Difference In Abnormal Returns Research Articles

Analisis Abnormal Return dan Trade Volume Acivity Sebelum dan Sesudah Pengumuman Kebijakan Restrukturisasi Kredit Pandemi Covid-19

This study is to find out abnormal return and trade volume activity before and after the announcement of the covid-19 pandemic credit reconstructuralization policy (a study of banking companies listed on the Indonesia Stock Exchange). Quantitative research with population is a company that is a member of the Indonesia Stock Exchange and is used as many as 44 companies from the financial services sector of banking subsectors listed on the Indonesia Stock Exchange as a sample. Sampling techniques use purposive sampling from secondary data taken from idx.co.id and yahoo finance pages. Data analysis techniques use descriptive statistical analysis, classical assumption tests and other tests (Wilcoxon Signed-Rank Test). The results showed significant differences in Abnormal Return (AR) and Trade Volume Activity (TVA) before and after the announcement of the Covid-19 pandemic credit restructuring policy.

COMPARATIVE ANALYSIS OF MARKET OVERREACTION IN INDONESIA AND SINGAPORE STOCK EXCHANGE 2016-2019

This study aims to determine whether there is a market overreaction phenomenon in the Indonesia Stock Exchange which is classified as an emerging market and the Singapore Stock Exchange which is classified as a developed market. This research was conducted in a weekly period during 2016-2019. This study uses sample included in the LQ-45 index for the Indonesia Stock Exchange and the top 30 market cap for the Singapore Stock Exchange. This research found that there was a market overreaction in the Indonesia Stock Exchange, especially the loser portofolio which experienced the strongest reversal. Meanwhile, the significance value in the one sample t-test for the average cumulative abnormal return difference value is not significance. While the results of research on the Singapore Stock Exchange found no market overreaction phenomenon as indicated by a negative and insignificance average cumulative abnormal return difference. The result showed that the Indonesia Stock Exchange has not been efficient where investors tend to overreact in responding to information while investors on the Singapore Stock Exchange are rational.

COMPARATIVE ANALYSIS OF MARKET OVERREACTION IN INDONESIA AND SINGAPORE STOCK EXCHANGE 2016-2019

This study aims to determine whether there is a market overreaction phenomenon in the Indonesia Stock Exchange which is classified as an emerging market and the Singapore Stock Exchange which is classified as a developed market. This research was conducted in a weekly period during 2016-2019. This study uses sample included in the LQ-45 index for the Indonesia Stock Exchange and the top 30 market cap for the Singapore Stock Exchange. This research found that there was a market overreaction in the Indonesia Stock Exchange, especially the loser portofolio which experienced the strongest reversal. Meanwhile, the significance value in the one sample t-test for the average cumulative abnormal return difference value is not significance. While the results of research on the Singapore Stock Exchange found no market overreaction phenomenon as indicated by a negative and insignificance average cumulative abnormal return difference. The result showed that the Indonesia Stock Exchange has not been efficient where investors tend to overreact in responding to information while investors on the Singapore Stock Exchange are rational.

Dampak Pengumuman Covid-19 Terhadap Return Saham: Penelaahan Beberapa Sektor Industri

This Research is an event study that examine abnormal return difference before and after first announcement of covid-19 case in Indonesia. This Study use daily closing price data to calculate returns. We use 30 days estimation period and 20 days window period. The data collection method is purposive sampling. There are 64 companies that meet the establish criteria. Wilcoxon signed rank test and paired sample t-test were used to examine the difference in abnormal return before and after the covid-19 first case announcement in Hotel, Restaurant & Tourism, Banking and telecommunication sector. This study found that there was no difference in abnormal returns before and after the announcement of the first Covid-19 case in Hotel, Restaurant & Tourism and Banking sector. Furthermore, this study found differences in abnormal return before and after the announcement of the first covid 19 case in telecommunication sector. How to Cite:Sari, L., & Bone, H. (2021). Dampak Pengumuman Covid-19 Terhadap Return Saham: Penelaahan Beberapa Sektor Industri. Akuntabilitas: Jurnal Ilmu Akuntansi, 14(2), 269-278.

REAKSI PASAR INDONESIA ATAS PENGUMUMAN PEMINDAHAN IBU KOTA ISRAEL

The purpose of this study is to analyze the market reactions to the announcement of the capital of Israel movement to Jerusalem on the Indonesia Stock Exchange (IDX). The event study method is used to analyze market reactions and statistical significance to test the difference in abnormal return and trading volume activity between the observation period and the average between two sample groups. The sample was selected using a purposive sampling method which obtained two sample groups, namely companies with controlling shareholders from Europe which were recorded on November and December 2017 and companies that were included in the LQ-45 list in the period of August 2017 to January 2018.Statistical results show that the significant difference in abnormal return between the observation periods is only found in the period between before and during the event in each sample group, for the trading volume activity variable there is no difference between all observation periods in each sample group. The significance of the difference in the average between the two sample groups in the period when an event occurs is only found in the trading volume activity variable.

THE ANALYSIS OF ABNORMAL RETURNS AND TRADING VOLUME ACTIVITY BEFORE AND AFTER SIMULTANEOUS GENERAL ELECTION IN THE YEAR 2019 (STUDY OF STOCKS THAT ARE INCLUDED IN THE JAKARTA ISLAMIC INDEX)

Political events are one of the factors that influence a country’s economic conditions. The capital market as an economic instrument cannot be separated from various environmental influences, both economic and non economic environment. The aim of the research is to find out the difference of abnormal return and trading volume activity between 10 days before and 10 days after Simultaneous General Election 2019 on the stocks included in the Jakarta Islamic Index. The sampling method in this study was conducted using saturated samples of 30 companies. Statistical analysis method used is Paired Sample T-Test and Wilcoxon Signed Ranks Test. The result of statistical test shows that variabel abnormal return and trading volume activity produce the conclution that there is no difference in abnormal return and trading volume activity between 10 days before and 10 days after Simultaneous General Election 2019 on the stocks included in the Jakarta Islamic Index. The implications of this study for issuers do not need to worry about Simultaneous General Election information because the event does not significantly influence on abnormal return and trading volume activity.

What's an AI name worth? The impact of AI ETFs on their underlying stocks

This study examines the difference in abnormal returns of constituent stocks on the inception dates of ETFs by grouping U.S. AI ETFs into those with AI names and those without AI names. The results show that the constituent stocks of AI ETFs with AI names have approximately 0.4% more cumulative abnormal returns (CARs) than those of AI ETFs without AI names over the event period, confirming that ETF names also generate name premiums for constituent stocks. This study complements Cooper et al. (2001) by suggesting that derivative names also generate name premiums on underlying assets.

Impact of a big political event on stock market: The 2019 Presidential Election case

A national-scale political event has a big impact on the country’s economy. The most notorious political event in Indonesia is President and Vice President Election. This study is intrigued by a quest about whether that event impacted the stock market return. More specifically, did the event cause an abnormal stock return? To answer that curiosity, the authors took nine sectors of the Indonesia Stock Exchange as the research object. Each sector consists of 15 companies that are range from the small, medium, and large categories, based on market capitalization, debt/equity, revenue, and return on equity. This approach enables the authors to finally arrive at 135 units of analysis. The data is tested using the paired-samples t-test. This test reveals that there is no difference in abnormal returns before and after the 2019 President’s Election. In other words, there is no effect of the 2019 Presidential Election on stock return. Original Article | Turnitin

Long-term impacts of index reconstitutions: Evidence from the CSI 300 additions and deletions

We investigate the long-term impacts of index reconstitutions for stocks added to or deleted from the CSI 300 Index, the central indicator of the Chinese equity market. We find that both added and deleted stocks experience abnormal returns over four-year holding periods, with deleted stocks significantly outperforming added stocks. We find nuanced support for previous US findings regarding the impact of reconstitution on firm-level factors, as well as evidencing new firm-risk and manager overconfidence hypotheses. We also highlight the role of state ownership in explaining differences in abnormal returns between added and deleted stocks. Results will be of great value for investors in the Chinese market and to scholars interested in index reconstitutions.

The Capital Market Reaction To The Corona Covid-19 Virus Outbreak Events

This study aims to get a real picture of the Capital Market Reaction to the Corona Covid-19 Virus Outbreak (Study on LQ-45 Companies Listed on the Indonesia Stock Exchange). The analytical tool used is descriptive statistical analysis and classical assumption test. To test the hypothesis, it is done using data analysis in the form of Paired Sample T-Test using the statistical program "Product and Service Solution" (SPSS). The results of hypothesis testing using paired sample t-test obtained t-value with a significant value of 0.000 (0.000 <0.05). From these results, it can be stated that the hypothesis is accepted, which means that there is a significant difference in abnormal returns before and after the Corona / Covid-19 Virus Outbreak. The difference in Abnormal Return on the test results has a positive value, this shows that if the Corona / Covid-19 Virus Outbreak has increased, the Abnormal Return value will increase.

REACTION OF ABNORMAL RETURN AND TRADING VOLUME ACTIVITY BEFORE AND AFTER THE ELECTION OF THE PRESIDENT OF THE REPUBLIC OF INDONESIA IN 2019

This research aims to analyze abnormal return and trading volume activity in the time before and after the 2019 Presidential election. Especially in state-owned enterprises that are included in the IDX BUMN 20 index in IDX. This research is a quantitative research using the event study method with an observation time of 7 days before and 7 days after the 2019 Presidential election. Using secondary data in the form of stock prices and trading volumes. The results showed that: (1) based on the results of the paired sample test against abnormal return during the period of event, it was found that there was no difference in abnormal return before and after the presidential election; (2) from the Wilcoxon-Signed Rank test results there is a significant difference in trading volume activity before and after the presidential election of the Republic of Indonesia

The Reaction Of The Indonesian Capital Market When Indonesia Experiences Recession In 2020

This study aims to explain whether or not there is evidence of differences in abnormal return, trading volume activity, and security return variability of companies listed in the LQ45 index on the IDX before and after the November 2020 recession announcement. This study uses quantitative research approach. The LQ45 index is the research population used in this study. Meanwhile, to determine the research sample in this study using purposive sampling technique. The Wilcoxon Signed Rank Test is a data analysis technique used. Based on the results of the research, the abnormal return indicator gives a change with sig. 0.012. Trading volume activity changes with sig. 0.000. Security return variability provides changes with the value of sig. 0.026. So it can be concluded that in the event of an announcement of a recession there is a capital market reaction to companies listed in the LQ45 index.

REAKSI PASAR MODAL ATAS KEBIJAKAN KENAIKAN CUKAI DI INDONESIA

This study aims to analyze the reaction of the capital market to the increase in cigarette excise in Indonesia. This study focuses on cigarette companies listed on the Indonesia Stock Exchange as an increase in excise tax has an impact on the cigarette industry. There are 4 companies that are included in the cigarette industry which are the samples of this study. This study uses an event study to examine the effect of Abnormal Return, Trading Volume Activity and Bid-Ask Spread before and after the increase in excise tax. The findings of this study are that there is no difference in abnormal returns both before and after the announcement of the policy on the increase in cigarette excise in 2020. Other findings indicate that there is no difference in trading volume activity both before and after the announcement of the policy for the increase in cigarette excise in 2020. Other findings indicate that there is no difference in bids. ask spread both before and after the announcement of the 2020 cigarette excise tax increase.
 Keywords : Abnormal Return, Trading Volume Activity, Bid-Ask Spread and Event Study

Reaksi Pasar terhadap Peristiwa Politik 2019 di Indonesia

This study examines the information content in political events in 2019, namely the appointment of the president and vice president and the announcement of the Kabinet Indonesia Maju. Market reaction is measured by abnormal returns, security return variability, and trading volume activity. The observation period in this study was five days before and after the event, with a sample of 20 companies affiliated with the winner of the election and 25 companies at the announcement of the Indonesian Maju Cabinet. The results of hypothesis testing indicate that there is a difference in the average abnormal return in the event of the appointment of the elected president and vice president, but there is no difference in security return variability and trading volume activity. Furthermore, hypothesis testing shows that there is a significant difference in average trading volume activity before and after the announcement of the Kabinet Indonesia Maju, but there is no difference in abnormal return and security return variability.
 Keywords: Market Efficiency; Event Studies; Abnormal Returns; Security Return Variability; Trading Volume Activity.

Differences abnormal return and cumulative abnormal return financial sector issuers for the previous period and time of the covid-19 pandemic

The existence of the covid-19 virus impacts several economic sectors in Indonesia so that it affects the investment climate, which has also decreased. This research was conducted to prove the occurrence of market reactions with the virus through differences in abnormal returns and Cumulative Abnormal Returns of financial sector issuers before and during the Covid-19 pandemic. The population in this study were companies included in the financial sector issuers for January 2019 - April 2020, which consisted of 51 companies; the sample selection used a purposive sampling technique so that the sample of this study became 11 companies. The method used is the descriptive comparative method through the Paired Sample T-Test. The results showed significant differences in the Abnormal Returns of Financial Sector Issuers in the Pre-Covid-19 Pandemic Period. As for the Cumulative Abnormal Return variable for Issuers in the financial sector, there is no difference between before and the Covid-19 Pandemic Period.

Analisis Komparatif Abnormal Return, Cumulative Abnormal Return dan Trading Volume Activity

The existence of Covid 19 pandemic that has spread throughout the world, including Indonesia, has resulted in the economic. Ever since the first positive cases of Covid-19 were announced in Indonesia, the market has reacted negatively. It can be seen from the performance of IHSG which was closed with a decline in value of 1.68% from the previous one.This study aims to analyze the reaction of the capital market in Indonesia to the presence of the Sinovac vaccine in Indonesia as a solution to suppress the spread of Covid-19. Market reaction is seen through averge abnormal return, cumulative averge abnormal return and trading volume activity before and after the arrival of the synovac vaccine. This study uses secondary data, obtained from the official website of the Indonesia Stock Exchange. The population of this study is the pharmaceutical sector companies listed on the IDX, with a total sample size of 9 companies in the observation period of November 30, 2020 to December 14, 2020. The results of this study indicate there is no differences in abnormal returns, cumulative abnormal returns and trading volume activity before and after the arrival of Vacsin Sinovac in Indonesia.

COVID-19 on the Telecommunications Industry Stock Market Performances: An Event-Study Approach

Covid-19's impact on the global economy is unclear. The stock market has responded with dramatic moves around the world. This study aims to analyze the quality of knowledge of the COVID-19 pandemic events regarding the performance of the Indonesian stock market as seen from the average abnormal return before and after the first case of COVID-19 Indonesia on March 2, 2020. The research design used in this study is an event study. The three samples used in this study are companies engaged in the telecommunications sub-sector on the Indonesia Stock Exchange. The sampling technique used in this research is purposive sampling. The study focused on a window period of 15 days before and 15 days after the event date. Hypothesis testing was carried out using the paired sample t-test on data with a typical distribution and the one-sample Wilcoxon signed-ranked test on data that were not normally distributed. The results obtained are that stocks react positively but not significantly to the announcement of the first case in Indonesia using an event study research design. There is a significant difference in abnormal returns before and after the first case of COVID-19 patients in Indonesia was announced.

Analysis of Covid-19 Impact on Stock’s Abnormal Return in Sub Cigarette Sector Companies Listed on BEI

Covid-19 is an international pandemic that has paralyzed the national economic sector. This study aims to analyze the impact of Covid-19 on stock’s abnormal return in cigarette sub sector companies listed on the Indonesia Stock Exchange in the January to May 2020 period. The population of this study is 5 cigarette sub sector companies listed on the Indonesia Stock Exchange in 2020. The research sample selection uses census method so as to obtain 5 sample companies with an observation period of 5 months (January to May 2020). Secondary data in this study regarding stock’s abnormal returns with actual return and market return proxies. Data obtained from the company's daily stock price and composite stock price index. Descriptive statistical analysis, data normality test analysis and hypothesis test analysis are processed using SPSS 25. Statistical test with paired sample t test showed no significant difference in abnormal return between the period of 52 days before and when WFH with a significant level of 95% (α = 0.05). From the SPSS test results it is known that the significance value obtained is equal to 0.911. When compared with the significance value that has been set. The value is greater (α> 0.05). So H1 which states there are differences in stock’s abnormal returns before and during the WFH Covid-19 is rejected.

CAPITAL MARKET REACTION BEFORE AND AFTER THE ANNOUNCEMENT OF THE FIRST CASE OF COVID-19 IN INDONESIA

This study aims to determine the differences in abnormal return, frequency of trade, and market capitalization before and after the informations regarding the first reporting of COVID-19 in Indonesia on the Indonesia Stock Exchange. The research population is all companies that entered into Top Leadings in Market Capitalization companies on the Stock Exchange in the period Februari – April 2020, namely as many as 50 companies. The sample in this study was taken using the census method, meaning that the number of samples taken was equal to the number of members of the population. To test the hypothesis of this study using a paired sample test. The observation began 30 days before the event and 30 days after the event. This study uses quantitative research in the comparative method. The finding show that the information caused the market was approved. This is proven by the existence of significant results in daily tests on the indicators. The results were also significant in the combined abnormal return test and the combined market capitalization test. The trade comparison test results show a significant difference which means there was a market-panic towards trading activities after the event that caused some frequency differences, before and after the event in terms of trade transactions. So, the results of this study indicate that there are differences in abnormal returns, frequency of trade, and market capitalization before and after the announcement of the informations regarding the first reporting of COVID-19 in Indonesia.

Capital Market Reaction to Announcements the First Case of Coronavirus

The more important the role of the stock exchange in economic activity, the more sensitive the stock exchange is to various surrounding events, whether they are directly related to economic issues or not. The announcement of the first case of the coronavirus in Indonesia is one of the events that have the potential to affect market behavior. This study aims to analyze the reaction of the capital market to the announcement of the first case of the coronavirus in Indonesia. This study used an event study approach with measurements seen from differences in abnormal returns and trading volume activity before and after the event. The research sample was 45 companies selected by the purposive sampling technique. Data analysis used paired sample t-test on normally distributed data and Wilcoxon test on data not normally distributed. The results showed that there was no difference in abnormal returns and trading volume activity before and after the announcement of the first case of the coronavirus in Indonesia. This study concludes that events do not contain significant information that can influence investors' decisions in the capital market.