Average Trading Volume Research Articles

Capital Market Reaction to the Strengthening of the Rupiah Exchange Rate against the US Dollar Exchange Rate

The purpose of this study is to analyze the response of Indonesian capital markets to differences in average abnormal returns and average trading volume activity before and after the strengthening of the IDR/USD exchange rate. This study is a quantitative study using the event study method. The sample used consists of the stocks included in the LQ45 index. the most active stocks with a large daily trading volume. Hypothesis testing and paired t-test. The results of the hypothesis test show that: there is no significant difference in the average abnormal returns before and after the strengthening of the rupiah against the US dollar because are sig. (2-tailed) value of 0.417 > 0.05; there is no significant difference in the average trading volume activity before and after the strengthening of the rupiah against the US dollar because sig. (2-tailed) value of 0.080 >0.05. Keyword: Market Reaction; Event Study; Abnormal Return; Trading Volume Activity; Exchange Rate

Analisa Reaksi Pasar Modal terhadap Perang Rusia-Ukraina pada Bursa Efek Indonesia

This research aims to analyze the impact of the Indonesian capital market's reaction to the announcement of Russia's invasion of Ukraine on February 24 2022. Special focus is given to companies in the food industry sector that use wheat as the main raw material. Six companies listed on the Indonesian Stock Exchange that rely on wheat were the subject of analysis. The research method uses an event study approach by calculating cumulative abnormal returns and average trading volume activity in the time period February 2022-March 2022. The research results show that there are no significant differences in the calculated variables between the periods before and after the announcement of the Russian-Ukrainian invasion. The implication is that the Indonesian capital market, especially companies in the food industry sector, did not experience a significant impact due to this incident. This research contributes to understanding the capital market response to geopolitical events and its relevance to the food industry sector in Indonesia. In conclusion, the resilience of the Indonesian capital market to certain foreign events and emphasizes the importance of diversifying raw materials in the food industry to reduce potential external risks. Keywords: Reaction Analysis, Indonesian Stock Exchange, Geopolitical Impact, Capital Markets, Russian-Ukrainian War

"Islamic Sukuk Accreditation Requirements in Libya to Benefit from the Malaysian Experience"

This paper aimed to review the most important international experiences and practices of the role played by Islamic Sukuk in financing infrastructure projects. Given the development and spread of this Islamic finance industry by increasing global and local offerings (during the period 2016-2021), in addition to presenting the successful global experiences in Sukuk issuances that achieve economy maximizing (Malaysia, UAE, Saudi Arabia), and knowing their prospects in Libya. The descriptive-analytical approach was adopted in this study because of its suitability to the nature and objectives of the research. The paper reached several conclusions, including that Islamic Sukuk played a prominent role in providing funding for massive developmental projects, and its flexibility has made it a leading position among various funding sources.Among the leading global experiences is the Malaysian experience, which has an average trading volume of around 50% of the Islamic capital market and an accumulated basis for the period from 2001 to 2021. Malaysia has continued to maintain ite firet position in Islamic Sukuk issuances with a combined local and international issuance of about $877 billion. Through this research paper, it became clear that Islamic Sukuk is one of the most important financial instruments compatible with Islamic law and widely spread in international financial markets. It can have a significant impact on the development process in Libya after the issuance of Law No.4 for the year 2016 on Islamic Sukuk. Despite the positive outlook for Islamic Sukuk, it faces many difficulties and challenges (legal, economic, technical, regulatory,...,etc.) . There are also many areas that need to be provided to help the success, growth and development of the lslamic Sukuk issuance process in Libya.

DAMPAK ISSUE BTS HIATUS TERHADAP ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY (TVA) TERHADAP PERUSAHAAN ENTERTAINMENT DI KOREA SELATAN

This study aims to determine the impact of the Issue BTS Hiatus in entertainment company stock prices in South Korea which were published on June 14,2022. This study uses the event study method using indicators of abnormal return (AR) and trading volume activity (TVA) for the period before and after issue published. The population used is entertainment companies in South Korea which are listed on the Korea Stock Exchange and the sample technique is non probability sample of 15 companies is obtained. This analysis included descriptive analysis, normality test, hypothesis testing which was carried out using the paired sample t test for normally distributed data and the Wilcoxon signed rank test for abnormally distributed data. Using program SPSS version 22.
 The result of this study indicate that (1) there is a significant difference in the average abnormal return before and after the Issue BTS Hiatus is published, (2) there is a significant the average trading volume activity before and after the Issue BTS Hiatus is published. 
 
 Keywords : Event Study, BTS Hiatus, Abnormal Return, Trading Volume Activity.

Comparative Analysis of Stock Prices, Abnormal Return, Cumulative Abnormal Return, and Trading Volume Activity in the Indonesia Stock Exchange: An Event Study of the Russia-Ukraine War

The Russia-Ukraine war has captured international attention and raised concerns about its potential implications on global financial markets. This study aimed to investigate the interplay between geopolitical events, market reactions within the Indonesia Stock Exchange (IDX), and the market efficiency of the IDX. The study employed event study methodology and analyzed changes in stock prices, abnormal returns, cumulative abnormal returns, and trading volume activity. The sample comprised 53 companies in the energy sector and 57 companies in the food and beverage sector listed on the IDX. The analysis focused on data from 10 days before and after three Russia-Ukraine conflict-related events, namely (1) the announcement of Russia’s invasion of Ukraine on the 24th of February 2022, (2) the announcement of an oil import embargo on Russia by the European Union on the 31st of May 2022, and (3) the announcement of the first wheat export ship’s departure from the port of Odesa on the 1st of August 2022. Both paired sample t-tests and paired sample Wilcoxon signed rank tests were conducted to assess the statistical significance of differences in the means of paired samples. The findings revealed significant differences in average stock prices before and after all three events in the energy sector. However, only events 2 and 3 displayed significant differences in average abnormal returns and cumulative abnormal returns. Moreover, events 1 and 3 exhibited significant differences in average trading volume activity. In the food and beverage sector, a significant difference in average stock prices was observed before and after event 2, while all three events presented significant differences in average abnormal returns and cumulative abnormal returns. Furthermore, event 3 showed a significant difference in average trading volume activity. These findings indicated that the IDX displayed varying reactions to different Russia-Ukraine conflict-related events. Notably, events involving multiple countries or entities exerted a greater impact on the energy and food and beverage sectors within the IDX, leading to more pronounced market reactions. Additionally, the findings suggested that the IDX exhibited a semi-strong form of market efficiency.

ANALISIS FUNDAMENTAL CRYPTOCURRENCY TERHADAP FLUKTUASI HARGA (STUDI KASUS CRYPTOCURRENCY KOIN CARDANO PERIODE 2022-2023)

<p align='justify'> This research aims to analyze Cryptocurrency Fundamentals Against Price Fluctuations (Case Study of Cardano Coin Cryptocurrency for the period 2022 to 2023). This research will analyze the relationship between fundamental factors which include variables such as market capitalization and trading volume with Cardano Coin price fluctuations. This research was conducted at the explanatory level, which aims to explain the causal relationship between the variables involved through hypothesis testing. The method used in this research involves data processing using the SPSS version 26 program. The research results show that the two independent variables, namely Average Trading Volume (X1) and Average Market Capitulation (X2), have a significant influence on Average Price -average (Y) on Cardano cryptocurrency. The high calculated t coefficient values for Average Trading Volume (X1) and Average Market Capulation (X2) indicate that they have a strong influence on Cardano price fluctuations. Average Trading Volume (X1) has a significant positive relationship with Average Price (Y). Average Market Capulation (X2) has a significant negative relationship with Average Price (Y). </p>
 <p><strong>Keywords : </strong>Cryptocurrency, Market Capitalization, Trading Volume, Price Fluctuation, Cardano Coin.</p>

DAMPAK PENGUMUMAN COVID-19 TERHADAP ABNORMAL STOCK RETURN DAN TRADING VOLUME ACTIVITY

This study aims to determine the impact of the announcement of COVID-19 on abnormal stock returns and trading volume activity. The variables were abnormal return and trading volume activity in 61 days, 30 days before and after the incident, and the day the COVID-19 incident occurred. This research is an event study. This study uses secondary data, namely the daily stock price and the active trading volume of each infrastructure company during the study period. The data analysis method used is the paired sample t-test and Wilcoxon signed rank test to determine the significant impact before and after the announcement of COVID-19. This study shows that there is no significant abnormal return, and the average abnormal return before the announcement of COVID-19 is smaller than after the announcement of COVID-19. There is significant trading volume activity on the day of the announcement of COVID-19 in the infrastructure sector in Indonesia, and the average trading volume activity before the announcement of COVID-19 is smaller than after the announcement of COVID-19.

Analysis of Investor Rationality Towards Stock Price Index and Optimal Portfolio in Go Public Company Shares on The Indonesian Stock Exchange

This study aims to determine the existence of investor rationality in choosing optimal stocks and portfolios by using a single index model on company shares listed on the IDX in 2018. The type of research used is analytic research. This analytic study aims to draw general conclusions and prove hypotheses about the average difference of two independent samples. The data used are secondary data obtained from information released by the Indonesia Stock Exchange including the daily closing stock price and the daily closing stock price index of listed companies. The sample selection method used is purposive sampling, where the sample selection is done on the basis of the researchers' consideration. The number of samples used in this study were 30 samples. The results showed that there was investor rationality towards optimal ownership of shares and portfolios by using a single index model on stocks listed on the Indonesia Stock Exchange during the weakening period of the rupiah in 2018 (t count value of 2.16 or greater than t value of α of 2.13). This can be seen from the difference in the average stock trading volume where the average trading volume of the optimal portfolio candidate shares is greater than the average trading volume of shares not the optimal portfolio candidate.
 Keywords : Investor Rationality, Share Ownership and Optimal Portfolio

Reaksi Pasar Modal Terhadap Dibatalkanya Indonesia Sebagai Tuan Rumah Piala Dunia U20 Tahun 2023 (Studi Pada Perusahaan Yang Terdaftar Pada Index IDX30)

This study aims to determine the reaction of the capital market, which is indicated by differences in abnormal returns and trading volume activity in companies indexed IDX30, due to the announcement of the cancellation of Indonesia as host for the 2023 U-20 World Cup. This research uses the event study method with an approach quantitative. Through the one sample t-test, it is known that the significance value of the average abnormal return before and after the event is 0.126, while the value of the average trading volume activity before and after the event is 0.723 which is greater than 0.05. So the results of this study explain that, the event of Indonesia's cancellation as the host of the U20 world cup in 2023, did not have an impact on the capital market, this was because there were no changes in the average abnormal return and average trading volume activity, in IDX30 indexed companies.

Implicit leverage: Can accrued fees cause levered ETN returns?

Exchange Traded Notes (ETNs) are unsecured debt obligations backed by the credit quality of the issuing bank. These investments are designed to provide the return of an index. We show how different formulae for calculating ETN indicative values result in different returns. Specifically, the practice of accruing the management fee creates time-varying leverage relative to the index. For the commodity index we study this leverage reaches a maximum of 23.44%. Subsequently created ETNs that do not accrue managements fees track their index more closely. However, relative to some of their non-levered counterparts implicitly levered ETNs experience higher average trading volume.

Market Reactions to Emergency Community Activity Restrictions Policy

This research uses the event study method to test the reaction of capital markets before and after the announcement of the Emergency Community Activity Restrictions (PPKM) policy. The observation period includes 7 days before and 7 days after the event. By using purposive sampling method, the research sample amounts to 29 stocks of the hotel, restaurant, and tourism companies listed on the Indonesia Stock Exchange. The hypothesis is tested with Paired Samples T-Test for those with normal distribution and Wilcoxon Signed Ranks Test for those with no normal distribution. The results showed that there was a difference in average trading volume activity. While average abnormal return and average security return variability did not have significant differences around the announcement. This research implies that stock investors need to consider information about government policies or other non-economic events to appropriately sort out relevant information to sell or maintain stocks under the risks and returns expected by investors.
 Keywords: Abnormal Return, Trading Volume Activity, Security Return Variability, The Emergency PPKM Policy, Event Study

Analisis Reaksi Pasar dan Pergantian Auditor Sebelum dan Sesudah Restatement

The purpose of this study is to analyze whether there are differences in market reactions and auditor changes before and after the restatement the company. In this study, three variables were used, market reaction, auditor changes and restatement. This research used quantitative method. The populations are all company listed on Indonesia Exchange IDX in the period of 2017 to 2019 taken with purposive sampling method. The test method uses the Wilcoxon Signed Rank-Test test because the normality test shows that the data are not normal. The data were processed using IBM SPSS Statistics 26. The results show that there is a difference in the average abnormal return before and after the restatement; there is no difference in the average trading volume activity before and after the restatement; and there is no difference in the change of auditors before and after the restatement because the change of auditors has been regulated in Indonesian regulations.

Analysis of the Capital Market Reaction to the First Java-Bali Community Activity Restriction Policy Announcement Event (Case Study of Food and Beverage Companies Listed on the Indonesia Stock Exchange)

This research is an event study that aims to analyze the reaction of the capital market to the announcement of the Pemberlakuan Pembatasan Kegiatan Masyarakat Jawa-Bali (PPKM Jawa Bali) based on abnormal returns and trading volume activity. The data in this study are secondary data with quantitative data types. The population in this study includes 28 Food and Beverage companies listed on the IDX with the window period taken in the study being 5 days before and after the PPKM Jawa Bali Policy Announcement. In the statistical test analysis, this study used a paired sample t-test difference test because the prerequisites for the different tests, namely the data in the study were normally distributed, were met. The results of the paired sample t-test analysis significantly was not found to be different in Average Abnormal Return (AAR) and Average Trading Volume Activity (ATVA) before and after the PPKM Jawa Bali Policy Announcement event, was not found of differences in the study, which give us a conclusion that the PPKM Jawa-Bali Policy Announcement event did not have a certain information content so that the capital market did not react to the policy.

Stock Price Reaction Analysis Before And After The Announcement Of The First Covid-19 PSBB Implementation On The Lq-45 Index Listed On The Indonesia Stock Exchange

This study was conducted to determine the reaction of stock prices before and after implementing the PSBB for the first time. Stock price reactions were measured by abnormal returns and trading volume activity using the event study method with an adjusted market model approach. The population used in this arrangement is the number of companies listed on the LQ-45 index for the February-July 2020 period, as many as 45 companies. The sample used a saturated sampling technique for as many as 45 companies. This research data uses secondary data consisting of daily stock closing prices and daily stock trading volumes with an observation period of seven days before the event, one day when the PSBB was implemented, and seven days after the PSBB was implemented. The statistical tools used were the normality test and the one-sample t-test. The results of this study indicate that there is a significant average abnormal return. However, there is no difference in abnormal returns before and after implementing the first PSBB. Besides that, the results show a significant average trading volume activity. However, trading volume activity is the same before and after the first PSBB implementation.

Market Reactions to Emergency Community Activity Restrictions Policy


 This research uses the event study method to test the reaction of capital markets before and after the announcement of the Emergency Community Activity Restrictions (PPKM) policy. The observation period includes 7 days before and 7 days after the event. By using purposive sampling method, the research sample amounts to 29 stocks of the hotel, restaurant, and tourism companies listed on the Indonesia Stock Exchange. The hypothesis is tested with Paired Samples T-Test for those with normal distribution and Wilcoxon Signed Ranks Test for those with no normal distribution. The results showed that there was a difference in average trading volume activity. While average abnormal return and average security return variability did not have significant differences around the announcement. This research implies that stock investors need to consider information about government policies or other non-economic events to appropriately sort out relevant information to sell or maintain stocks under the risks and returns expected by investors.
 Keywords: Abnormal Return, Trading Volume Activity, Security Return Variability, The Emergency PPKM Policy, Event Study

EVALUASI REAKSI PASAR ATAS DEPRESIASI NILAI TUKAR RUPIAH AKIBAT PANDEMI COVID-19

This research was conducted on public companies listed on the Indonesia Stock Exchange (IDX), and the population in this study were all publicly traded companies listed on the Indonesia Stock Exchange. The sample in this study are companies that are members of the IDX-80 index. Data collection was carried out using the websites www.web.idx.id and www.financeyahoo.com. The sampling method used in this study is non-probability sampling with purposive sampling technique. The data analysis technique used is paired sample t-test. The results of the analysis show that there are differences in Cumulative Abnormal Return (CAR) and trading volume activity (TVA) in companies before and after the depreciation of the rupiah exchange rate in 2020. The implications of this research include two things, namely theoretical implications and practical implications. Theoretical implications relate to the contribution of the study to cumulative abnormal returns and the average trading volume activity before and after the depreciation of the rupiah against the US dollar. The practical implications relate to research contributions to public companies listed on the Indonesia Stock Exchange (IDX), especially companies that are members of the IDX-80 index.

DAMPAK KEBIJAKAN PEMBERLAKUAN PEMBATASAN KEGIATAN MASYARAKAT (PPKM) DARURAT TERHADAP REAKSI PASAR SAHAM SEKTOR KESEHATAN (HEALTHCARE) PADA BURSA EFEK INDONESIA: SEBUAH PENDEKATAN EVENT STUDY

This study aims to examine the information content contained in the announcement of the emergency Community Activity Restrictions policy announcement on July 1, 2021 which was carried out by analyzing abnormal returns and trading volume of healthcare sector activity in the period surrounding the event. This research is a quantitative research with an event study approach. The data analysis tool used to test the hypothesis in this study is the one sample T-test statistical test on the abnormal return indicator and the Paired sample t-test on the trading volume activity indicator. The results of the t-test indicate that there is a positive abnormal return on the main board stocks, thus proving that the market responds to the event as good news. Meanwhile, on the development board stock, there is an abnormal return that has a negative value, thus proving that the market responded to the event as bad news. It can be concluded that the healthcare sector stock market responds to the emergency PPKM announcement differently according to the characteristics of the stock listing board. The results of the different Paired Sample T-test on the average trading volume activity (ATVA) indicator before and after the emergency PPKM announcement show that there are differences in ATVA on the main board and development board stocks. This difference may be caused by the behavior of investors who sell or buy stocks in the health sector based on the category of the stock listing board

REAKSI PASAR MODAL INDONESIA TERHADAP PENGUMUMAN RESHUFFLE KABINET INDONESIA MAJU JILID I DAN II

This study aims to see whether or not there is a market reaction when information about the Indonesian Maju Cabinet reshuffle volumes I and II is circulated in the Indonesian capital market. This study use event study methods. Data analysis was carried out through different tests. The sample used is financial sector in Indonesia Stock Exchange. The variables used to measure market reaction is average abnormal return (AAR) and average trading volume activity (ATVA). The results of this study found that there is no significant difference in AAR and ATVA between before and after the event, both in the Indonesia Maju Cabinet reshuffle event Volume I and Volume II, which indicates that the two events are not contain information that is sufficiently informative to influence the market.

Reaksi Pasar Modal Terhadap Pengumuman Pertama Kasus Positif COVID-19 Di Indonesia

This study aims to examine the reaction of the capital market to the announcement of the first positive cases of Covid-19 in Indonesia in manufacturing companies, especially the Multi-Industry sector listed on the Indonesia Stock Exchange. This study uses the Event Study method by taking the events of the first announcement of a positive case of Covid-19 in Indonesia which was published on March 2, 2020 by the president of Indonesia, Joko Widodo. This research was conducted to determine the information content and to see the reaction of the event by looking at the difference between Average Abnormal Return and Average Trading Volume Activity. Data taken 7 days before and 7 days after the announcement of the first positive case of Covid-19 in Indonesia. The results showed that: (1) There was no significant difference in the average Abnormal Return between before and after the announcement of the first positive case of Covid-19 in Indonesia. (2) There is a significant difference in average Trading Volume Activity between before and after the announcement of the first positive case of Covid-19 in Indonesia.

MARKET REACTION IN THE MANUFACTURING SECTOR SHARE TO THE EVENT OF THE APPROVAL OF THE JOB CREATION LAW IN 2020

This study aims to determine the Market Reaction in Manufacturing Sector Stocks to the Legalization of the Job Creation Law 2020. The purposive sampling technique was used from all manufacturing companies listed on the Indonesia Stock Exchange for the 2020 period. The event study analysis technique was used in this study with an observation period of approx. 21 trading days (10 days before and 10 days after).
 The results of statistical tests on abnormal returns show that there is no significant difference in the average abnormal return before and after the event and indicates a semi-strong form of market efficiency. The results of statistical tests on trading volume activity show that there is a significant difference in average trading volume activity before and after the event. This study implies that the ratification of the Job Creation Law has an impact on the investment climate so that when major political events occur, it is hoped that market participants will be more careful in making investment decisions, especially in buying and selling shares.