scholarly journals Reação do Mercado à Deliberação de Planos de Opção de Compra de Ações: Um Estudo de Eventos para as Empresas Negociadas na Bovespa

2009 ◽  
Vol 7 (2) ◽  
pp. 163
Author(s):  
Aline Barreto Dos Santos ◽  
Fernanda Finotti Cordeiro Perobelli
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Indirect Costs ◽  
Stock Option ◽  
Sign Test ◽  
Survey Period ◽  
Market Reactions ◽  
Governance Environment ◽  
Wilcoxon Rank Sum Test ◽  
Objective Event

This paper aims to verify market reactions to Employee Stock Options Plans (ESOP) proposals and awards in the Brazilian Stock Exchange from July 1994 to March 2007. In order to achieve such objective, event studies methodology was applied and the original sample (comprised by all companies that adopted ESOP during the survey period) was divided according to employees’ eligibility to ESOP and CEOs bargain power. Using non-parametric tests (Sign Test e Wilcoxon Rank Sum Test), we could verify that announcements of ESOP proposals and ESOP awards were not related to positive abnormal returns. As the opposite, returns around those announcements dates were negatives, in general. Such pattern could be explained by some theoretical consequences of ESOP plans: increase in the CEOs risky behavior, constrains in the dividend policy and CEOs opportunistic behavior by managing the timing of their voluntary disclosures around stock option awards. We also found evidences suggesting that employees´ eligibility is related to abnormal returns. When all employees are awarded, returns are even more negative. Possible explanations are indirect costs of capital pulverization and increase in the companies cost of capital due to the ESOP. Our findings suggest that an ESOP adoption in a poor governance environment can increase agency problems, instead of aligning CEOs and shareholders interests.

scholarly journals Empirical evidence of market reactions based on signaling theory in Indonesia stock exchange

2019 ◽  
Vol 16 (2) ◽  
pp. 66-77
Author(s):  
Zarah Puspitaningtyas
Keyword(s):  
Decision Making ◽  
Stock Exchange ◽  
Investment Decision ◽  
Abnormal Returns ◽  
Signaling Theory ◽  
Decision Making Process ◽  
Market Reactions ◽  
Positive Direction ◽  
Investment Decision Making ◽  
Dividend Announcements

Signaling theory assumes that it is necessary to signal investors to how they perceive company’s prospects. One of them is dividend announcements. The announcement of dividends is predicted to be a signal for investors in the investment decision making process. This study aims to determine and analyze the effect of dividend announcements, both increases and decreases in dividends, on stock returns. This study is intended to find empirical evidence about market reactions based on signaling theory in Indonesia Stock Exchange on the period 2017. The analysis of this study uses the event study method and hypothesis testing carried out using different test paired sample t-test. The results of this study prove that the market reacts to the announcement of dividends. The market reaction is indicated by the value of abnormal returns, namely abnormal returns in the positive direction when the announcement of dividend increased and abnormal returns in the negative direction when the announcement of dividend decreased. The value of abnormal returns in a positive direction reflects the company’s performance in good condition, and vice versa. This result indicates that dividend announcements are a signal and contain information relevant to investors in the investment decision making process.

scholarly journals Indonesia stock exchange: Abnormal return amid pandemic

2021 ◽  
Vol 6 (01) ◽  
pp. 15-20
Author(s):  
Gunistiyo Gunistiyo ◽  
Jaka Waskito ◽  
Yuni Utami
Keyword(s):  
Abnormal Return ◽  
Time Window ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Investment Decisions ◽  
The Other ◽  
Market Reactions ◽  
First Case ◽  
Significant Difference ◽  
Before And After

This study aims to reveal the behavior of investors on the Indonesia Stock Exchange (IDX) before and during (early) the COVID-19 pandemic. This study is an extension of references to understand market reactions in response to future crises. This study is an event study with a time window of 76 trading days before and after the first case was officially announced by the authorities in Indonesia. Taking a sample of stocks included in the Liquid Index (LQ) 45, this study measures the abnormal return and transaction volume during the pre and post-first official announced cases and test the whole data by t-test. The results of data analysis indicate that there is no difference in abnormal returns, but there is a significant difference in transaction volume. These findings indicate that, in general, the Indonesian market is quite efficient, as evident from the absence of different abnormal returns. On the other hand, the market also appears to be cautious in making investment decisions amid uncertainty.

scholarly journals Market Reaction to Dividend Announcements During Pandemic: An Event Study

2021 ◽  
pp. 097226292110662
Author(s):  
Nisha Prakash ◽  
Yogesh L
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Weak Form ◽  
Primary Objective ◽  
Market Reactions ◽  
The Difference ◽  
Stock Market Reactions

This study analyses the difference in stock market reactions to dividend announcement during the pandemic. The thirty constituent stocks of Sensex, the index of Bombay Stock Exchange (BSE), is used for analysis. This allows cross-industry comparison of the market reaction. The study examines stock market reactions covering 44 days around the dividend announcement dates. The primary objective of this study is to understand whether the price adjustment linked to the dividend announcement news during the pandemic was different from the earlier years. This empirical study employs the conventional event study methodology using abnormal returns (ARs) to examine the stock market reaction to dividend announcement. The market reaction to dividend announcement was increasingly positive during the pandemic, compared to previous years. The statistical pooled t-tests showed there was a significant relationship between the pandemic and ARs. The findings also indicate that the difference in the market reaction to dividend announcement was more prominent in services stocks than that in manufacturing. Further, the results also verify the weak-form of efficiency of Indian stock exchange.

Market reactions to corporate name changes: evidence from the Toronto Stock Exchange

2017 ◽  
Vol 13 (1) ◽  
pp. 50-69 ◽  
Author(s):  
Ernest N. Biktimirov ◽  
Farooq Durrani
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Toronto Stock Exchange ◽  
Market Reactions ◽  
Content Type ◽  
Name Change ◽  
Name Changes

Purpose The purpose of this paper is to examine stock price and trading volume reactions to name changes of the Toronto Stock Exchange listed companies. Previous studies present conflicting evidence on reactions to corporate name changes in US and other capital markets. Design/methodology/approach This study uses the event study methodology to calculate abnormal returns and trading volume around the announcement, approval, and effective dates of corporate name changes. It also contrasts abnormal returns between major and minor name changes, signaling focused and diversified strategies, accompanied with a ticker symbol change and without a ticker change, structural and pure name changes, as well as brand adoption and radical name changes. Findings Companies tend to experience a significant run-up in stock price in the period preceding the announcement of a name change. The stocks also show a significant positive abnormal return around the effective date. In addition, corporate name changes are associated with significant increases in trading volume for several days starting from the approval date. Most importantly, the type of a name change matters, as reflected in significance levels of abnormal return and trading volume reactions to various types of corporate name changes. Research limitations/implications The limitation of this study comes from the difficulty to precisely identify the date when the market learns about a possible corporate name change. Originality/value This study is the first to examine market reactions to name changes of Toronto Stock Exchange listed companies. Most importantly, whereas previous studies focus on the announcement day, this paper also considers the approval and effective days. It also contrasts responses between name changes accompanied with a new ticker and name changes without a ticker change.

scholarly journals CAPITAL MARKET REACTIONS TO THE ANNOUNCEMENT OF STOCK SPLIT (Studies on Go Public Compani that Perform A Stock Split Years 2011-2015 in The Indonesia Stock Exchange)

2018 ◽  
Vol 6 (1) ◽  
Author(s):  
Juandy Seiver Langelo
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Splits ◽  
Average Volume ◽  
Market Reactions ◽  
Signed Rank ◽  
Stock Split ◽  
Trading Volumes

The purposes of this research is to investigate the market’s  reaction events of the stock split announcement, proxied by abnormal returns and trading volumes. Hypothetical test in this research was using paired sample t test in the differences of abnormal return and wilcoxon signed rank to trading volume.Based on the results of hypothetical test, this research concluded that the market reacts negatively against the event of stock splits. The conclusion obtained from the presence of significant decrease of average volume of trade after the split event, where as the average of abnormal return decreases however not significant after the event of stock splits.

scholarly journals The market reactions to share repurchase announcements on the JSE: an event study

2016 ◽  
Vol 13 (1) ◽  
pp. 191-205 ◽  
Author(s):  
Kiran Punwasi ◽  
Pradeep Brijlal
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Share Repurchase ◽  
Announcement Effect ◽  
Market Reactions ◽  
Average Abnormal Return ◽  
Repurchase Announcements ◽  
A Share

This study examines the market reactions to share repurchase announcements made by companies listed on the Johannesburg Stock Exchange from the years 2003 to 2012. The authors use an event study methodology and the Capital Asset Pricing Model to determine if there was an announcement effect when a share repurchase announcement is made. The analyses reveal that consistent with signalling theory and the announcement effect, share repurchase announcements are associated with positive abnormal returns. The average abnormal return and cumulative average abnormal return noted was 0.46% and 3.81%, respectively, for the event period (t-20, t+20). There was an observable trend of declining share prices before the share repurchase announcement. The authors also found no significant evidence that repurchasing firms have market timing ability when executing a share repurchase announcement. From a value investor’s perspective, a share repurchase program conveys a very strong signal of a healthy company

scholarly journals Analisis Reaksi Pasar Atas Pengumuman Peringkat Kinerja Perusahaan Dalam Pengelolaan Lingkungan Hidup

2019 ◽  
Vol 29 (3) ◽  
pp. 1152
Author(s):  
Komang Winda Trinadewi ◽  
Gerianta Wirawan Yasa
Keyword(s):  
Event Study ◽  
Environmental Performance ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
T Test ◽  
Test Results ◽  
Market Reactions ◽  
Analysis Technique ◽  
The One

This study aims to determine the market reaction to the PROPER announcement event and whether there are differences in market reactions between good ratings and poor PROPER ratings. This research is an event study with a window of events for 5 days. The study was conducted on PROPER participating companies listed on the Indonesia Stock Exchange from 2015 to 2017. The number of samples that met the criteria were 39 companies. PROPER announcements are measured using abnormal returns. The analysis technique used is the one sample t-test and the independent t-test. The test results show that the PROPER announcement was reacted negatively by the capital market, and there was no difference in market reaction between good ratings and bad ratings. Keywords : Event Study; Abnormal Return; Environmental Performance; PROPER.

scholarly journals DAMPAK UNDANG-UNDANG REPUBLIK INDONESIA NO.11 TAHUN 2016 TENTANG PENGAMPUNAN PAJAK TERHADAP KONDISI BURSA EFEK INDONESIA

2018 ◽  
pp. 217
Author(s):  
Magna Mayputra Sumadi ◽  
Luh Putu Wiagustini
Keyword(s):  
Abnormal Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
Market Reactions ◽  
Tax Amnesty ◽  
Average Abnormal Return ◽  
Before And After ◽  
The Difference

This study aims to analyze the difference of the mean significance of abnormal return before and after the event and to test the market reaction due to the tax amnesty event. This research uses a sample of 34 stocks of LQ45 in Indonesia Stock Exchange by using purposive sampling sampling method. This research is done by method of event study study with Market Adjusted Model. The period of the event examined for each event is 15 trading days, ie seven days before the event, one day at the time of the event and seven days after the event. The statistical tests were performed to compare average abnormal returns before and after events and to see market reactions around the event. The result of the research shows that there is no difference of average abnormal return before and after the event of tax amnesty policy, the end of the tax amnesty period I, the end of the tax amnesty period II and the end of the tax amnesty period III. There is no market reaction around the event of the tax amnesty policy, but there is market reaction in the event of the end of the tax amnesty period I, the event of the end of the second amnesty tax period and the end of the tax amnesty period III. The end of the tax amnesty period I, II and III contain information.

scholarly journals ANALISIS REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA PELEDAKAN BOM BUNUH DIRI DI SURABAYA (Studi Kasus pada Perusahaan LQ 45 yang Terdaftar Di Bursa Efek Indonesia)

2019 ◽  
Vol 5 (2) ◽  
Author(s):  
Jumriaty Jusman
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Suicide Bombing ◽  
Market Reactions ◽  
Suicide Bombers ◽  
Significant Difference ◽  
Before And After ◽  
Adjusted Model

Abstract: This research is conducted on the basis of observations of events that occur in the country that can prevent security stability. One of the effects of these events is a market reaction. The purpose of this study was to determine whether the capital market reacted to the suicide bombings that occurred in Surabaya, by observing the Abnormal Return behavior obtained by investors and the difference in Avarage Abnormal Return on the Indonesia Stock Exchange (BEI) before and after the bombing. This research was conducted using the event study method with the Market Adjusted Model approach. The sample used is a company whose shares have been listed and included in the calculation of the LQ-45 index. Statistical test of Abnormal Return, Avarage Abnormal Return using paired sample t -test. The results of the first hypothesis testing are accepted, because there is a significant abnormal return for investors due to the explosion of Suicide Bombers in Surabaya. While the results of testing the second hypothesis were rejected, because there was no significant difference obtained by investors between Avarage Abnormal Return before and after the suicide bombing in Surabaya Keywords: Abnormal returns, Event Studies, Bombs in Surabaya, LQ-45, Market Adjusted Models, Market Reactions Abstrak: Penelitian ini dilukan atas dasar pengamatan terhadap peristiwa-peristiwa yang terjadi di dalam negeri yang dapat menggaggu stabilitas keamanan. Salah satu dampak dari peristiwa (event) tersebut yaitu terjadi reaksi pasar. Tujuan penelitian ini adalah untuk mengetahui apakah pasar modal bereaksi terhadap peristiwa Bom Bunuh diri yang terjadi di Surabaya, dengan mengamati perilaku Abnormal Return yang diperoleh oleh investor serta perbedaan Avarage Abnormal Return di Bursa Efek Indonesia (BEI) sebelum dan sesudah peristiwa Bom tersebut. Penelitian ini dilakukan dengan metode event study dengan pendekatan Market Adjusted Model. Sampel yang digunakan adalah perusahaan yang sahamnya telah tercatat dan masuk  dalam perhitungan indeks LQ-45. Uji statistik terhadap Abnormal Return , Avarage Abnormal Return menggunakan Uji t. Hasil pengujian hipotesis pertama diterima, karena terdapat Abnormal Return signifikan bagi investor yang diakibatkan peristiwa peledakan Bom Bunuh Diri di Surabaya.  Sedangkan hasil pengujian hipotesis kedua ditolak, karena tidak ada perbedaan signifikan yang diperoleh investor antara Avarage Abnormal Return sebelum dan sesudah peristiwa Bom bunuh diri di Surabaya Kata kunci : Abnormal return, Event Study , Bom di Surabaya, LQ-45, Market Adjusted Model, Reaksi Pasar

Upward Switches on BSE: An Explanation for Anomalous Stock Price Behaviour

2012 ◽  
Vol 37 (4) ◽  
pp. 11-28
Author(s):  
Suveera Gill
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
High Volume ◽  
Sign Test ◽  
Stock Exchanges ◽  
Matched Pairs ◽  
Volume Group ◽  
Low Volume ◽  
Market Behaviour

Stock exchanges in developed markets provide multiple equities platform for a sophisticated equity trading worldwide. The trading system on stock exchanges in developing countries, however, is typically two-tiered so as to segregate trading interest on a wider spectrum of investor�s interest. The stock exchange authorities with such trading structures monitor the financial health of their listed companies and take a switch decision by moving a company from a low- or high-class segment to a high-or low-class segment based on certain factors. This paper attempts to discern the general pattern of market behaviour of 38 common stocks around up-switches from Group ‘B’ to Group ‘A’ on the Bombay Stock Exchange during 2008–2010. In addition, an attempt was made to examine the effect of preswitching trading volume on the pattern of returns around up-switching. Standard event methodology using the market-adjusted model was used to examine the market behaviour around the two event dates, i.e., announcement and actual switching. The same estimation period of -210 to -51 days was used for both event dates. Three tests, namely, a sign test, a matched-pairs t-test, and a Wilcoxon matched-pairs signed-ranks test were used to examine differences in volume and risk before and after switching. Finally, other contemporaneous announcements which might have had an effect on the results for low and high sub-sample companies were also checked. The results confirm that subtle differences exist in market behaviour around up-switches. The market responds weakly but positively to the announcement of an up-switch. However, in the days around the actual up-switch, the companies earn negative abnormal returns though not significant. Further, over the total test period, the cumulative abnormal results of the low volume group are significantly lower than those of the high volume group at the five per cent level over days -10 to +10. Thus, the results show that around the up-switch, the market response is more favourable to stocks with high volume than their low volume counterparts. A further examination of trading volume, beta, as well as other corporate announcements helped in discerning the underlying cumulative abnormal return patterns. The present paper distinguishes itself from the previous studies on the subject as it goes beyond documenting the abnormal returns around up-switches by presenting probable explanations for their existence. It provides researchers and others valuable understanding regarding the market segment change anomalies and the role of other pre-switching attributes in explaining market behaviour around switching.

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