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 Terhadap Peristiwa Pemilihan Presiden Indonesia 2019

2019 ◽  
Vol 29 (3) ◽  
pp. 1026
Author(s):  
I Gede Aditya Baskara ◽  
Made Gede Wirakusuma
Keyword(s):  
Event Study ◽  
Presidential Election ◽  
Stock Prices ◽  
Abnormal Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
T Test ◽  
Significant Difference

This research is an event study that aims to determine the market reaction arising from the 2019 Indonesian presidential election, against companies listed in the infrastructure stock sector on April 17, 2019, using the abnormal return indicator. This study uses secondary data in the form of daily stock prices per company during the period with the population of the infrastructure sector listed on the Indonesia Stock Exchange. The statistical tests used to test hypotheses are descriptive statistical tests, normality tests and one sample t-test. The results of the one sample t-test on abnormal return is that there is no significant difference, which means the market does not respond to the event. These results indicate that the efficient market is not answered in the 2019 Indonesian presidential election due to the absence of abnormal returns in it. Keywords : Event Study, Market Reaction, Abnormal Return, 2019 Indonesian Presidential Election.

scholarly journals Perbedaan Reaksi Pasar terhadap Pelantikan Presiden dan Wakil Presiden Negara Indonesia Tahun 2019

2020 ◽  
Vol 30 (10) ◽  
pp. 2514
Author(s):  
Gede Paramartha Daisuke Matsuzawa ◽  
Maria Mediatrix Ratna Sari
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Market Reaction ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
Vice President ◽  
T Test ◽  
Efficient Market ◽  
Paired Sample ◽  
Significant Difference

This research is an event study that aims to determine the market reaction arising from the inauguration of the president and vice president of Indonesia in 2019, against companies listed in the LQ45 stock sector on October 20, 2019, using the abnormal return indicator. Statistical tests used to test hypotheses are descriptive statistical tests, normality tests and paired sample t-test. The result of paired sample t-test on abnormal return is that there is no significant difference, which means the market does not respond to the event. These results indicate that the efficient market is not answered in the event of inducting the president and vice president of Indonesia in 2019 due to the absence of abnormal returns in it. Keywords: Event Study; Market Reaction; Abnormal Return; President Election 2019.

scholarly journals Reaction of Sharia Capital Market toward Political Events in Indonesia

2021 ◽  
pp. 11-20
Author(s):  
Sisca Debyola Widuhung
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Trading Volume ◽  
Presidential Elections ◽  
Abnormal Returns ◽  
The Political ◽  
Stock Trading ◽  
Market Reactions ◽  
Political Events ◽  
Observation Period

This study aims to examine the reaction of the sharia capital market to political events in Indonesia. The political events referred to in this study are the events of the 2014 and 2019 presidential elections. The market reactions used are abnormal returns and stock trading volume. The sample in this study is stocks included in the Jakarta Islamic Index (JII) during the study period, which are 22 stocks. This study used an event study with an observation period of 21 trading days, namely 10 trading days before, one day of the day event, and 10 trading days after the 2014 & 2019 presidential and vice presidential elections. From the result, it can be seen that both tests are greater than 5%. Therefore, H0(1 and 2) are accepted.

scholarly journals Reaksi Pasar atas Pengumuman Dividen: Sebuah Tinjauan Ulang

Performance ◽  
2020 ◽  
Vol 27 (2) ◽  
pp. 23
Author(s):  
Fransisca Astuti Mutiara ◽  
Leo Indra Wardhana
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Statistical Tests ◽  
T Test ◽  
The Other ◽  
Market Reactions ◽  
Dividend Payment ◽  
Event Study Method ◽  
Dividend Announcements

This study revisits the market reactions on the dividend payment events, cum-dividend date and payment date, using the event study method. The sample of this study includes all dividend announcements from 2017 to 2018 in the Indonesia Stock Exchange. This study performs various robust statistical tests proposed by Harrington and Shrider (2007), who point out that standard classical t-test is not enough to ensure abnormal return on an event because of the bias due to volatility caused by an event. Using various statistical tests for testing the abnormal return, this study shows that the market indeed reacts to the cum-dividend date and dividend payment date, as well as showing that the classical t-test showing the same conclusion as the other tests.    

scholarly journals REAKSI PASAR MODAL INDONESIA TERHADAP PENERBITAN SUKUK KORPORASI

2020 ◽  
Vol 7 (11) ◽  
pp. 2221
Author(s):  
Dian Ayu Firtanasari ◽  
Muhammad Nafik Hadi Ryandono
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Positive Response ◽  
Abnormal Returns ◽  
T Test ◽  
Volume Activity ◽  
Paired Sample ◽  
Purposive Sampling

ABSTRAKPenelitian ini bertujuan untuk mengetahui reaksi pasar terhadap pengumuman penerbitan sukuk yang diukur dengan average abnoramal return dan average trading volume activity. Penelitian ini menggunakan pendekatan kuantitatif dengan menggunakan jenis penelitian event study. Populasi dalam penelitian ini adalah seluruh pengumuman penerbitan sukuk korporasi yang terdaftar di Bursa Efek Indonesia periode 2017-2020. Teknik pengambilan sampel dalam penelitian ini adalah purposive sampling yang kemudian diperoleh 17 tanggal pengumuman dari 8 perusahaan penerbit sukuk korporasi. Metode analisis yang digunakan dalam penelitian ini adalah one sample t-test dan paired sample t-test. Hasil penelitian ini adalah terdapat abnormal return negatif signifikan pada t-4 yang berarti terdapat reaksi pasar namun terdapat respon negatif dari investor, kemudian pada t-1,t-2,t-5,t+1,t+2,t+4, dan t+5 menunjukkan hasil negatif tidak signifikan yang berarti tidak terdapat reaksi pasar dan tidak ada respon baik dari investor. Pada t-3,t-0,t+2 dan t+3 yang menunjukkan hasil positif tidak signifikan yang berarti tidak terdapat reaksi pasar tetapi terdapat respon positif dari investor. Namun tidak terdapat perbedaan average abnormal return sebelum maupun sesudah penerbitan sukuk. Hasil juga menunjukkan terdapat trading volume activity positif signifikan pada t-2,t-3,t-4,t-5 dan t+2,t+3,t+4,t+5. Hal itu menandakan bahwa terdapat transaksi pembelian saham disekitar tanggal pengumuman penerbitan sukuk yang berarti terdapat respon positif dari para investor. Namun tidak terdapat perbedaan average trading volume activity sebelum maupun sesudah pengumuman penerbitan sukuk. Kata kunci: Reaksi Pasar, Event Study, Abnormal Return, Trading Volume Activity ABSTRACTThis study aims to determine the market reaction to the announcement of Sukuk issuance as measured by abnormal returns and trading volume activities. This research used a quantitative approach by using the type of event study research. The populations in this study were all announcements published on the Indonesia Stock Exchange for the 2017-2020 period. The sampling technique in this study was purposive sampling then obtained 17 of announcement dates from 8 corporate Sukuk issuing companies. The analytical method used in this study was a One-Sample t-test and Paired Sample t-test. The results of this study are there are significant negative abnormal returns on t-4, which means there is a market reaction but there is a negative response from investors, then at t-1, t-2, t-5, t+1, t+2, t+4, and t+5 show insignificant negative results, which means there is no market reaction and there is no good response from investors. Positive responses occur at t-3, t + 2, and t+3, which show insignificant positive results which means there is no market reaction but there is a positive response from investors. But there is no difference in the average abnormal returns before or after the Sukuk issuance. The results also show there is a significant positive trading volume activity on t-2, t-3, t-4, t-5 and t + 2, t + 3, t + 4, t + 5. This indicates that there were stock purchase transactions around the date of the announcement of the Sukuk issuance, which means there is a positive response from investors. But there is no difference in average trading volume activity before or after the announcement of the Sukuk issuance.  Keywords: Market Reaction, Event Study, Abnormal Return, Trading Volume Activity

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 SAHAM TERHADAP PENGUMUMAN STOCK SPLIT PADA INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE 2013-2018

2020 ◽  
Vol 7 (4) ◽  
pp. 704
Author(s):  
Salsabiilaa Nadiah Putri Herlambang ◽  
Puji Sucia Sukmaningrum
Keyword(s):  
Abnormal Return ◽  
Abnormal Returns ◽  
T Test ◽  
Stock Index ◽  
Market Reactions ◽  
Average Abnormal Return ◽  
Stock Split ◽  
Before And After ◽  
Sample Test ◽  
The One

Stock split is a breakdown of the nominal value of stocks into smaller ones carried out by the issuer. This study aims to determine and explain the reaction of the stock market to the announcement of a stock split made by issuers of all sectors in the 2013-2018 Indonesian Sharia Stock Index (ISSI). This study uses a quantitative approach using event studies to analyze market reactions to events. Sampling using purposive sampling and obtained 50 companies and two companies do two stock splits. The sample analysis technique uses the One-Sample Test t-test and Paired Sample t-test with an observation period of 31 days which is 15 days before the announcement of the stock split and 16 days after the announcement of the stock split. The results obtained from this study are that there is no significant abnormal return before the announcement of the stock split, but there is a significant abnormal return after the stock split, although a little. However, there is no significant cumulative average abnormal return as a reaction before or after the stock split. This study also found no significant differences in abnormal returns before and after stock split and changes in cumulative average abnormal returns before and after stock split that was not significant.Keywords: Market Reaction, Stock Split, Average Abnormal Return, Indonesian Sharia Stock Index (ISSI)

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 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.

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