scholarly journals Reaksi Pasar Atas Penerbitan Sukuk (Studi Pada Emiten Saham Penerbit Sukuk Periode 2008-2012)

2015 ◽  
Vol 1 (5) ◽  
pp. 363
Author(s):  
Vita Fatimatuzzahra ◽  
Leo Herlambang
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Investment Decisions ◽  
Volume Activity ◽  
Significance Level ◽  
Study Approach ◽  
Lack Of Information ◽  
Before And After ◽  
Event Date

Issuance of Sukûk’s corporation, it can be an opportunity for many companies to become proponent necessity for funding and business expansion. Sukûk publication announcement is an information for investors in order to assess it based on their investment decisions. In order to get the investment decisions, investors often based on the signals that had been given by the company. That signal can caused the changes of demand and supply’s shares. This study aims to find out the reaction of the stock from the Sukûk publication as indicated by the presence of abnormal returns around the date of publication and the Trading Volume Activity (TVA) difference which is occured before and after Sukûk publication.This study uses event study approach, it carries out on 11 issuer stock of Sukûk publisher which is listing in Indonesia Stock Exchange period : 2008-2012. This study also uses observation period for 81 days, they are t - 10 (70 days before publication), t - 0 (event date) and t +10 (10 days after publication). The hypothesis calibration of this thesis uses a one sample t - test and paired t - test.The results of this study is based on a statistical test with a significance level (α) = 5 %resulted AAR which was in a significantly positive on t - 2 at 0.03711 and significantly negativeat t +9 of 0.03. In contrast with TVA, the statistic results showed probability value of 0.026,which means there is a significant different of trading volume activity before and after ofSukûk publication. The lack of information about Sukûk also caused there is significant AARreaction only in some poriods of observation and significant negative TVA .

scholarly journals Perbedaan Likuiditas Saham Sebelum dan Setelah Penerapan Keputusan Perubahan Satuan Perdagangan (Studi Pada Emiten di JII)

2015 ◽  
Vol 2 (3) ◽  
pp. 265
Author(s):  
Mirza Dewi Riskyta ◽  
Leo Herlambang
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Hypothesis Test ◽  
Investment Decision ◽  
Significance Level ◽  
Study Approach ◽  
Significant Difference ◽  
Before And After ◽  
Event Date ◽  
The Difference

Application of unit trade change decision is one that can be used as balance information for the investors to take an investment decision. Investors must be able to analyse the signal of any information regarding the application. That signal can change of supply and demand’s shares. This study aims to find out the reaction of stock liquidity on application of unit trade change decision indicated by the difference of Trading Volume Activity (TVA) and Transaction Frequency Activity (TFA) on before and after the application of trade change decision. This study use event study approach held on 30 emiten of stock listed on Indonesia Stock Exchange period December 2013 – May 2014. This study use observation period for 11 days, are t-5 (five days before the application), t-0 (event date), and t+5 (five days after the application). Hypothesis test use paired t-test. The result based on statistical test with significance level (α) = 5% produce probability value 0.599 for TVA and 0.121 for TFA. Based on these result, it can be concluded that there is no significant difference between TVA and TFA on before and after the application of trade change decision.

scholarly journals REAKSI PASAR TERHADAP PENGUMUMAN CASH DIVIDEND PADA PERUSAHAAN YANG TERGABUNG DALAM INDEKS KOMPAS 100

2020 ◽  
Vol 9 (3) ◽  
pp. 988
Author(s):  
I Putu Agus Ary Raditya Juliana ◽  
Ica Rika Candraningrat
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Participant Observation ◽  
Abnormal Returns ◽  
Public Information ◽  
Rank Test ◽  
Cash Dividend ◽  
Volume Activity ◽  
Before And After

The purpose of this study is to determine the market reaction to the announcement of cash dividends, by looking at differences in abnormal return and trading volume activity before and after the cash dividend announcement. Dividend announcement is an event that affects the market, because the company provides information to the public. Information provided by the company will influence investors' decision making and will act on that information. The sample of this study amounted to 33 of the 100 companies incorporated in the Kompas 100 index on the Indonesia Stock Exchange (IDX). The data collection method uses non-participant observation, which is document observation. The analysis technique used is Paired-Sample T Test and Wilcoxon-Signed Rank Test. The results showed that there were no differences in abnormal returns and trading volume activity before and after the distribution of cash dividends. Keywords: cash dividend, abnormal return, trading volume activity

scholarly journals Analisis Reaksi Investor di Bursa Efek Indonesia pada Pelantikan Joko Widodo

2020 ◽  
Vol 12 (1) ◽  
pp. 50
Author(s):  
Komang Lia Karina ◽  
I Nyoman Sujana ◽  
M. Rudi Irwansyah
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Wilcoxon Test ◽  
Stock Index ◽  
Stock Trading ◽  
Significance Level ◽  
Significant Difference ◽  
Before And After

This study aimed to analyze the reaction of investors on Indonesia Stock Exchange to the inauguration of the 8th President by observing whether there were any significant differences in abnormal returns and stock trading volume activities before and after the event. The observation period used in this study was 10 days, with details of each 5 days before and after the President's inauguration event that occurred on 20 October 2019. This research was quantitative research and used daily transaction data on the market capital as a secondary data source. The samples used were companies that were included in the LQ45 stock index for the period August 2019 - January 2020. A non-parametric test in the form of Wilcoxon test was used to test the hypothesis. The results of this study showed that there were no significant difference in abnormal return and stock trading volume activity in the period before and after the event. This was evidenced by the probability value above the significance level of 5%. Thus, the results of this study were stated that there was no reaction from the investor related to the event of the inauguration of the 8th President in Indonesia.

scholarly journals Analisis Pengaruh Stock Split Terhadap Volume Perdagangan, Harga Saham, dan Abnormal Return pada Perusahaan yang Terdaftar di BEI Periode 2017 - 2018

2020 ◽  
Vol 4 (1) ◽  
pp. 84
Author(s):  
Agus Amanda Tanoyo
Keyword(s):  
Stock Prices ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Rank Test ◽  
Volume Activity ◽  
Stock Split ◽  
Before And After ◽  
Signed Rank Test ◽  
The Difference

This study aims to determine the difference in the trading volume activity, stock prices and abnormal returns before and after the announcement of a stock split. The population of this study are all companies listed in Indonesia Stock Exchange that take corporate action in the form of stock split at period 2017-2018. Sampling using purposive sampling. Based on the sampling criteria predetermined number of samples acquired 24 stocks. The analytical method used is the analysis Wilcoxon Signed Rank Test with the observation period (event window) is 14 days. The results showed that there were differences in the trading volume activity and stock prices before and after the announcement of stock split, while the last hypothesis showed that there were no differences in abnormal returns before and after the announcement of stock split.

scholarly journals Capital Market Reaction to Announcements the First Case of Coronavirus

2021 ◽  
Vol 5 (1) ◽  
pp. 54-58
Author(s):  
Tiara Putri Nadiwa ◽  
Irni Yunita
Keyword(s):  
Capital Market ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Wilcoxon Test ◽  
Volume Activity ◽  
First Case ◽  
Before And After ◽  
The Capital Market ◽  
Normally Distributed

The more important the role of the stock exchange in economic activity, the more sensitive the stock exchange is to various surrounding events, whether they are directly related to economic issues or not. The announcement of the first case of the coronavirus in Indonesia is one of the events that have the potential to affect market behavior. This study aims to analyze the reaction of the capital market to the announcement of the first case of the coronavirus in Indonesia. This study used an event study approach with measurements seen from differences in abnormal returns and trading volume activity before and after the event. The research sample was 45 companies selected by the purposive sampling technique. Data analysis used paired sample t-test on normally distributed data and Wilcoxon test on data not normally distributed. The results showed that there was no difference in abnormal returns and trading volume activity before and after the announcement of the first case of the coronavirus in Indonesia. This study concludes that events do not contain significant information that can influence investors' decisions in the capital market.

scholarly journals Analisis Perbandingan Abnormal Return,Trading Volume Activity, dan Bid-Ask Spread Sebelum dan Sesudah Stock Split

2018 ◽  
Vol 7 (1) ◽  
pp. 34
Author(s):  
Fahrizal Anwar ◽  
Nadia Asandimitra
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Bid Ask Spread ◽  
Stock Split ◽  
Before And After ◽  
Bid Ask Spreads

Stock splits or stock split is to break a piece of stock into n shares so that the new price per share after the stock split is 1 / n of the previous price.This study aims to investigate the market reaction to the announcement of the stock split the company listed in Indonesia Stock Exchange Period 2012-2013. The market reaction is indicated by the presence or absence of abnormal return differences, trading volume activity, and bid-ask spreads before and after the stock split announcement.Type of research is a study of events (event study).The study sample as many as 17 companies based on purposive sampling.Testing is done with a period of 5 days before and 5 after the announcement of the stock split.The technique of data analysis performed using paired sample t-test on abnormal returns while Wilcoxon signed ranks test on trading volume activity and bid-ask spreads.

scholarly journals DAMPAK COVID-19 TERHADAP ABNORMAL RETURN DAN VOLUME PERDAGANGAN SAHAM

2022 ◽  
Vol 18 (1) ◽  
pp. 160-181
Author(s):  
Elvina Cahya Suryadi ◽  
Nungky Viana Feranita
Keyword(s):  
Natural Disaster ◽  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Quantitative Research ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Before And After ◽  
Disaster Event

The COVID-19 pandemic is a non-natural disaster that has a huge impact around the world. This research is a quantitative research with event study method. The purpose of this research is to test the capital market reaction by looking at abnormal returns and trading volume activity before and after the COVID-19 non-natural disaster. The event day in this study was April 13rd, 2020 when the Presidential Decree was issued regarding the designation of COVID-19 as a national disaster. Using purposive sampling method, the sample of this study were 27 companies engaged in the hotel, restaurant, and tourism sub-sectors listed on the Indonesia Stock Exchange. The event period is 11 days, namely 5 days before the event, 1 day at the time of the event and 5 days after the event. Data analysis using t-test and wilxocon signed ranks test. The results of this study are: 1) there is no abnormal return during the event period, 2) there is no difference in the average abnormal return before and after the COVID-19 non-natural disaster event, 3) there is no difference in the average trading volume activity before and after the COVID-19 non-natural disaster event and after the COVID-19 non-natural disaster event. Keywords: Event Study, Abnormal Return, Trading Volume Activity, COVID-19.

Right Issue: The Impact to Abnormal Return, Share Liquidity and Company's Financial Performance (Empirical Study at Companies listed at Indonesia Stock Exchange)

2014 ◽  
Vol 2 (4) ◽  
pp. 01-08
Author(s):  
Nikolas Aldo ◽  
Ratnawati Kurnia
Keyword(s):  
Financial Performance ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Before And After ◽  
The Right ◽  
Rights Issue ◽  
Normally Distributed

Objective - The aim of this research is to analyse the difference of abnormal returns, shares liquidity proxies by trading volume activity and a company financial performance proxies by current ratio and price earnings ratio before and after the rights issue. Methodology/Technique - Samples were taken by purposive sampling. Number of samples are 26 companies listed on the Indonesia Stock Exchange that take the right issue for the year 2006 -2012. Testing of the hypothesis was done by using paired sample t-test for normally distributed data and Wilcoxon signed rank test for data that are not normally distributed. Findings - The results of this study showed that there is a significant difference in share liquidity proxies by trading volume activity before and after the announcement of the rights issue. After the right issue there are decreasing the number of trading volume activity because shareholders prefer to maintain their proportion of the share capital. Novelty - The increasing number of companies listed on the Indonesia Stock Exchange showed that there is positive growth of capital market in Indonesia. To be sustain in the market, companies need to improve their competitive advantage by optimizing resource utilization such as financial resources. One of the corporate action to raise the capital is the right issue. Type of Paper - Empirical Keywords: Abnormal Return, Company's Financial Performance, Right Issue, Shares Liquidity.

Pengaruh Debat Calon Presiden Indonesia 17 Februari 2019 Terhadap Abnormal Return Dan Trading Volume Activity

2019 ◽  
Vol 5 (2) ◽  
pp. 1383-1394
Author(s):  
Adela Putri Hartanto ◽  
Sylvia Fettry
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Vice President ◽  
Rank Test ◽  
Volume Activity ◽  
Presidential Candidates ◽  
The Public ◽  
Average Value ◽  
Before And After

The debates of the Indonesian presidential candidates 17 February 2019 represented the process of political education for the public to be able to participate in determining the presidential and vice-presidential candidates. The public and investors certainly want a presidential and vice-presidential candidate who can bring Indonesia to become a better country. This certainly can be a driving factor for investors to invest in Indonesia and can have an impact on improving a country's economy. This research was conducted to determine the market reaction to the event based on the average value of Abnormal Returns and the average Trading Volume Activity of LQ45 shares for five days before and after the debate using the event study research method. The data used comes from the Indonesia Stock Exchange (IDX) and the Yahoo Finance website and analyzed using the Paired Sample t-Test and Wilcoxon Signed-Rank Test. The results of this study indicate that there is no difference in the average value of Abnormal Returns or Trading Volume Activity between before and after the debate. This means that investors are still waiting and analyzing how the 2019 Presidential and Vice President election processes will continue.

scholarly journals REAKSI PASAR MODAL TERHADAP PENGUMUMAN PAKET KEBIJAKAN EKONOMI XVI (Studi Empiris Pada Saham Perusahaan Yang Masuk Dalam Indeks LQ 45)

2020 ◽  
Vol 14 (2) ◽  
Author(s):  
Tirsa Rante ◽  
Syaikhul Falah ◽  
Bill J.C Pangayow
Keyword(s):  
Economic Policy ◽  
Stock Prices ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Study Data ◽  
Volume Activity ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Before And After

This study aims to analyze whether there are significant differences in abnormal returns before and after the announcement of economic policy XVI and trading volume activity before and after the announcement of XVI economic policy on November 16, 2018. This study uses event study, where observations of the average abnormal return are carried out. and the average trading volume activityduring the 11 day observation period. In this study data was obtained from the Indonesia Stock Exchange. The data used in this study include daily closing stock prices (closing price), daily stock trading volume, and the number of shares outstanding. The sample used amounted to 45 LQ45 index companies. The results of this study indicate (1) there is no significant difference in abnormal returns before and after the announcement of economic policy XVI (2) on the trading volume activity indicator there are significant differences before and after the announcement of XVI economic policy.

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