Differences In Average Abnormal Return Research Articles

Reaksi Investor Pada Peristiwa Pengumuman Kabinet Indonesia Maju

This study aimed to explain investors’ reaction in the Indonesian capital market to the Announcement of the Jokowi and Ma’ruf Amin’s Cabinet of Indonesia Maju. This study investigated companies listed on the LQ 45 Index of the Indonesia Stock Exchange in 2019 as its population. Moreover, the purposive sampling method was to determine the sample that included 38 companies. This study collected data using documentation techniques within fifteen days. The periods were seven days before the Indonesia Maju Cabinet’s Announcement and seven days after the Announcement, from 14 October 2019 to 01 November 2019. The testing approach was an event study approach. The analysis technique was to test the signifi-cance level of the average abnormal return, and moderate trading volume activity is the paired sample t-test. The results indicated no difference in average abnormal return before and after the Indonesia Maju Cabinet’s Announcement. There was no difference in moderate trading volume activity before and after the Indonesia Maju Cabinet’s Announcement. In other words, there was a less positive reaction from investors around the Indonesia Maju Cabinet’s information

ANALYSIS OF STOCK MARKET REACTION TO LARGESCALE SOCIAL RESTRICTIONS POLICY ANNOUNCEMENT

This study aims to analyze stock market reactions to large-scalesocial restrictions policy implementation announcements. Themethod used is event study. This study used 7, 5, and 3 daysevent window and 120 days estimation window for calculatingabnormal return. The samples of this study are 32 companies inthe tourism, hotel, and restaurant sub-sector listed in IndonesiaStock Market which were determined by purposive samplingmethod. The results of this study indicate that 1) there was nosignificant negative market reaction indicated by negative andinsignificant average abnormal return and accumulation averageabnormal return around the announcement date of the Large-ScaleSocial Restrictions (PSBB) policy implementation which meansthat the market does not react to the event and 2) there was nosignificant difference in average abnormal return before and afterthe announcement of the Large-Scale Social Restrictions (PSBB)policy implementation.

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.

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.

Analisis Komparatif Abnormal Return dan Trading Volume Activity Emiten Sektor Mining Berdasarkan Pengumuman Kasus Pasien Covid-19 Pertama di Indonesia

On March 2nd 2020, the first case of Covid-19 was found in Indonesia. The purpose of this research is to analyze the reaction of the Indonesian capital market to the first case of Covid-19 using average abnormal return (AAR), cumulative abnormal return (CAR), and trading volume activity (TVA) before and after the event. The observation began seven days before and seven days after that event. The population of this research uses the data of mining sector companies listed in February and March 2020 on the BEI. The sampling technique used is purposive sampling with a total of 41 mining companies. This study uses quantitative research and the comparative method the research testing by Wilcoxon Signes Rank Test. The result showed no differences in AAR, CAR, and TVA of mining sectors between before and after the announcement of the first cases of Covid-19. Investors are expected to be more careful in making investment decisions because this pandemic has occurred for a long time and around the world.

The Announcement of Sharia Bank’s Conditional Merger Agreement. How Investor Reacted?

This study aims to determine there is a difference in average abnormal return of BRI Syariah before and after the signing of the Conditional Merger Agreement (CMA), which is on October 12th, 2020. This research used event study for method and the data in this study are secondary data in the form of stock price data of BRI Syariah. The event window in this study for 11 (eleven) working days which is 5 (five) days before the event, 1 (one) day when the event occurs and 5 (five) days after the signing of the Conditional Merger Agreement (CMA) BUMN sharia bank. Meanwhile, the estimated period is set for 120 exchange days, namely at t-125 to t-6. Test conducted by paired sample t-test. The results of the paired sample t-test showed that there is no significant difference between the average abnormal return of BRI Syariah shares before and after the signing of the Conditional Merger Agreement. It can be concluded that neither the market nor investors reacted to the signing of the Conditional Merger Agreement (CMA) that occurred at BRI Syariah Bank.

INDONESIAN CAPITAL MARKET REACTION TO COVID-19 AS A GLOBAL PANDEMIC

This study aims to obtain empirical evidence of the absence of an average abnormal return, average volume trading activity, and bid-ask spread of stocks in the period around the event of the COVID-19 announcement as a global pandemic. The statement of the COVID-19 as the global pandemic of the World Health Organization (WHO) made the Indonesian capital market touch the lowest point at the level of 4,929.56.
 This study used the event study with the windows period for 11 days, which was five days before the announcement, the day of the announcement, and five days after the announcement. This type of research was a quantitative research using secondary data of the stock daily data obtained from the official website of the Indonesia Stock Exchange at www.idx.co.id and also some other sites that support such as Yahoo Finance. Sampling techniques used were purposive sampling and as many as 44 companies that meet data completeness criteria. The data analysis technique used was a non-parametric t-test using the Wilcoxon Signed-Rank test.
 The results of this study show that there is a difference in Average Abnormal Return in the period t-5 & t+5, t-4 & t+4, t-2 & t+2, and t-1 & t+1. The Average Trading Volume Activity indicates there is no significant difference in all periods of observation between before and after the announcement. Meanwhile, the Bid-Ask Spread shows a significant difference before and after the announcement in all periods for 11 days of observation.

Reaksi Pasar terhadap Publikasi Opini Wajar Tanpa Pengecualian dengan Paragraf Penekanan Suatu Hal

This study aims to examine the information content by looking at the market reaction to the publication of unqualified opinion with the paragraph emphasizing a matter as measured by abnormal returns and trading volume activity. This research is an event study with an observation period of 7 stock exchange days. The population in this study were manufacturing companies listed on the IDX in 2016-2018, totaling 177 companies. The sampling method used non-probability sampling with purposive sampling technique, in order to obtain a sample of 23 companies with 33 audited financial reports. The data analysis technique used paired samplesxt-test. The results of this study indicate that there is no difference in average abnormal return and average trading volume activity before and after the publication of unqualified opinion with an emphasis on a paragraph. This indicates that the publication of an unqualified opinion with an emphasis on a subject paragraph does not cause a market reaction because there is no information content on the event. 
 Keywords: Event Study; Abnormal Return; Trading Volume Activity.

Pengaruh Employee Stock Ownership Program Terhadap Average Abnormal Return Perusahaan Perbankan

This research was conducted to see the effect of the implementation of the Employee Stock Ownership Program on average abnormal returns of banking companies before and after applying ESOP and trading volume. The aim is to find out the difference in average abnormal return before and after applying the ESOP. The variable used in this study is average abnormal return. The period of this research event is 20 days, 10 days, 5 days and 1 day which are divided before and days after the date of application. This study examines banking companies that apply the Employee Stock Ownership Program listed on the Indonesia Stock Exchange so that data is obtained from trading in the company's stock price. The sampling criteria used a purposive sampling method in order to obtain 9 samples. The hypothesis method used in the normally distributed data is Paired Samples T-test. The result is that all average abnormal return periods both on the first and the last date of the ESOP application have a significant value >0.05, which means that the entire event period of the variable is proven to have no significant difference both before and after the banking company applies the Employee Stock Ownership Program.

Reaksi Pasar Modal terhadap Kunjungan Raja Arab dan Presiden Korea Selatan ke Indonesia

The purpose of this study is to analyze the capital market reaction to a political event. The event of visitation of the Arab King to Indonesia on Maret 1st-9th 2017 and visitation of the President of South Korea to Indonesia on November 9th 2017 on the members of stock index LQ45. The sampling method used in this study was purposive sampling with a total sample of 30. The data analysis technique used was Paired Sample Test with the event period of 11 days. The results of the analysis show the following: 1) Not difference in average abnormal return before and after visitation of the Arab King to Indonesia. 2) There are difference in average trading volume activity before and after visit of the Arab King in Indonesia. 3) Not difference in average abnormal return and average trading volume activity before and after visitation of the President of South Korea to Indonesia. 4) The visitation of the Arab King to Indonesia has increased compared to the visitation of the President of South Korea to Indonesia. Keywords: event study; abnormal return; trading volume activity

Investor Reactions on Emitents Who Published Corporate Sukuk Listed in Indonesia Stock Exchange

This study applied an event study approach (event study). The event tested the announcement of Sukuk emissions and market reactions as indicated by the existence of a significant Abnormal Return on the date of Sukuk emissions and it changed within the activity of Stock Trader of the Corporation Sukuk Issuer. Observation period between 2009-2018, there was 129 Sukuk emissions in Indonesia Stock Exchange. The number of samples taken was 26 emissions of Sukuk which make emissions from 12 issuers that met the set criteria. Data were analyzed using descriptive statistical analysis, independent t-test, t-paired test, and regression analysis. Furthermore, the data were processed using IBM SPSS for Windows Software. The results showed that there was a difference in Average Abnormal Return (AAR) before and after the announcement of Sukuk emissions. However, the average value of the difference was not statistically significant. There was a positive market reaction on Average Abnormal Return (AAR) before the announcement of Sukuk emissions. There was a positive market reaction on Average Abnormal Return (AAR) after the announcement of Sukuk emissions. There were differences in the Average Trading Volume Activity (ATVA) before and after the announcement of Sukuk emissions. However, the average value of the difference was not statistically significant. There was a significant market reaction on Average Trading Volume Activity (ATVA) before the announcement of Sukuk emissions. There was a significant market reaction of Average Trading Volume Activity (ATVA) after the announcement of Sukuk emissions. Furthermore, this study also found that Sukuk to Equity Ratio (SER) had a positive effect, but not significantly on the level of Return on Assets (ROA), Return on Equity (ROE), and Earning per Share (EPS), but it was not significant. These insignificant effects of SER on the issuer's ROA, ROE and EPS were caused by the relatively small proportion of Sukuk value compared to the value of assets and company equity.

ANALISIS PERBEDAAAN AVERAGE ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SEBELUM DAN SESUDAH PERISTIWA DIVIDEN TUNAI PADA PERUSAHAAN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX (JII) PERIODE 2014 – 2017

This study aims to find out and explain the market reaction caused by the corporate action announcement in the form of dividend cash made by issuers registered in the Jakarta Islamic Index for the period of 2014 to 2017. The object of research is issuers who carry out activities on the announcement of Cash Devidend in the period of observation that are registered in the Jakarta Islamist Index which has been determined based on certain criteria (purposive sampling). There are 17 issuers with a total of 91 being the research sample. The observation period consists of 60 days estimated period, 10 days before the cume date and 10 days after the cume date. The focus of the research is to see the reaction shown by changes in Average Abnormal Return and Trading Volume Activity by using paired sample t-test for trading volume activity variables and Wilcoxon sign-rank test for abnormal return variables. Processing data using Stata ver statistical tools 14 by setting a significant level of 5%. The results showed that there were significant differences in Average Abnormal Return before and after the announcement and there were no differences in the Trading Volume Activity before and after the announcement.Keywords: event study, cash deviden, Average Abnormal Return, Trading Volume Activity

Study of Comparison of Stock Performance Before And After Doing Split Stock In Go Public Companies That Are Listing on The Idx Period 2013 – 2015

This study aims to determine the difference in abnormal return, trading volume activity, and security return variability before and after the stock split announcement on companies listed on the Indonesia Stock Exchange for the period 2013 - 2015. Testing the information content will be done by looking at differences in average abnormal return, average security return variability and average trading volume activity five days before and five days after the announcement of the stock split. The data analysis method that will be used is descriptive statistical analysis and different tests before and after the stock split announcement using the Wilcoxon signed rank test. The results of this study indicate that there are significant abnormal return differences before and after the stock split announcement, there is no significant difference in trading volume activity before and after the stock split announcement, and there is no significant difference in security return variability before and after the stock split announcement.

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

Analisis Reaksi Pasar Atas Peristiwa Pilkada Serentak Tahun 2018

This study aims to determine market reaction in the event of simultaneous regional elections in 2018. This research is an event study with a period of observation for 7 days. The study was conducted on companies classified as LQ45 from February to July 2018. The population in this study was 45 companies. The method of determining the sample used is a non probability sampling method with a purposive sampling technique. The sample obtained was 37 companies. The market reaction to the 2018 simultaneous regional elections was measured using abnormal return and trading volume activity. The data analysis technique used is paired-sample t-test. The test results show that there is no difference in average abnormal return and trading volume activity before and after the events of simultaneous regional elections. This shows that simultaneous regional elections in 2018 did not cause market reaction because there was no information content on the event.
 Keywords: Event study, abnormal return, politics

ANALISIS PENGARUH PENGUMUMAN RIGHT ISSUE TERHADAP ABNORMAL RETURN DAN VOLUME PERDAGANGAN SAHAM DI BURSA EFEK INDONESIA PERIODE TAHUN 2009 – KUARTAL 3 TAHUN 2012

The availability of the information on capital market transactions will affect decisions of investors who will also determine the price of the stock market. This study was conducted to examine the effect of the announcement of the rights issue on stock prices and trading volume. Sample for this study was 63 companies who do right issue on the Stock Exchange during 2009 - 3rd quarter of 2012. The data collected consisted of daily return actual data, the IHSG daily data as market returns, and daily stock trading volume from each sample company. The result of the analysis showed that there were no significant differences in average abnormal return, but there are significant differences in the average stock trading volume. So, it can be concluded that the announcement of the rights issue contains information for investors, but did not contain information to make an investment decision.

Reaksi Pasar Sebelum dan Sesudah Kenaikan Harga BBM pada Perusahaan yang Listing di Bursa Efek Indonesia (BEI)

Fuel price increase that happened on June 2013 for gasoline and diesel fuel. Fuel price increase policy should taken by goverment in order to decrease hyper subsidy that effected to deficit budget. This research’s aim is to dict the differences market reaction between before and after fuel price increase with measure abnormal return and trading volume activity. Analysis method that use in this research is event study with event period during 21 days by using market adjusted model. The result of this reseacrh with one sample t test are the average abnormal return is significantly positive values around the date of announcement of fuel price increases. The result of this reseacrh with paired sample t-test there are differences in average abnormal return and average trading volume activity significantly before and after the announcement of fuel price increases. It shows that the market reacts to the announcement of fuel price increases.

Pengaruh Peristiwa Politik (Pemilu Presiden dan Pengumuman Susunan Kabinet) Terhadap Saham Sektor Industri Di Bursa Efek Indonesia

<p>ABSTRACT</p><p><br />Political events is one of the non-economic risks that may affect the investor's decision to invest in the capital market. The purpose of this article to determine the reaction and the difference of abnormal return of stock industry sector in Indonesia Stock Exchange (IDX) between before and after the political events (the presidential elections and the announcement of the cabinet line). Selection of industrial sector companies as research objects based on the premise that the industrial sector is the main sector driving stock trading in the IDX. This article using event study method to measure the market's reaction to events of national politics. In conducting this article used the data Composite Stock Price Index (JCI) as well as daily stock trading data on the industrial sector. Based on the results of the sample selection using purposive sampling, the sample in the study of 40 companies. The results can be concluded that there are abnormal returns around the national political events, but there are no differences in Average Abnormal Return (AAR) before and after the political events. This shows the predictions and information received by the stock market participants are relatively the same.</p><p>Keywords: Political Events, Presidential Elections, Stock Market, Abnormal Return, Event Study</p>

REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA BENCANA ALAM TSUNAMI DI ACEH TANGGAL 26 DESEMBER 2004

As one of an instrument of economy, capital market can not be separated from influence that amend in its environment, either occur in macro economic, micro economic or non-economic environment. This research is one of the event study which examined in how the reaction of Indonesian capital market toward event that occur in an non-economic environment which is tsunami natural disaster in Aceh, December 26th, 2004.The purpose of this research is to examine stock prices reaction and trading volume activities in Jakarta Stock Exchange (JSX) toward tsunami natural disaster event in Aceh, also to examine whether there are any differences in average abnormal return and average trading volume activity before and after tsunami natural disaster event in Aceh. The samples are generated from stocks that have the biggest market capitalization in JSX which are often listed in LQ45 in period August, 2003 until January, 2008.The result of test using SPSS with 95% confidence level shows that JSX was not responded toward tsunami natural disaster event in Aceh. This is shown by no abnormal return during event period, no difference of average abnormal return before and after event, and no difference of average trading volume activity before and after tsunami natural disaster event in Aceh.

ANALISIS PERBEDAAN ABNORMAL RETURN DAN VOLUMEPERDAGANGAN SAHAM SEBELUM DAN SESUDAH PILPRES 9 JULI 2014 (STUDI KASUS PERUSAHAAN MILIK BAKRIE GROUP DAN MNC GROUP)

The purpose of this study to analyze the differences abnormal return and trading volume activity before and after pilpres 9 July 2014, at the company Bakrie Group and MNC Group. The results show: (1) There are no differences in average abnormal return before and after pilpres 9 Juli
 2014 on the company Bakrie Group and MNC Group.The absence of a difference is becausereaction IDX to the pilpres 9 July 2014 is instantaneous and not prolonged. (2) There are no differences inaveragetrading volume activitybefore and after pilpres 9 Juli 2014 on the company Bakrie Group, but there are differences in average trading volume activitybefore and after pilpres 9 July 2014 on the companyMNC Group. The discrepancies in the company MNC Group is because investors MNC Group took profit rollicking tacking. While no differences in the company Bakrie Group is because investors Bakrie Group are not bothered by pilpres 9 July 2014. (3) The Company is more affected by pilpres 9 July 2014 is a company owned by MNC Group.
 
 Keywords: Abnormal Return,TradingVolumeActivity, Pilpres 9 July 2014.