scholarly journals REAKSI PASAR ATAS ISU PADA PERISTIWA ACCOUNTING RESTATEMENT

2017 ◽  
Vol 1 (3) ◽  
pp. 230
Author(s):  
Dian Nirmala Dewi
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Market Reaction ◽  
T Test ◽  
Cumulative Abnormal Return ◽  
The Difference ◽  
Negative Signal

Accounting restatement is used to be assumed as a negative signal in capital market. This research is aimed to find out market reaction to accounting restatement in Indonesia. Specifically, the objective of this research is not only for empirically investigating market reaction in general, but also for investigating the difference of market reaction based on issue of restatement. Using abnormal return and cumulative abnormal return as the proxy of market reaction, one sample and two sample independent t-test were run to reach the objectives. 63 samples were obtained from the restatement event during 2009-2012. While, event period were determined for 5 days around restatement date. The result shows that, in average, market positively react to accounting restatement. Further, the results indicate that market do not react differently within the issue of restatement.

scholarly journals The Capital Market Reaction To The Corona Covid-19 Virus Outbreak Events

Academia Open ◽  
2021 ◽  
Vol 3 ◽  
Author(s):  
Wardah Azizah ◽  
Nurasik
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
T Test ◽  
Paired Sample ◽  
Significant Difference ◽  
Real Picture ◽  
The Capital Market

This study aims to get a real picture of the Capital Market Reaction to the Corona Covid-19 Virus Outbreak (Study on LQ-45 Companies Listed on the Indonesia Stock Exchange). The analytical tool used is descriptive statistical analysis and classical assumption test. To test the hypothesis, it is done using data analysis in the form of Paired Sample T-Test using the statistical program "Product and Service Solution" (SPSS). The results of hypothesis testing using paired sample t-test obtained t-value with a significant value of 0.000 (0.000 <0.05). From these results, it can be stated that the hypothesis is accepted, which means that there is a significant difference in abnormal returns before and after the Corona / Covid-19 Virus Outbreak. The difference in Abnormal Return on the test results has a positive value, this shows that if the Corona / Covid-19 Virus Outbreak has increased, the Abnormal Return value will increase.

scholarly journals REAKSI PASAR ATAS STOCK SPLIT PADA PASAR MODAL SYARIAH INDONESIA DAN MALAYSIA PERIODE 2015-2019

2020 ◽  
Vol 7 (4) ◽  
pp. 734
Author(s):  
Fadlilah Fadlilah ◽  
Bayu Arie Fianto
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Abnormal Return ◽  
Market Reaction ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
T Test ◽  
Market Reactions ◽  
Stock Split ◽  
Observation Period

This study aims to determine the market reaction to the stock split in the market. This research uses a quantitative approach using the event study method to analyze market reactions to an event. The analysis technique uses the One Sample t-Test to see market reactions and the Independent Sample t-Test to determine whether there is a difference between the Indonesian and Malaysian Islamic capital markets with a 21-day observation period consisting of 10 days before the stock split announcement (t -10), day of stock stock announcement (t0 or t = 0), and 10 days after stock split announcement (t + 10). The results of this study, based on statistical tests with α = 5%, found a significant abnormal return around the stock split announcement on the Indonesian Islamic capital market. AAR significant as much as 4 days and CAAR significant as much as 18 days during the observation period. In the Malaysian Islamic capital market, abnormal returns were also found to be significant around the stock split announcement. AAR is significant for 3 days during the observation period, 1 day before the announcement of the stock split, during the announcement of the stock split, and 1 day after the announcement of the stock split. A significant CAAR of 19 days during the observation period. In the independent sample t-test, AAR Indonesia and Malaysia obtained sig. (2-tailed) of 0.658. In the CAAR test, Indonesia and Malaysia obtained sig. (2-tailed) of 0.563. So there is no difference between the Indonesian and Malaysian sharia capital market reactions.Keywords: Market Reaction, Stock Split, Abnormal Return, Event Study

scholarly journals Reaksi Pasar Atas Pengumuman Paket Kebijakan Ekonomi X Tentang Daftar Negatif Investasi

2017 ◽  
pp. 104
Author(s):  
Gusti Ayu Surya Rosita Dewi ◽  
Dewa Gede Wirama ◽  
Ni Ketut Rasmini
Keyword(s):  
Economic Policy ◽  
Abnormal Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
T Test ◽  
Cumulative Abnormal Return ◽  
Analysis Technique ◽  
Event Study Method ◽  
The One ◽  
Business Sectors

ABSTRACT This study aims to empirically test the market reaction that occurs upon the announcement of Economic Policy Package X about the negative investment list (DNI). This study using event study method. The market reaction is calculated using cumulative abnormal return (CAR). The population used are all companies listed on the Indonesian Stock Exchange (BEI), 525 companies. The number of samples used are 477 companies. The analysis technique used is the one sample t-test and the independent sample t-test.  The analysis showed that there is a positive market reaction to the announcement of the Economic Policy Package X. Furthermore, there are differences in the reaction that occurs between the business sectors that benefited by the policy than other business sectors. The highest reaction is shown by the business sectors that benefited by the policy. Business sectors which are benefited by the policy announcement obtained higher market reaction than their counterpart. Keywords: Market reaction, economic policy package X, negative list investment, abnormal return

scholarly journals Analisis Komparatif Abnormal Return dan Trading Volume Activity berdasarkan Political Event (Event Study pada Pengesahan RUU KPK 2019)

2020 ◽  
Vol 8 (3) ◽  
pp. 829
Author(s):  
Maulana Faizal Hafidz ◽  
Yuyun Isbanah
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Trading Volume ◽  
T Test ◽  
Cumulative Abnormal Return ◽  
Volume Activity ◽  
Political Event ◽  
Paired Sample ◽  
Average Abnormal Return ◽  
Kolmogorov Smirnov

This research aims to analyze the reaction of the Indonesia capital market with average abnormal return (AAR) and cumulative abnormal return (CAR) before-after the legality of KPK law revision in 2019. This research also using trading volume activity to describe the react of capital market before-after the legality of KPK law revision in 2019. This research use event study for analysis method with 5 days before and 5 days after the event with secondary data from the Indonesia capital market. The research testing by Paired Sample T-Test and Kolmogorov-Smirnov. The result of Kolmogorov-Smirnov shows that AAR, CAR, and TVA are normal distribution. The result of the paired sample t-test shows that no difference between average abnormal return and trading volume activity before-after the political event because investors already get bad news on before and after the legality of KPK law revision in 2019 which make investor wait and see. But, the paired sample t-test shows the difference between CAR before-after the legality of KPK law revision in 2019, because the investor gets a positive abnormal return on t-3 and t-4 which make a different cumulative abnormal return.

scholarly journals Reaksi Pasar Atas Pengumuman Corporate Governance Perception Index

2019 ◽  
pp. 2432 ◽  
Author(s):  
I Gede Krisna Dharma Putra ◽  
I Gusti Ayu Eka Damayanthi
Keyword(s):  
Corporate Governance ◽  
Capital Market ◽  
Abnormal Return ◽  
Sampling Method ◽  
Market Reaction ◽  
Stock Exchange ◽  
Stock Trading ◽  
Announcement Date ◽  
Analysis Technique ◽  
The One

CGPI is the result of research from the Indonesian Institute for Corporate Governance (IICG) in collaboration with SWA magazine. This study aims to determine the reaction of the capital market on the CGPI announcement. The research was conducted at the company surveyed by CGPI for the period 2013-2016 by accessing the Indonesia Stock Exchange, IICG, Yahoo finance and SWA magazines. The population in this study were the companies surveyed by the Corporate Governance Perception Index (CGPI) for the period 2013-2016. The number of samples taken was 61 using the purposive sampling method. The data analysis technique used is the one sample t-test. Based on the results of the analysis, it was found that during the seven days of stock trading around the announcement of the Corporate Governance Perception Index (CGPI) without involving the comfounding effect (other announcements) there was no market reaction around the CGPI announcement date. Keywords: Corporate Governance Perception Index (CGPI), abnormal return, market reaction

scholarly journals Reaksi Pasar Terhadap Pengumuman Pergantian CEO di Bursa Efek Indonesia

2018 ◽  
pp. 2430
Author(s):  
I Kadek Diky Agusnawan ◽  
Dewa Gede Wirama
Keyword(s):  
Event Study ◽  
Chief Executive Officer ◽  
Capital Market ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
Chief Executive ◽  
Ceo Turnover ◽  
Company Performance ◽  
Cumulative Abnormal Return ◽  
Event Study Method

Announcement of CEO turnover indicates a change in company management in order to improve company performance. The purpose of this study is to test whether the capital market reacts to CEO turnover announcements. This study uses event study method and the sample was selected purposively. The research sample consisted of 79 companies listed in the IDX. Based on the results of the analysis it is found that there are no abnormal returns around the CEO turnover announcement. The results shows that there is no information content in the CEO turnover announcement. The results of this study is consistent with the research of Warner et al., (1998) and Setiawan (2008). The results of the study is not consistent with the research of Weisbach (1988), Kang and Shivdasani (1996), Derment-Ferere and Renneboog (2000), Bahtera (2017). Keywords: Chief executive officer, cumulative abnormal return, market reaction

scholarly journals RENT EXTRACTION PADA PERUSAHAAN DENGAN STRUKTUR KEPEMILIKAN TERKONSENTRASI DI BURSA EFEK INDONESIA

2020 ◽  
Vol 9 (4) ◽  
pp. 404
Author(s):  
Ni Ketut Surasni ◽  
Hermanto Hermanto ◽  
Hermanto Hermanto
Keyword(s):  
Event Study ◽  
Ownership Structure ◽  
Abnormal Return ◽  
Market Reaction ◽  
Rent Extraction ◽  
Concentrated Ownership ◽  
Average Abnormal Return ◽  
The Difference ◽  
Difference Test

This study aims to examine the existence of rent extraction by examining the market reaction to the increase and decrease in dividends. For this purpose, the method used is an event study. Market reaction is measured using cumulative average abnormal return (CAAR). If CAAR is high> CAAR is low. hence rent extraction is proven, dividends are proven to relieve conflict between majority and minority. By using the difference test, it was not proven that high CAAR> low CAAR. These results indicate that investors do not react to increases or decreases in dividends. In companies with a concentrated ownership structure, dividends do not function as a reliever for conflicts between majority and minority. Kata kunci: Concentrated ownership structure, rent extraction, dividends.

scholarly journals PENGUJIAN JANUARY EFFECT : STUDI KOMPARASI PADA BURSA EFEK INDONESIA DAN BURSA SAHAM SHANGHAI PERIODE 2011-2013

2017 ◽  
Vol 6 (1) ◽  
Author(s):  
Latanza Hanum Kartikasari
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
T Test ◽  
January Effect ◽  
Volume Activity ◽  
Paired Sample ◽  
The Difference ◽  
One Way Anova

The January Effect occurred as a result companies that have a strategy to improve it is financial statements. The company will sell stocks that have low values at the end of the year and sell shares favorable to attract investment back at the beginning of next year. January Effect the anomaly that serves low stock Return occurred in December and the highest Return ing January. The purpose of this research was to examine whether there is a phenomenon January Effect on Effect Indonesia Stock Exchange and Shanghai Stock Exchange in Period 2011-2013The variables used in this study are the Return, Abnormal Return and trading volume activity. This research was conducted at the company that is static between years 2011-2013 were in a group LQ45 and SSE50 samples that meet the criteria. The model used is the determination of the sample with purposive sampling method. The tools used are Test One-Way ANOVA and Paired Sample (t-test). The results of analysis showed that look Abnormal Return  stock and Return  there is a difference between January to January in addition to the Indonesia Stock Exchange and Shanghai Stock Exchange by using One-Way ANOVA, while the Paired Sample (t-test) on the Shanghai Stock Exchange there the difference between January to be for January. And for testing of trading volume activity, The January Effect does not occurred in the Indonesia Stock Exchange and Shanghai Stock Exchange.

scholarly journals REAKSI PASAR MODAL DARI DAMPAK PERISTIWA KERUSUHAN MAKO BRIMOB MEI 2018 TERHADAP ABNORMAL RETURN INDEKS LQ45 YANG TERDAFTAR DI BEI

PERFORMA ◽  
2021 ◽  
Vol 4 (2) ◽  
pp. 30-36
Author(s):  
Dewo Adhi Guminto ◽  
Maria Assumpta Evi Marlina
Keyword(s):  
Abnormal Return ◽  
T Test ◽  
P Value ◽  
Normality Test ◽  
Average Abnormal Return ◽  
Before And After ◽  
The Subject ◽  
The Difference ◽  
Corporate Actions ◽  
Observation Period

This research is an event study that aims to determine the difference in the average Abnormal return (AR) before, during and after the Mako Brimob riots. The subject of this study is the LQ45 index company that has fulfilled the criteria, namely the company does not conduct corporate actions such as the announcement of stock split, right issue, merger & acquisition and devidend in the observation period, which is five days before the riot, one day during the riot (May 9, 2018) and five days after the riots. The results of the data normality test found that the data in this study were normally distributed. p-value shows the number 0.412. The results of the different tests using independent Sample T-Test (H1) showed no difference in the average abnormal return before and during the Mako Brimob riots (ρ = 0.050). The results of different tests using independent Sample T-Test (H2) showed no difference in the average abnormal return during and after the incident of the Mako Brimob riots (ρ = 0.117). The results of different tests using Paired Sample T-Test (H3) showed no difference in the average abnormal return before and after the incident of the Mako Brimob riots (ρ = 0.77).

scholarly journals PENGARUH PELANTIKAN KABINET KERJA HASIL RESHUFFLE JILID II TERHADAP HARGA SAHAM LQ-45

2017 ◽  
Vol 13 (1) ◽  
pp. 1
Author(s):  
Aulia Hatmanti ◽  
Bambang Sudibyo
Keyword(s):  
Event Study ◽  
Stock Prices ◽  
Abnormal Return ◽  
T Test ◽  
Good News ◽  
Political Event ◽  
Paired Sample ◽  
The Difference ◽  
Adjusted Model ◽  
The Impact

Abstrak: Pengaruh Pelantikan Kabinet Kerja Hasil Reshuffle Jilid II terhadap Harga Saham LQ-45. Tujuan dari penelitian ini adalah untuk melihat pengaruh peristiwa politik-pelantikan Kabinet Kerja hasil reshuffle jilid II-terhadap harga saham yang terdaftar dalam kelompok saham LQ-45. Penelitian ini menggunakan metode studi peristiwa untuk melihat adanya reaksi pasar yang dapat dilihat dari adanya abnormal return pada saham. Abnormal return pada penelitian ini dihitung menggunakan mean-adjusted model. Berdasarkan hasil uji beda t-test satu sisi, terdapat abnormal return positif yang signifikan pada event day (t) dan t+3. Uji beda rata-rata menggunakan paired sample t-test yang dilakukan untuk melihat perbedaan rata-rata abnormal return pada 5 hari sebelum dan 5 hari sesudah peristiwa tidak menunjukkan adanya hasil yang signifikan. Berdasarkan hasil tersebut, dapat disimpulkan bahwa peristiwa politik berupa pelantikan Kabinet Kerja hasil reshuffle jilid II merupakan good news bagi investor. Kata kunci: studi peristiwa, abnormal return, LQ-45, peristiwa politik Abstract: The Impact of the Inauguration of 2nd Reshuffled Cabinet on LQ-45 Stock Prices. The purpose of this research is to observe the impact of the political event the inauguration of 2nd reshuffled cabinet-to LQ-45 group’s stock prices. This study used event study method to identify the market reaction that can be seen from the abnormal return on the stock prices. The abnormal return is calculated using mean-adjusted model. T-test indicates that there is a significant positive abnormal return on event day (t) and t+3. Besides, paired sample t-test was conducted to see the difference in the average abnormal return in 5 days before and five days after the events didn’t show any significant results. Based on these results, it can be concluded that the inauguration of 2nd reshuffled cabinet is good news for investors. Keywords: event study, abnormal return, LQ-45, political events

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