Trading Volume Activity Research Articles

Effects of corporate actions on market dynamics during the COVID-19 pandemic: An event study on the Indonesia Stock Exchange

The COVID-19 pandemic has precipitated unprecedented uncertainty within the stock market, eliciting adverse reactions within the capital market. This environment compelled companies to engage in corporate actions. This research aimed to develop a model assessing the impact of corporate actions during the COVID-19 pandemic on the Indonesia Stock Exchange. This study employed an event study methodology to analyze corporate actions from March 1 to March 30, 2021, identifying four key actions: Stock Splits, Pre-emptive Rights (Rights Issues), Partial Delisting, and Warrants. These corporate actions influenced various metrics, including the frequency of stock returns, actual returns, stock returns, and trading volume activity. The outcomes of these actions varied, presenting differences before and after their execution. The study's findings categorize the impact of corporate actions during the pandemic into two distinct groups: insignificant and significantly negative. This research contributes to understanding the ramifications of corporate decisions during periods of heightened market volatility, specifically within the context of the Indonesia Stock Exchange during the COVID-19 pandemic.

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

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

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

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

ASEAN GO PUBLIC COMPANIES’ STOCK SPLIT: CUMULATIVE ABNORMAL RETURN AND CUMULATIVE TRADING VOLUME ACTIVITY

The current study compares the differences between Cumulative Abnormal Returns (CAR) and Cumulative Trading Volume Activity (CTVA) for publicly traded companies that execute stock splits in the year 2021 on the ASEAN Stock Exchange. According to estimates and timelines, businesses listed on the ASEAN Stock Exchange in 2021 are not permitted to take additional corporate action. There are 47 companies using the sampling exchange in the countries of Indonesia, Malaysia, Philippines, Vietnam, Thailand, and Singapore. The data analysis methodology used by researchers is a different test through the Wilcoxon Rank Test. The first result from this study is that there is a difference in CAR before and after a stock split that is significant. In contrast, for the second result, there is no significant difference in the CTVA for the prior and subsequent stock split. Before the stock split happened, researchers discovered a bigger discrepancy in CAR. This shows that the market responded from time t-31 to time t-1. Due to a number of reasons, including the global influence of dominant data and patterns in investor behavior, there was no discernible difference in the CTVA.

Reaksi Pasar Modal Indonesia Terhadap Rencana Investasi Antara Pemerintah Indonesia dengan Pendiri Tesla dan Space X

The high or low return received from an investment will be proportional to the risk borne. Investors can reduce this risk by analyzing the factors that cause risk from information that makes the capital market react. This research aims to determine the reaction of the Indonesian capital market to investment plans between the Indonesian government and the founders of Tesla and SpaceX by calculating abnormal returns and trading volume activity of metal and mineral industrial companies listed on the Indonesian Stock Exchange. This research uses the event study method. The observation period was carried out for 7 working days. The sampling method used was non-probability sampling with purposive sampling technique. The research results show that there are no significant abnormal returns on investment plan announcements, but the test results on trading volume activity show significant results.
 Keywords: Event Study; Abnormal Return; Trading Volume Activity

Pengaruh Free Cash Flow dan Trading Volume Activity terhadap Return Saham pada Perusahaan Farmasi:

The research aims to see how trading volume activity and free cash flow have an impact on stock returns for pharmaceutical companies (Indonesia Stock Exchange Period 2018–2022). This research utilizes a quantitative approach that uses a descriptive and verification approach. The research samples were eight pharmaceutical companies listed on the Indonesia Stock Exchange from 2018 to 2022. A total of 40 data were collected using a purposive sampling technique for 5 years of observation. Descriptive and verification analyzes were performed, including classical assumptions (normality, heteroscedasticity, autocorrelation and multicollinearity), multiple linear regression analysis, t-test and f-test. Data processing was carried out using SPSS 26. The results of testing the data showed that free cash flow and trading volume activity partially affected stock returns. then simultaneously stock returns are influenced by free cash flow and trading volume activity.
 Keywords: Free Cash Flow, Trading Volume Activity, Stock Returns.

THE IMPACT OF COVID-19, TRADING VOLUME ACTIVITY AND MARKET CAPITALIZATION ON STOCK RETURN OF LQ-45 COMPANIES

The objective of this research is to analyze the impact of daily growth of Covid-19 positive case, Trading Volume Activity (TVA), and market capitalization on LQ-45 companies’ stock return in IDX on the year 2020. This research uses multiple regression models on sample size of 41 companies using non-probability sampling method. This research’s analysis approach is as follow: statistical descriptive analysis, t-test, F-test and Coefficient of Determination test. Data processing in this research is done by Microsoft Excel and Eviews 12. This study uses Signalling Theory, Black Swan Theory and Efficient Market Hypothesis Theory as grand theories to explain the relationship between variables used in this study and resulted that the daily growth of Covid-19 positive case and TVA partially have a positive effect on stock return, while market capitalization has a negative effect on stock return. This research is designed to be beneficial for investors as a basis for making investment decisions, as well as assisting company management regarding the management of company performance to increase stock prices.

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

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

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.

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

The Effect Of Retained Earnings On Trading Volume Activity (TVA) With Return On Assets As A Moderation Variable

Trading Volume Activity (TVA) indicates the amount of stock trading volume in a company's stock market. Companies with good stock volume and financial performance can increase stock trading volume. The research aims to empirically examine the effect of retained earnings on Trading Volume Activity (TVA) with Return On Assets (ROA) as a moderating variable. The study uses data from the 2018-2020 financial statements of companies in the consumption and construction services sector listed on IDX and analyzed using moderation regression analysis. The results show that the variable retained earnings is simultaneously significant to Trading Volume Activity (TVA) with Return On Assets (ROA) as a moderating variable. Partially retained earnings can significantly influence Trading Volume Activity (TVA), while ROA can moderate the retained earnings variable on Trading Volume Activity (TVA). The research contributes that companies can increase the amount of retained earnings and increase ROA so that trading volume can be increased. The more companies trade, the value-added received will increase

ANALISIS REAKSI PASAR TERHADAP PENGUMUMAN MERGER DAN AKUISISI PADA INDUSTRI PERBANKAN DI BURSA EFEK INDONESIA

Merger and acquisition activities are corporate action activities that often occur in Indonesia, especially in the banking sector. Merger and acquisition activities abnormal return of shares and trading volume activities (TVA). In this case the merger activity and gives a signal to investors to invest. This study aims to examine the capital market against banking industry companies that carry out mergers and acquisitions on the Indonesia Stock Exchange as seen through abnormal stock returns and TVA. There are 14 companies conducting mergers and acquisitions from 2001 to 2021 on the Indonesia Stock Exchange (IDX). The method that used by this event study with non-probability sampling method, namely purposive sampling technique. The data analysis technique used was the Wilcoxon signed rank test. The results showed that there were no significant market differences before and before the announcement of mergers and acquisitions. Another thing found is the announcement of mergers and acquisitions significant differences in TVA before and before mergers and acquisitions.

Impact of dividend policy on stock prices

This study aims to test and analyze the research model by using dividend policy as an intervening variable on the effect of firm value and capital structure on firm value. Other variables influencing the stock price are investment opportunity set, trading volume activity, and profitability. The objects of this research are companies included in the LQ45 index on the Indonesia Stock Exchange during the period 2012 - 2021. The analytical tool we use is path analysis to test the effect of exogenous variables on endogenous variables, including testing direct and indirect effects. The results of testing 177 samples over a period of 10 years resulted in the finding that the dividend policy with the DPR (Dividend Payout Ratio) indicator was unable to mediate funding policy and firm value in increasing stock prices. Another study found that factors that increase SP (stock prices) in a positive and significant direction of influence are ROE (Return On Equity), and DPR (Dividend Payout Ratio), while other variables such as PER (Price Earning Ratio) and DER (Debt to Equity Ratio) do not significantly increase SP (Stock Prices) despite the positive direction of influence. While the factors that can reduce SP (Stock Prices) in our study are DAR (Debt to Assets Ratio) and TVA (Trading Volume Activity), and other factors that do not significantly reduce SP (Stock Prices) even though the direction of influence is negative are PBV (Price to Book Value) and ROA (Return on Assets).

Examining Dividend-Related Abnormal Returns and Trading Volume in IDX Manufacturing 2016-2020

This study aims to analyze the market reaction to ex-date dividends within a specific research period. The research period consists of 5 days before the dividend ex-date, 1 day for estimation, and 5 days after the dividend ex-date. A descriptive method was employed for sample selection, focusing on 6 companies in the manufacturing sector over 5 periods from 2016 to 2020. Secondary data was utilized for analysis. The paired sample test for abnormal returns, suitable for normally distributed data, was used to assess the impact of ex-date dividends. Additionally, the Wilcoxon signed rank test was applied to trading volume activity due to its non-uniform distribution. The results indicate a significant difference between trading volume activity before and after the ex-date dividend. The implications of these findings provide insights into the market reaction to ex-date dividends in the manufacturing sector, contributing to a better understanding of dividend-related phenomena in financial markets.
 Highlights:
 
 Market reaction to ex-date dividends in the manufacturing sector.
 Analysis of abnormal returns and trading volume activity.
 Significant difference before and after ex-date dividends.
 
 Keywords: Ex-date dividends, market reaction, manufacturing sector, abnormal returns, trading volume activity.

STUDY OF THE COVID-19 PANDEMIC ON RETURNS AND TRADING VOLUME ACTIVITIES OF STOCKS IN INDEX LQ45 INDONESIA STOCK EXCHANGE

The purpose of the study is to identify and analyze abnormal returns and trading volume activity at the announcement of the Covid-19 pandemic by President Joko Widodo on March 13, 2020. In this study, the authors try to exposed the impact of the Covid-19 pandemic on the return and volume of trading activities which listed on the LQ45 index of the Indonesia Stock Exchange. The test results reveal that the announcement of the Covid-19 pandemic has a significant impact on abnormal returns and trading volume activity throughout the window period. These findings are in line with research conducted by He et al (2020), Xiong et al (2020) and Ashraf (2020) which revealed that the Covid-19 pandemic largely had a negative impact on stock prices listed on the stock exchange in their each studies. respectively. Thus, this event study of the Covid-19 pandemic confirms research in various capital markets that the information content has a major impact on decreasing returns and volume of trading activity in various capital markets in the world.

CAPITAL MARKET REACTIONS TO THE ANNOUNCEMENT OF PPKM IMPLEMENTATION (EMPIRICAL STUDY at COMPANY in LQ45 INDEX)

This study aims to measure how the Indonesian capital market reacts to the announcement of the implementation of the 11 July 2021 Community Activity Restrictions. This research uses an event study as an approach. The population in this study was LQ45 for the period June - July 2020. The sampling technique used purposive sampling with 45 companies as the selected sample. This study uses the variable average abnormal return as a variable and trading volume activity.
 
 Wilcoxon signed rank is used as a test tool with the results of this study showing that there is no significant difference in the average abnormal return before and after the announcement of PPKM because it has test results with a value of 0.148> 0.05. In addition, this study shows that there is no significant difference in trading volume activity before and after the announcement of the PPKM. This is shown from the results of the Wilcoxon signed rank significance test which has a value of 0.743 > 0.05.
 
 The implications of research can provide information and benefits to decision makers regarding the impact of the information content of an event on stock prices. For investors it can be used as a signal in their taking action on the capital market

MARKET REACTIONS TO DIVIDENDS ANNOUNCEMENT: AN EVENT STUDY OF BRIS AND BTPS

Introduction: A dividend announcement is an information disclosed by a public company regarding the distribution of its corporate profits, whether in the form of dividends or retained earnings to strengthen the company in funding future investments. Dividend announcements might have either a positive or negative effect on the market. Methods: This quantitative research uses the event study method in the data collection period of 20 days, ten days before and ten days after the ex-dividend date. The analysis used is a descriptive statistical test, Shapiro-Wilk normality test, and hypothesis test. Results: The study results indicate that the market reaction is a change in the share price of PT. Bank Syariah Indonesia Tbk (BRIS), there is no significant difference between before and after the ex-dividend date but at PT. National Sharia Pension Savings Bank Tbk (BTPS) changes stock prices before and after the ex-dividend date, and there is a significant difference. Furthermore, for abnormal returns at PT. Bank Syariah Indonesia Tbk (BRIS) and PT. National Sharia Pension Savings Bank Tbk (BTPS) before and after the ex-dividend date, there is no significant difference, as well as the trading volume activity of PT. Bank Syariah Indonesia Tbk (BRIS) and PT. National Sharia Pension Savings Bank Tbk (BTPS) before and after the ex-dividend date, there is no significant difference. Conclusion and suggestion: This is because the dividend policy is not a factor of investor interest in investing in the company but is determined through the earning power of the company's assets

DETERMINANTS OF COMPANY STOCK SPLIT DECISIONS (STUDY ON GO PUBLIC COMPANIES LISTED ON THE BEI)

This study aims to determine the effect of the high level of stock prices, company financial performance, and stock trading liquidity on stock split decisions in companies listed on the Indonesia Stock Exchange. It uses a quantitative approach. The research population includes all companies listed on the Indonesia Stock Exchange in the 2014-2016 period. The sample was determined by purposive sampling technique and 40 companies were obtained. The analytical method used in this study is logistic regression analysis.Based on research results, it can be concluded that the level of overpriced stock prices by proxy Price Earning Ratio (PER) has a significant positive effect on the company's stock split decision. The level of expensive stock prices proxied by Price Book Value (PBV) has a significant positive effect on the company's stock split decision. The company's financial performance by proxy Earnings Per Share (EPS) has a significant positive influence on the company's stock split decision. The company's financial performance proxied by Return on Assets (ROA) has a significant negative effect on the company's stock split decision. Stock trading liquidity proxied by Trading Volume Activity (TVA) has a significant negative effect on the company's stock split decision. The Nagelkerke R Square value in this study is 0. 702 which means the ability of the variable level of expensive stock prices, the company's financial performance, and stock trading liquidity explains the company's decision variable to do a stock split of 70.2%. The remaining 29.8% of the dependent variable is explained by other factors outside the model.

Analisis Trading Volume Activity dan Abnormal Return Sebelum dan Sesudah Stock Split pada Perusahaan yang Listing di BEI Tahun 2019-2022


 
 This study was conducted with the aim of seeing the difference in trading volume activity (TVA) and abnormal stock returns before and after the stock split on issuers listed on the Indonesia Stock Exchange for the 2019-2022 period. This research uses a quantitative approach, with the type of research being an event study. The event study analysis period was carried out with an observation period of 5 days before the stock split, 1 day after the stock split, and 5 days after the stock split, so that the number of research periods was 11 days. The population in this study was 380, while the sample used was 34 issuers. The sampling method used is purposive sampling. This study used a secondary type of data source, where the entire data was obtained from the official website or website of the Indonesia Stock Exchange (IDX). The variables used are independent variables in the form of stock splits, as well as dependent variables in the form of TVA and abnormal returns. Meanwhile, the data collection techniques used in this study are literature studies and documentation studies. The test results for the TVA variable using the Wilcoxon signed-rank test showed that there was a difference in TVA before and after the stock split action by the issuer. Meanwhile, testing for abnormal return variables using paired sample t-tests, shows the results that there is a difference in abnormal stock returns both before and after the stock split action by issuers.
 Keywords: Trading Volume Activity, Abnormal Return, Stock Split

Reaction of the Indonesian capital market to the conflict between Russia and Ukraine: Event study approach to abnormal returns and trading volume activity of coal issuers' shares on the IDX

The peak of tensions between Russia and Ukraine occurred on 24 February 2022, the day the first attacks were carried out. This event caused turmoil on global financial markets, especially the G20 countries including Indonesia. Commodity sectors such as coal on the IDX gained sentiment from the outbreak of this event. This research uses an event study approach and will focus on the reaction of the Indonesian capital market in the coal sub-sector when the military conflict between Russia and Ukraine broke out. Market reaction in this study will be measured by abnormal returns and trading volume activity. This study used 29 samples from coal issuers. Data obtained from the IDX.CO.ID website. This study found that abnormal returns and trading volume activity in the coal sub-sector experienced significant differences between before and after the conflict occurred.