Difference In Abnormal Returns Research Articles

REAKSI PASAR TERHADAP KEMENANGAN JOE BIDEN DALAM PEMILIHAN UMUM PRESIDEN AMERIKA SERIKAT TAHUN 2020 DI EMERGING MARKET

This study aims to determine the market reaction to the events of Joe Biden's victory in the United States presidential election in 2020, especially in the emerging market, namely Indonesia and the Philippines. This research uses an event study approach with a 11 day event window. The research sample is based on purposive sampling as many as 22 multinational companies that are members of the LQ45 Index, and 14 multinational companies that are members of the PSE Composite Index. The hypothesis test used in this research is One Sample t-test and Paired Sample t-test. The results of this study indicate (1) There is a market reaction in the form of significant abnormal returns around events in Indonesia and the Philippines (2) There is no difference in abnormal returns before and after events, both in Indonesia and the Philippines. The results of this study can show that the capital market in Indonesia and the Philippines can be in the form of an informational semi-strong form of efficiency market. The results of this study can be used as a consideration for investors in calculating the risk of non-economic issues that affect the capital market.

Analysis of Capital Market Reactions To The Merger of Indonesian Sharia Banks: BRIS Stocks Evidence

This study aims to obtain evidence of the stock market’s reaction to the merger of Indonesian Islamic banks and its prediction power to JCI. The variables used in this study are abnormal returns and trading volume activity with an observation period of 60 days before the event and 60 days after the event. We use 2 types of time series data, which are daily data to analyze AR and trading volume activity, and weekly data to analyze the causality relationship. The results showed that there were no differences in abnormal returns before and after the merger, but there were differences in trading volume activity before and after the merger. In addition, this study also aims to determine the reciprocal relationship using Granger causality between the JCI and BRIS stocks prices before and after the merger of Indonesian Islamic banks. The results of the study show that there is no reciprocal relationship between the Composite Stocks Price Index and the stock’s price of BRIS and vice versa.

Dampak Peristiwa Pidato Kemenangan Joe Biden Terhadap Abnormal Return Saham Pada Sub Sektor Logam dan Mineral

Abnormal returns can be influenced by political events that occur either in a country or in other countries. The momentum of the presidential election is one of the political events that can trigger investor reactions. One of the political events that is used as the object of this research is the event of Joe Biden's victory speech. This study is a quantitative study conducted to determine whether the events of Joe Biden's victory speech affect abnormal returns. Metals and minerals sub-sector stocks are the objects used in this research. A significance of 5% is used in this study to test the hypothesis with IBM SPSS Statistics 23 software with the different test methods of one sample t-test and paired sample t-test. The results of the study are (1) there are abnormal returns in the period before Joe Biden's victory speech on the 13th day, 11th day, 7th day, and 3rd day with negative abnormal returns, (2) there are abnormal returns. returns in the period after Joe Biden's victory speech on the 1st day, 2nd day, 4th day, 9th day, and 12th day with abnormal returns on the first day are positive. Then, for the 2nd day, the 4th day, the 9th day, and the 12th day there were negative abnormal returns, and (3) there was no difference in abnormal returns before and after Joe Biden's victory speech.

Indonesia Stock Market Reaction Before and After The Announcemnet of First COVID-19 Case

<p>This study aims to analyze the effect of COVID-19, which announced on March 2nd, 2020 in Indonesia on abnormal return, volatility, trading volume and market capitalization of <br />companies 10 days before and after the announcement. This type of research is an event study. The populations are 70 firms listed on the JII70 and 12 firms on SRI-Kehati on the Indonesian Stock Exchange and take all companies in the issuer under study as samples. Hypothesis testing will use the paired sample t-test for abnormal return and volatility variables then wilcoxon signed-rank test for trading volume and market capitalization variables. The results of the study show that there is no difference in abnormal return but there is a difference in volatility, trading volume and market capitalization before and after the announcement of COVID-19 in Indonesia.</p>

Market Reaction Analysis Before and After Ex-Dividend Date on Companies Listed in The Jakarta Islamic Index (JII) 2016-2020

This study aims to examine the market reaction before and after the ex-dividend date and see whether there are differences in abnormal returns, trading volume activity, and security return variability before and after the ex-dividend date. The population in this study are companies listed in the Jakarta Islamic Index (JII) in 2016-2020 that consistently distribute dividends. The sample of this study amounted to 10 companies that consistently distribute dividends. The used method is the event study method with a window period of 10 days, 5 days before and 5 days after. The analysis technique used is the Paired Sample T-Test and the Wilcoxon-Signed Ranked Test. The results show that there are no differences in abnormal returns, trading volume activity, and security return variability before and after the ex-dividend date in the 2016-2020 Jakarta Islamic Index (JII). This shows that dividend announcements are not considered by investors in making investments.

Market Reaction Analysis Before and After Ex-Dividend Date on Companies Listed in The Jakarta Islamic Index (JII) 2016-2020

Abstract: This study aims to examine the market reaction before and after the ex-dividend date and see whether there are differences in abnormal returns, trading volume activity, and security return variability before and after the ex-dividend date. The population in this study are companies listed in the Jakarta Islamic Index (JII) in 2016-2020 that consistently distribute dividends. The sample of this study amounted to 10 companies that consistently distribute dividends. The used method is the event study method with a window period of 10 days, 5 days before and 5 days after. The analysis technique used is the Paired Sample T-Test and the Wilcoxon-Signed Ranked Test. The results show that there are no differences in abnormal returns, trading volume activity, and security return variability before and after the ex-dividend date in the 2016-2020 Jakarta Islamic Index (JII). This shows that dividend announcements are not considered by investors in making investments.

ANALISIS REAKSI PASAR SEBELUM DAN SESUDAH PENGUMUMAN BUYBACK SAHAM PERUSAHAAN TERDAFTAR DI BEI 2020

This study aims to analyze the difference in abnormal return and trading volume activity before and after the announcement of the buyback of shares of IDX-listed companies in 2020. This study uses a quantitative event study approach. The population in this study amounted to 57 companies and the research sample amounted to 34 companies with a purposive sampling method. The observation period of this study is three days before the announcement and three days after the announcement of the share buyback. The research test used is Paired Sample t-Test test when data is normally distributed and Wilcoxon Signed Ranks Test if the data is abnormally distributed. The test results showed no significant difference in return and trading volume activity at the time before and after the announcement of the company's share buyback policy. This indicates that asymmetric information between external and internal parties of the company is not much different so that investors cannot get abnormal returns on an ongoing basis or in a short period of time.

Analisis Dampak Cum Date Right Issue Terhadap Abnormal Return dan Volume Perdagangan Saham Di Bursa Efek Indonesia (Studi Kasus Pada Bursa Efek Indonesia Periode 2019-2021)

This study aims to determine whether there are differences in abnormal returns and volume. Background Problems: The impact of the Covid-19 pandemic where economic growth has resulted in almost all business sectors needing funds for a certain period of time with a sizable amount. Novelty: The implementation of the rights issue is able to cause investors to react to corporate action as indicated by the difference in abnormal returns and the difference in stock trading volume between before and after the cum date. Research Methods: Using event study analysis methods or techniques with data analysis using SPSS. Finding/Results: The results of this study indicate that there is a significant difference in abnormal stock returns before and after the cum date rights issue, but there is no significant difference in stock trading volume proxied by trading volume activity before and after the cum date rights issue. Conclusion: There is a significant difference in abnormal returns before and after the cum date rights issue on the IDX for the 2019-2021 period. It is hoped that investors will always pay attention and try to find information on every right issue corporate action so that the company gets the return as expected.

Dampak Covid-19 Terhadap Kinerja Saham Emiten Indeks LQ 45

This research is an event study research, where the researcher wants to see the content of information after the announcement of the Covid 19 case. The researcher uses a quantitative descriptive method with non-parametric analysis, using the Wilcoxon test to see the effect of performance with abnormal returns and trading activity before and after the announcement of an event. incident. Researchers used an observation period of 3 days before the announcement and 3 days after the announcement of Covid 19 by the President of the Republic of Indonesia. Hypothesis testing shows that the Z value of -2,469 with Asymp Sig (2-tailed) of 0.014 is smaller than 0.05, proving that there is a difference in abnormal returns before the announcement and after the announcement of the event, but on the contrary, testing trading activities before and after the announcement. shows a Z value of -1.838 with Asymp Sig (2-tailed) of 0.066, higher than the value of 0.05, so it can be concluded that there is no difference in the increase or decrease in stock trading volume activity significantly before and after the announcement of Covid-19. Keyword: Abnormal Return; Trading Volume Activity; Index LQ 45; Coronavirus.

Studi Buyback Saham BUMN Di BEI Pada Masa Pandemi Covid 19

Abstract
 Stock buyback during the Covid 19 pandemic in 2020 which is intended to encourage the economy and increase stock prices that have decreased. To prove that these expectations are achieved or not, this study examines the differences in abnormal returns (AR) of stocks and trading volume activity (TVA) before and after share buybacks with a sample of 7 BUMN issuers who have realized share buybacks until the end of June 2020. Paired sample test results The t test shows that the p value of the AR variable is 0.042, which is smaller than = 0.05. Likewise, the p value of the TVA variable is 0.002 <0.05, which means that there is a difference between AR and TVA before and after the buyback of the shares of the 7 BUMN companies.

LQ45 Stock Index Abnormal Return Reaction to the Covid-19 Pandemic: the Even Study Methodology

LQ45 Index stocks are liquid stocks with high market capitalization, have a high trading frequency, growth prospects, and fairly good financial conditions, are not volatile and have been objectively selected by the IDX. This research aims to determine the abnormal return of LQ45 Stock Index to the covid-19 pandemic. This research uses even study method with population consisted entirely of daily data from the ten most populous cities in the United States. The result of this study shows that there are significant differences in abnormal returns before and after the announcement of the Covid-19 pandemic by WHO. The announcement of this pandemic is responded to as a negative signal by investors so that information regarding the announcement of the Covid-19 pandemic by the WHO is responded to early and at the time of launching the information no longer had any effect because the prices had moved towards equilibrium. The future research that extend the research time period and include other external factors such as lockdown policies or inflation is needed as the limitation in this research.

The Influence of the Work Creation Law Draft on Abnormal Return and Trading Volume Activity in LQ45 Share

This study aims to analyze the effect of the event on the work copyright bill on abnormal returns and trading volume activity on LQ45 shares on the Indonesian stock exchange. It is hoped that the findings of this study can contribute to the development of studies on financial management. The research population is LQ45 companies listed on the IDX in 2020, with secondary data collection from sites (Yahoo Finance, n.d.) and (Indonesian Stock Exchange, n.d.). Quantitative research data analysis techniques used in the form of descriptive analysis techniques, hypothesis analysis. Testing the data from this research is in the form of a t-hypothesis test, and by using the Ms. excel. The results of this study found that there was no difference in abnormal returns before and after the events studied and also there is no difference in trading volume activity before and after the events studied.

Market reaction to the Covid-19 pandemic: Events study at stocks listed on LQ45 index

This study aims to examine the market reaction to the Covid-19 pandemic using stocks listed on the LQ45 Index, by using the event study method to calculate and analyze the difference in Average Abnormal Return (AAR) and Trading Volume Trading (TVA) during the Covid-19 pandemic that occurred in Indonesia. The population for the study is companies listed on the LQ45 Index with a sample of 41 companies taken by purposive sampling technique. Statistical analysis was conducted by using events study with paired sample t-test in determining the abnormal return difference test for each event. The first finding was that the LQ45 stock market reacted positively since the confirmation of the Covid-19 outbreak in Wuhan, China, as investors did not consider this information bad news. Second, LQ45 shares have shown a decline since the first confirmed Covid-19 patients in Indonesia. Third, the announcement of a pandemic by the World Health Organization (WHO) continued until the Jakarta regional lockdown in April 2020 made LQ45 respond negatively. The market began to respond positively after the first vaccination in Indonesia in January 2021. Overall, the results show that the LQ45 stock market has responded quickly to the Covid-19 pandemic from the start events and responses vary over time depending on events during the pandemic. Investors tend to be quick to respond to any event so that stock movements are very difficult to project. This research concludes that the negative impact occurred on the stock market in Indonesia could be attributed to the Covid-19 pandemic.

DAMPAK PANDEMI COVID-19 TERHADAP RETURN SAHAM SEKTOR PROPERTY DAN REAL ESTATE YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2020

This research aims to find out how the impact of Covid-19 on the return of property and real estate sector shares is projected through differences in Return and Abnormal Return before and after the announcement of the first Covid-19 case in Indonesia. In this study used a type of secondary data obtained from the official website of the Indonesia Stock Exchange. The population in this study is all property and real estate sector companies listed on the Indonesia Stock Exchange. In sampling using purposive sampling techniques that use certain criteria. The data analysis technique in this study uses several methods, namely one sample t-test, paired sample t-test, and simple linear regression analysis. The results showed that the announcement of the first Covid-19 case in Indonesia had an effect on stock returns and abnormal return of shares shown through significant differences in abnormal returns before and after the announcement of the first Covid-19 case in Indonesia.

Analisis Reaksi Pasar Modal Pada Peristiwa Politik Pemilihan Umum Di Indonesia, Malaysia, dan Thailand

This research has purpose to determine the existence of market reactions by analyzing differences of abnormal return and trading volume activity in the general election events held by Indonesia, Malaysia and Thailand. The approach used is event study with 5 days before and 5 days after the event. The population and research sample are the LQ45 Index, FBMKLCI and SET50. The samples that used was 125 companies. The statistical method used is One Sample t-Test also Paired Sample t-Test with the help of SPSS. The results prove that there are no reaction around the Indonesia, Malaysia and Thailand election. This research also showed there is no significant differences in the abnormal return and trading volume activity in the general election events in Indonesia, Malaysia and Thailand.Keywords: General Election; Abnormal Return; Trading Volume Activity

REAKSI PASAR MODALTERHADAP PERISTIWA PELANTIKAN KABINET INDONESIA MAJU HASIL RESHUFFLE JILID I TAHUN 2020

This research was conducted on the Indonesia Stock Exchange on LQ45 indexed stocks. The dependent variable in this study is the market reaction which is measured by abnormal returns around the date of the inauguration of the Indonesia Maju cabinet as a result of the reshuffle volume I in 2020. The number of samples taken is 43 companies, using purposive sampling technique. Data collection was carried out by archival research methods. Based on the results of the analysis, it was found that there was a significant difference in abnormal returns before and after the inauguration of the Indonesia Maju cabinet as a result of the 2020 reshuffle volume against the LQ45 indexed company shares listed on the IDX. This happened because the inauguration of the Indonesia Maju cabinet resulting from the 2020 reshuffle volume I contained information so that the market needed fast time to achieve a new balance. Investors in this study react quickly in absorbing information so that it is in accordance with the semi-strong form of efficient market.

Analysis of market reaction to bonus issue announcement in Indian stock market

Companies capitalise on the accumulated profit by issuing the bonus share to shareholders. The information content of the bonus issue is perceived to be positive. This paper is an attempt to study the market behaviour pertaining to the bonus announcement by making inferences on the variation in price around announcement day. Using the standard event study methodology, the paper investigates the market reaction on bonus of the companies, which are included in the Nifty 200 index, for the period 2000-2019. A total of 171 bonus events announcement was studied for 61 days event window (-30 to +30). The result revealed the existence of a significant difference in abnormal return between pre- and post-event window and concludes that the Indian market exhibits a semi-strong form of efficiency. The pattern of abnormal return observed around announcement day strives as evidence for the findings that bonus issue in Indian capital market is anticipated prior to the announcement and leaves no scope for exploitable inefficiencies.

Analysis of Abnormal Returns Before and After the Announcement of the Merger of State-Owned Sharia Banks

AbstractPurpose - This study aims to examine the capital market's reaction to the merger of BUMN Syariah Banks, which is seen as abnormal returns at PT Bank BRI Syariah Tbk.Method - The data for this study were taken ten days before and ten days after announcing the BUMN Sharia Bank merger. The data was processed by paired sample t-test using SPSS.Result - Based on the analysis and discussion results, it shows that there is no market reaction to the announcement of the signing of the BUMN Islamic bank merger on BRIS shares as seen from the abnormal returns before and after the signing of the merger, which there is no significant difference.Implication - This can happen because the world is currently facing the COVID-19 pandemic, which causes market uncertainty. In addition, abnormal returns are not the only indicator to measure the wealth created by an event. Another factor that causes no significant difference in abnormal returns is that the data used in the event window research is daily and short enough to have no visible reaction. Furthermore, the issue of a merger has also been circulating before the announcement of the signingOriginality- This article examines abnormal returns before and after the announcement of the merger of State-Owned Sharia Banks

Dampak Ex-Dividen Date terhadap Abnormal Return dan Volume Perdagangan Saham pada PeruSahaan LQ-45 yang Terdaftar di BurSa Efek Indonesia Periode 2015-2019

This research is a quantitative study with primary data derived from questionnaires. A population of 45 companies, with the sampling technique using purposive sampling technique in order to obtain a sample of 12 companies. The analysis used the Wilcoxon signed Rank Test analysis if the data were not normally distributed and Paired sample T-Test analysis if the data were normally distributed. The results showed that there was a significant difference in abnormal returns between before and after the ex-dividend date, as evidenced by the results obtained by Asymp. sig. (2-tailed) has a value of 0.000 < 0.05, it is concluded that there is an impact of ex-dividend data on abnormal returns for LQ-45 Companies on the Indonesia stock Exchange for the 2015-2019 period. There is a significant difference in stock trading volume between before and after the ex-dividend date, as evidenced by the research results obtained by Asymp. sig. (2-tailed) is worth 0.027 < 0.05, it is concluded that there is an impact of ex-dividend data on the volume of stock trading at LQ-45 Company on the Indonesia stock Exchange for the period 2015-2019. The suggestion of this research is that companies in implementing dividend policy should be based on consideration of the interests of share ownership and also the interests of the company. Dividend policies are important because payments increase the prosperity of shareholders. The behavior of individual investors in making financial decisions is not only influenced by considerations of rationality and objective data. However, it also needs to be influenced by rational actions such as emotions, certain psychological habits and the mood of individual investors to reduce market reactions to the existence of dividend policy.

Differences in Abnormal Return, Trading Volume Activity, Firm Value Volatility Before and After Stock Split

This study aims to determine and understand the differences in Abnormal Return, Trading Volume Activity, Firm Value, Volatility before and after the stock split. This research is a type of quantitative research with hypothesis testing. In this study, from a population of 145 Indonesian manufacturing companies listed on the Indonesia Stock Exchange for the 2010-2019 period, 40 companies conducted stock splits. In order to solve the problems contained in the formulation of the problem in this study, the method used is the Paired T Test or Wilcoxon Signed Rank analysis model depending on the distribution of the data, the analysis is carried out using the help of the Stata software program. The results of this study prove that abnormal returns before and after the stock split have a significant difference with the test results of 0.0344 difference. Trading volume activity before and after the stock split there is a significant difference in the test results of 0.0175. The value of the company before and after the stock split there is a significant difference in the test results of 0.0178. Volatility before and after the stock split there is a significant difference in the test results of 0.0196.