price inflation when their CEOs have short horizon incentives. The short-horizon CEOs sell more shares at inflated prices and generate greater abnormal trading profits. The stock price inflation is partly explained by greater earnings surprises and more positive investor reaction to the surprises. To inflate stock prices, short-horizon firms are more likely to employ income-increasing discretionary accruals. Consistent with theoretical predictions, all these effects are attenuated or statistically insignificant when short-sale constraints are less binding.

Is the Sentiment in Corporate Annual Reports Informative? Evidence from Deep Learning

We use a novel text classification approach from deep learning to more accurately measure sentiment in a large sample of 10-Ks. In contrast to most prior literature, we find that positive, and negative, sentiment predicts abnormal return and abnormal trading volume around 10-K filing date and future firm fundamentals and policies. Our results suggest that the qualitative information contained in corporate annual reports is richer than previously found. Both positive and negative sentiments are informative when measured accurately, but they do not have symmetric implications, suggesting that a net sentiment measure advocated by prior studies would be less informative.

Effects of investor tax heterogeneity on stock prices and trading behaviour around the ex‐dividend day: the case of Australia

AbstractUsing a sample of Australian stocks during the 1996–2014 period, this study examines how tax heterogeneity between domestic and foreign investors affects trading behaviour and stock prices around the ex‐dividend day. Domestic investors prefer dividends and tend to buy stocks cum‐dividend and sell them ex‐dividend whereas foreign investors tend to trade in the opposite direction. Abnormal trading turnover increases with tax heterogeneity. Moreover, stocks with a larger domestic investor base are associated with a higher price drop‐off ratio on the ex‐dividend day and higher market value of franking credits. Overall, our findings support the dynamic dividend clientele hypothesis.

THE DIFFERENCE ANALYSIS OF ABNORMAL RETURN AND TRADE VOLUME ACTIVITY BEFORE AND AFTER RAMADHAN EFFECTS ON FOOD AND BEVERAGES COMPANIES LISTED IN INDONESIAN SHARIA STOCK INDEX (ISSI)

This study aims to determine the difference between abnormal return and trade volume activity before and after Effects on Food And Beverages Companies Listed in Indonesian Sharia Stock Index (ISSI) in 2012 until 2017. In this study, samples were taken as many as 7 companies in the food and beverages sector. Researchers use quantitative research methods. The sampling technique used is purposive sampling. The type of data used is secondary data. Data analysis techniques are use parametric paired sample t-test and non parametric wilcoxon sign rank test using IBM SPSS 23 program.The results showed that there were significant differences of abnormal return between the month of sha'ban and syawal with significance value 0.003 < 0 .05. However there is a significant difference in trade volume activity between the month of sha'ban and the month of syawal with a significance value of 0.003 < 0.05. it can be concluded that Ramadhan has information on the market that causes abnormal return and changes in trade volume activity.

Effects of limited attention on investors' trading behavior: Evidence from online ranking data

In this study, we provide empirical evidence that investors' limited attention affects security prices and trading volume in the short run. Using a unique dataset that was hand-collected from an Internet portal in Korea, we directly measure investor attention on individual stocks based on the rank information of the top 30 most frequently discussed stocks on the online stock message board. Investor attention is associated with significant increases in abnormal trading volume on the day that a stock is actively discussed online. Interestingly, less sophisticated individual investors continue buying more attention-grabbing stocks for a week after the active discussions of those stocks. Regarding stock return performance, whether investors are attentive to a stock significantly predicts next-day stock performance. However, the effect of attention on the stock returns is short-lived and disappears within two days, implying that the increase in stock prices is related to a behavioral bias rather than fundamental information.

Reaksi Pasar Terhadap Kenaikan Bank Indonesia 7-Day Reverse Repo Rate Tanggal 15 Agustus 2018

This study aims to examine the information content by explaining at the market reaction to the announcement of the 7-Day Reverse Repo Rate BI increase on August 15 2018 as measured by the abnormal return and trading volume activity. This research is an event study with an observation period of 7 exchange workdays, namely three days before (t-3), event date (t0), and three days after the event (t + 3). The sample is a company incorporated in the LQ45 Index for the period of August 2018 to January 2019. The method of determining the sample is a purposive sampling technique. The data analysis technique uses paired samples t-test and Wilcoxon signed rank test. The results showed a difference in average abnormal return and average trading volume activity before and after a 7-Day Reverse Repo Rate BI increase on August 15, 2018. This indicates that the event has information content.
 Keywords: Event study, abnormal return, trading volume activity

THE EX-DIVIDEND-DAY BEHAVIOR OF STOCK PRICES AND VOLUME: THE CASE OF PHARMACEUTICAL DIVIDEND ARISTOCRATS

This paper presents the wide analysis of the profitability factors of dividend capture strategy on public pharmaceutical companies within a five-year period after the global financial crisis 2008. We investigate the abnormal return and trading volumes with event study, and the effect of price changes around the ex-dividend date under the influence of various factors. Our findings suggest that there are no abnormal trading volumes on both the [Formula: see text] day of the event window and the day of the event on a subsample of companies that do not declare a dividend before the register close date. We confirm the negative stock yield on the ex-dividend day in most markets. We further confirm the tax hypothesis explaining the behavior of the share price and note the specific behavior of stock prices in the ex-dividend date for companies that do not disclose information on future payments (Japan and South Korea) and on emerging markets. The positive average cumulative abnormal return is statistically significant only for companies with a share of R&D/Total revenue [Formula: see text]3%. For companies with a value of more than 3%, the return is negative. An anomaly in the pharmaceutical stock market behavior in the ex-dividend date for 2016 is documented in our paper. A statistically significant price increase is registered both without taking into account the general market behavior, and taking into account market and individual expected return for each share of the sample. The cumulative abnormal returns are greater for pharma companies with a total enterprise value more than $1 billion, except for 2016.

Market reaction to optimistic bias in the recommendations of chaebol-affiliated analysts

Using the setting of chaebol industrial organizations in Korea, which allows for the study of a unique affiliation between a chaebol group and financial analysts, we examine whether investors react to an optimistic bias in affiliated analysts’ recommendations. Our initial market return tests, abnormal trading volume tests and independent analysts’ reaction tests suggest that investors and independent analysts recognize and discount an optimistic bias in chaebol-affiliated ‘buy’ recommendations. However, long-term market returns are more profitable in terms of affiliated analysts’ ‘buy’ recommendations than independent analysts’ recommendations, which suggests that investors excessively discount chaebol-affiliated ‘buy’ recommendations in the short-term.