Difference In Abnormal Returns Research Articles

Analisis Reaksi Pasar Modal Sebelum Dan Sesudah Pengumuman Tarif Cukai

The capital market part of economic activity that is susceptible to being influenced by events. The aim of this research was to analyze the influence of the announcement of excise rates in 2020-2022 on the capital market reaction. The capital market reaction is measured the Abnormal Return and Trading Volume Activity. The research sample is 4 cigarette companies listed on the Indonesian Stock Exchange. This research method is event study. The event window of 5 days before and after the event. The test results show that there is a significant difference in abnormal returns in 2020 and 2022 before and after the announcement of the cigarette excise rate increase. However, there is no difference in abnormal returns in 2021 and trading volume activity in 2020, 2021 and 2022 before and after the announcement of the cigarette excise rate increase.

Abnormal Returns around the Announcement of Covid-19 Cases on Stock Prices in Indonesia

The purpose of this study is to find out whether there is a difference in abnormal returns on the day around the first announcement of the COVID-19 case and to find out whether there is a difference in abnormal returns after and before the first announcement of the COVID-19 case in Indonesia in pharmaceutical industry stocks listed on the Indonesia Stock Exchange. The population in this study are pharmaceutical companies listed on the Indonesian Stock Exchange. While the sampling technique was purposive sampling. The data analysis technique used in this study was a one-sample t-test on normally distributed data and one sample Wilcoxon signed ranked test for abnormally distributed data for days around the announcement of Covid 19. The results of this study show whether there is no difference in abnormal returns around the announcement of Covid -19. And also there is no difference in abnormal returns 5 days before and after the announcement of Covid 19.

Reaksi Pasar Modal Sebelum Dan Sesudah Munculnya Financial Technology (Fintech) Peer To Peer (P2P) Lending Pada Bank Yang Terdaftar Di Bursa Efek Indonesia

The development of innovation in the financial sector, namely fintech, fintech is an abbreviation of financial technology or financial technology. The existence of financial technology has made one of the fastest growing business sectors in the technology sector. With the development of technology and the increase in start-up companies, the development of fintech in Indonesia. Finance in Indonesia has shifted due to a format that can produce solutions and make it easier for consumers, namely the combination of economy and technology (fintech). The purpose of this study is to determine whether there are differences in trading volume activity and abnormal returns on the cooperation between banks listed on the Indonesia Stock Exchange and peer to peer P2P lending financial technology. This study uses secondary data from third-party publications with a total sample of 4 companies. The data analysis technique used is the even study data analysis, normality test and paired t-test hypothesis testing. Based on the research results, there is no significant difference in the volume of stock trading activity (trading volume activity) before and after the collaboration between peer to peer lending financial technology and banks listed on the Indonesia Stock Exchange, there is no significant difference in abnormal returns before and after the existence of cooperation between financial technology peer to peer lending to banks listed on the Indonesia Stock Exchange.

INVESTOR REACTION TO THE ANNOUNCEMENT OF FIRST COVID-19 VACCINATION IN INDONESIA

The COVID-19 pandemic has had a huge impact around the world and presents unprecedented challenges to the health sector. Vaccination programme is a solution to suppress the spread of COVID-19. The purpose was to explain the reaction of the capital market to the announcement of the first COVID-19 vaccination in Indonesia by focusing the differences in abnormal return and trading volume activity before and after the event of vaccination programme. The research method used is quantitative method by secondary data analysis with event study. The event date in this research was January 13rd, 2021 when Indonesia began its nationwide COVID-19 vaccination programme. This event study took a sample of 17 companies in healthcare sector listed on Indonesia Stock Exchange. The event period used was 14 days, 7 days before and 7 days after the announcement of the first COVID-19 vaccination in Indonesia. This research uses descriptive statistical techniques, normality test (one-sample kolmogorov-smirnov test), and paired sample t-test. The results of the paired sample t-test show that there is a significant difference between the abnormal return before and after the announcement of the first COVID-19 vaccination in Indonesia. However, there is no significant difference of trading volume before and after the announcement of the first COVID-19 vaccination in Indonesia.

REAKSI PASAR MODAL TERHADAP PERISTIWA VAKSINASI COVID-19 PERTAMA DI INDONESIA

The first COVID-19 vaccination event in Indonesia which was held on January 13, 2021 is one of an event that occurred in non-economic environment. Thelpurposeioflthis study is to examine whether there were differenceslinlabnormal returns before and after the event. This study uses the event study method on issuers that are incorporated into the LQ45 Index on the Indonesia Stock Exchange using purposive sampling technique and observed for 7 days. Expected return is estimated using the market adjusted model. Hypothesis testing was carried out using the Wilcoxon signed rank test. The results of this study prove that there is no difference in abnormal returns before and after the event. This means that there is no information content in-the-first-COVID-19 vaccination event in Indonesiaxthat could affect the market, so investors in the capital market didn’t react to the event

Analysis of abnormal returns and trading volume activity before and after the announcement of the implementation of new normal

The announcement of the New Normal implementation on June 1, 2020 is anticipated to serve as a pivotal moment poised to revitalize the previously sluggish Indonesian Capital Market during the COVID-19 Pandemic. The purpose of this study was to see whether there were differences in abnormal returns and trading volume activity between before and after the announcement of the implementation of the New Normal in Indonesia. This type of research is comparative quantitative research with an event study approach in hotel, restaurant and tourism companies. The population in this research is all company shares listed on the Indonesian capital market until 2020, totaling 711 company shares. The sample selection used purposive sampling, resulting in a research sample of 37 company shares. The observation period was carried out for 15 days, namely 7 days before, 7 days after, and 1 day of the New Normal event in Indonesia. The analysis technique uses Descriptive Statistics Test, Normality Test and Hypothesis Test. The results of the study show that there is no significant difference in abnormal returns and trading volume activity between before and after the announcement of the implementation of the New Normal in Indonesia. This proves that there is still information asymmetry between market participants regarding the announcement of the implementation of the New Normal in Indonesia which causes the market not to react to this event.

Analisis Likuiditas Saham dan Abnormal Return Sebelum dan Sesudah Stock Split Pada Perusahaan yang Terdaftar di Bursa Efek Indonesia Periode 2016-2020

This study aims to analyze the differences in stock liquidity before and after the stock split and to analyze the differences in abnormal returns before and after the stock split in companies listed on the Indonesia Stock Exchange for the 2016-2020 period. Sampling of 43 companies using purposive sampling technique. Hypothesis testing uses the Paired Sample T Test for data that is normally distributed and the Wilcoxon Rank Test for data that is not normally distributed. The results of the study concluded that there were no differences in stock liquidity before and after the stock split and there were differences in abnormal returns before and after the stock split.

Are small waves fondle and big waves overturn? Market reaction and corporate governance during four COVID-19 waves

PurposeThis study examines the effects of corporate governance on market returns during the first four waves of the COVID-19 crisis.Design/methodology/approachEvent study and linear regression methods were applied on a sample of 293 US firms.FindingsThe results show that differences in abnormal returns are more significant during the second wave of COVID-19 and the two following waves. Moreover, estimations show that good corporate governance alleviated the effect of COVID-19 during the second wave and the two following waves. However, corporate governance did not affect abnormal returns during the first wave. Furthermore, evidence highlights that the effect of corporate governance is more observed in the industries most affected by COVID-19 than in the least affected industries.Originality/valueMany studies have attempted to investigate the effect of corporate governance on stock returns during the first wave of the pandemic. However, to the authors' knowledge, this is the first study that focuses on different waves that occurred during 2020 and 2021.

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.

Reaksi Pasar Terhadap Publikasi Laporan Keuangan Perusahaan Farmasi di Masa Pandemi Covid-19

The Covid-19 pandemic generally has an impact on decreasing stock prices, but pharmaceutical stock prices have actually increased. The research aims to find out the market reaction or response as shown through the average difference in abnormal returns before and after the publication of the 2020-2021 financial reports on the IDX. The population uses all pharmaceutical industry companies on the IDX during 2020-2021. Sampling using nonprobability sampling method through purposive sampling technique. The hypothesis test was carried out using a paired sample t-test and the Wilcoxon signed rank test, in order to test the results of differences in the average abnormal returns before and after the publication of the financial statements. The results showed that there was no market reaction as seen from the absence of an average difference in abnormal returns before and after the publication of the pharmaceutical industry's financial reports on the IDX. This indicates that published financial reports do not influence investors' perceptions in making decisions.Keywords: Event studies; Abnormal return; Covid-19

THE REACTION OF INDONESIAN CAPITAL MARKET TO THE RUSSIAN INVASION ON UKRAINE (EVENT STUDY ON COMPANIES LISTED IN THE FOOD AND BEVERAGE SECTOR OF THE INDONESIA STOCK EXCHANGE)

The capital market is an important entity due to its role as an economic indicator for a country. The more important the existence of the capital market is to a country's economy, the more sensitive the market is to available information. This makes an event or incident capable of causing a market reaction, especially if the event can affect the economy and global conditions. On February 24, 2022, the Russian Federation invaded Ukraine, causing a surge in world food commodity prices, especialy wheat. The purpose of this research is to determine the Indonesian capital market's reaction to the Russian invasion of Ukraine, measured by abnormal return, trading volume activity, and market capitalization differences before and after the event. The observation period was conducted for 30 days before and after the event. This study is quantitative and uses comparative methods. The sampling method used is purposive sampling, which gives a research sample of 47 companies in the food and beverage sub-sector of the Indonesian Stock Exchange. The results of this study show that the Russian invasion of Ukraine did not contain information that caused the market to react, as evidenced by the lack of significant differences in abnormal return and market capitalization before and after the invasion. However, the Russian invasion of Ukraine contained information that caused market participants to react in stock trading, as evidenced by significant differences in the trading volume activity variable. Keywords: event study, abnormal return, trading volume activity, market capitalization

ANALISIS PERBANDINGAN ABNORMAL RETURN SAHAM SEBELUM DAN SESUDAH STOCK SPLIT

Thisstudy aims to analyze whether there is a significant abnormal return before and after the stock split and the difference in abnormal returns before and after the stock split. The analysis method used in this study is the Wilcoxon Signed Ranked Test test method. The population in this study is all companies listed on the Indonesia Stock Exchange for the 2018-2020 period. The samples used in this study were 17 companies. The Wilcoxon Signed Ranked Test on the significance of abnormal returns found that there was no abnormal significance of returns before and after stock split with significance > 0.05. The results of the Wilcoxon Signed Ranked Test on the difference in abnormal returns before and after the stock split found that there was nodifference in abnormal returns before and after the stock split with a significance result of 0.16 > 0.05.

Comparative Analysis Of Stock Liquiditi Level, Price Share And Stock Returns Before And After Stock Split On The Compass 100 Index Year 2017-2021

This study aims to examine differences in stock liquidity, stock prices and stock returns before and after a stock split. This type of research is quantitative research. The objects in this study were companies listed on the Indonesia Stock Exchange (IDX) in the Kompas 100 index category. The sampling technique in this study used purposive sampling. The number of samples is 13 companies. Data collection using documentation techniques. The results of the paired sample t-test showed that there was no difference in stock liquidity before and after the stock split with a significance value of 0.968. There is no difference in stock prices before and after the stock split with a significance value of 0.079. There is a difference in abnormal returns before and after the stock split with a significance value of 0.000.

STOCK MARKET REACTION TO WHO’S COVID-19 ANNOUNCEMENT IN ASEAN-5 REGION

The aims of this research is to analyze the stock market reaction in the ASEAN-5 region (Indonesia, Malaysia, Singapore, Philippines, and Thailand) to the announcement of the global COVID-19 pandemic by the World Health Organization (WHO). The method used is an event study with abnormal return as the independent variable. The sample in this study is the main stock index of ASEAN-5 countries. Empirical results showed that there was a significant and insignificant abnormal return on certain days around the announcement of the COVID-19 pandemic by WHO in ASEAN-5. Subsequent findings showed that there was no difference in abnormal returns before and after the global announcement of COVID-19 by WHO.

REAKSI PASAR MODAL DI INDONESIA, KOREA SELATAN, DAN AMERIKA SERIKAT TERHADAP BERITA VIRAL

This research has purpose to determine abnormal returns around the event date and market reactions in South Korea, the United States and Indonesia to news that is currently viral. Expected return is calculated using the market-adjusted model. The estimation period used in this study is 5 days before the announcement, at the time of the announcement, and 5 days after the announcement. The sample used was 57 companies in the entertainment, movies and media (EMM) sector. This research method uses a one sample t test and ANOVA. The results of the study found that there were significant differences in abnormal returns before, during, and after the release of viral news in South Korea and the United States and there were reactions in the South Korean and United States stock markets to viral news. While in Indonesia there are no significant differences in abnormal returns before, during, and after the release of viral news and there is no market reaction to viral news.

Perbandingan Kinerja Sub Sektor Makanan-Minuman dan Farmasi pada Kasus Pertama Covid-19 di Indonesia


 
 
 
 Research aim : This study aims to prove whether the consumer goods sector is a sector that is immune to the Covid-19 pandemic, considering that investment in this sector is an investment in defensive stocks.
 Design/Methode/Approach : Apply an event study approach, this study will compare the abnormal returns on stocks in the food-beverage and pharmaceutical sub-sector before and after the first case of Covid-19 entered Indonesia.
 Research Finding : This study showed a significant differences in positive abnormal returns before and after the first case of Covid-19 in the stocks of the food-beverage sub-sector. However, it is different from the pharmaceutical sub-sector. It has a positive abnormal return difference before and after the first case of Covid-19, but it is not significant statistically.
 Theoretical contribution/Originality : In addition to being influenced by internal factors, stock performance is also influenced by external factors and even external factors outside the market, such as the Covid-19 Pandemic. The Covid-19 Pandemic has impacted a country's economy due to anticipatory policies undertaken to reduce the spread of the virus, including work-from-home and social distancing.
 Practitionel/Policy implication : Investments in the Consumer Goods sector, in this case, the food-beverage and pharmaceutical sub-sector during the Covid-19 Pandemic, need to be included in the stock portfolio because its performance is stable and tends to increase. Investment in Consumer Goods sector stocks is essential as a defensive stock to stabilize the stock portfolio's performance. Especially during the Covid-19 period, the primary basic human needs are still needed, especially health and the need for PPE (Personal Protective Equipment), vaccines, and medicines the Pandemic.
 Research limitation : The event window is too short, namely, only five days before the event day and five days after the event. It is recommended that the number of days the event window can be extended so that the abnormal return reaction to the event of the first case of Covid-19 can be better analyzed. 
 
 
 
 

ANALISIS ABNORMAL RETURN SEBELUM DAN SESUDAH MELAKUKAN CORPORATE ACTION STOCK SPLIT MAUPUN RIGHTS ISSUE (Studi pada Perusahaan yang Terdaftar di Bursa Efek Indonesia)

This study aims to determine whether there are differences in abnormal returns before and after the rights issue or stock split. Sampling was carried out using purposive sampling technique and obtained as many as 33 companies for rights issue events and 55 companies for stock split events. The observation period was carried out 5 days before and 5 days after the event. The analysis technique used was the Wilcoxon Signed Ranks Test using IBM Statistics SPSS 26 with a significance level of 5%. The results showed that there are no difference in abnormal returns before and after the rights issue and there are differences in abnormal returns before and after the stock split. This show that stock split does not have information content or it has but the market not to reacted to the announcement.

Comparison Analysis of Abnormal Return, Cumulative Abnormal Return, Trading Volume Activity, and Bid-Ask Spread of Shares: Event Study of Announcement of COVID-19 Virus, Delta Variant, and Omicron Variant

The spread of the COVID-19 virus has caused panic and affected the economy, including the Indonesia’s capital market. This study aims to analyze the reaction of the Indonesian capital market and its implications for efficient market theory at 3 events, namely the announcement of COVID-19, the Delta variant, and the Omicron variant by the Indonesian Government. This capital market reaction is seen through abnormal returns, cumulative abnormal returns, trading volume activity, and bid-ask spreads in the 5 days before and after the announcement. The study population was all tourism and healthcare sector companies listed on the IDX, with a total sample of 15 companies from the healthcare sector and 13 companies from the tourism sector. The results showed no significant differences in abnormal returns, cumulative abnormal returns, trading volume activity, and bid-ask spreads in the tourism sector at all three events. For the healthcare sector, there were significant differences in abnormal returns and cumulative abnormal returns in the announcement of COVID-19 and the Omicron variant but not in the announcement of the Delta variant. Furthermore, there was no significant difference in trading volume activity and bid-ask spread on all events. Indonesia's capital market shows a semi-strong form of efficient market.

Reaksi Pasar atas Pengumuman Stock Split Sebelum dan Selama Pandemi COVID-19

The study aims to examine differences in abnormal returns and stock trading volumes before and after stock split announcements in the period before and during the COVID-19 pandemic. The number of samples in this study were 47 companies selected by purposive sampling techniques. Data collection uses nonpartisan observation methods by accessing www.idx.co.id and yahoofinance.com sites. The data was analyzed using the Wilcoxon Signed Rank Test. The results showed that there was no difference abnormal return before and after the stock split announcement in the period before the COVID-19 pandemic, there was no difference in abnormal return before and after the stock split announcement during the COVID-19 pandemic, there was a difference in stock trading volume before and after the stock split announcement in the period before the COVID-19 pandemic, there was a difference in stock trading volume before and after the stock split during the COVID-19 pandemic.
 Keywords: Stock Split; Abnormal Return; TVA; COVID-19 Pandemic

Reaksi Pasar atas Pengumuman Suku Bunga the Fed pada Sektor Perbankan yang Terdaftar di Indonesia

This study aims to find out and test the market reaction around the announcement date indicated by abnormal returns around the date, to find out and test the market reaction around the announcement date indicated by trading volume activity around the date, and to find out and test the differences in the sample t-test. This research involved 46 banks listed on the Indonesia Stock Exchange. The method of determining the sample used in this study is by using a saturated sample where all members of the population are sampled. This study uses secondary data from the financial statements of banking companies listed on the IDX. Testing the data using the average difference test method. The results of the study show that there is no significant difference in abnormal returns before and after the announcement of the increase in the FED interest rate by the FOMC in the banking sector in Indonesia. Tests on trading volume activity show that there are significant differences in transaction volume before and after the announcement of the increase in the FED interest rate by the FOMC in the banking sector in Indonesia.
 Keywords: Fed Fund Rate; Abnormal Return; Total Volume Activity