scholarly journals PERBEDAAN ABNORMAL RETURN SEBELUM DAN SESUDAH FRIDAY EFFECT DI BURSA EFEK INDONESIA (EVENT STUDY PERUSAHAAN SEKTOR KONSUMSI DI JAKARTA ISLAMIC INDEX TAHUN 2018

2020 ◽  
Vol 7 (6) ◽  
pp. 1018
Author(s):  
Dewi Astuti ◽  
Muhammad Nafik Hadi Ryandono
Keyword(s):  
Hypothesis Testing ◽  
Stock Returns ◽  
Event Study ◽  
Abnormal Return ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
Paired Samples ◽  
Before And After ◽  
Event Date ◽  
Observation Period

Friday effect is a form of a market anomaly (deviation) that is contrary to the efficiency market, marked by high stock returns on Friday. The Friday effect phenomenon is an event or strategy which, if predictable, will be used by investors to get more profit (abnormal profit). This study aims to look at the effect of the Friday effect on abnormal returns in the consumption sector companies in the Jakarta Islamic Index (JII) in 2018, which is shown by whether there are differences in abnormal returns before and after Friday. The approach used in this study is a quantitative approach and testing the hypotheses that have been set. The method used is event study, with an observation period of 9 days, namely t - 4 (4 days before Friday), t = 0 (on Friday / event date) and, t + 4 (4 days after Friday). Hypothesis testing uses paired samples t-tests. The results of this study are based on these statistical tests with a significant level (α) = 0.05 producing a probability value of 0.784. This means that there is no difference in abnormal returns before and after Friday trading.Keywords: Friday Effect, Abnormal return, event study, Efficient Market, Jakarta Islamic Index (JII)

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 Reentry Perusahaan Pada Indeks Saham Syariah Indonesia

2018 ◽  
pp. 83
Author(s):  
Siti Roviah ◽  
Dodik Ariyanto
Keyword(s):  
Hypothesis Testing ◽  
Abnormal Return ◽  
Market Reaction ◽  
Abnormal Returns ◽  
Confounding Effect ◽  
Paired Samples ◽  
Significant Difference ◽  
Specific Index ◽  
Before And After ◽  
A Company

An index as an indicator to observe the movement of the price of securities. When shares of a company announced entering specific index, it is considered a sign that the company deserves more confidence from investors. Abnormal return occurs due to abnormal transactions throughout the event period. Selection is based on the length of the event period the number of observations and avoid the confounding effect. This study aimed to determine the reaction of the market along announcement of changes in the composition of the index. If there are differences, the market reaction to changes in the composition can be categorized as an announcement containing the information. Events throughout the 21-day period with a sample of companies that reentry amounted to 72 companies and 78 events reentry. Hypothesis testing using two different test paired samples (paired sample t-test). Hypothesis testing results showed no significant difference in abnormal returns before and after events reentry. Keywords: Abnormal Return, Market Reaction, Reentry

scholarly journals ANALISIS PERBEDAAN RETURN DAN ABNORMAL RETURN SAHAM SEBELUM DAN SETELAH ADANYA PROTES DARI GREENPEACE TENTANG SAMPAH PLASTIK PADA PT. UNILEVER

2020 ◽  
Vol 5 (1) ◽  
Author(s):  
Husnul Hotimah ◽  
Erwin Dyah Astawinetu
Keyword(s):  
Stock Returns ◽  
Quantitative Data ◽  
Abnormal Return ◽  
Quantitative Methods ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Descriptive Statistics ◽  
Comparative Approach ◽  
Before And After ◽  
Observation Period

This study aims to determine the differences in the returns and abnormal returns of PT Unilever shares before and after the protest from Greenpeace in March 2019 about plastic waste that is found mostly from Unilever products. This research design uses quantitative methods with a descriptive-comparative approach. The type of data used is quantitative data and data sources used are secondary data. The analytical method used is descriptive statistics and paired sample t-test to test the hypothesis. The observation period was 21 days, 10 days before and 10 days after the protest from Greenpeace. The results of this study indicate there are no significant differences in stock returns and abnormal returns at PT. Unilever. This shows that the protest from Greenpeace does not contain information content and is not important information for investors.Kata Kunci : Return, Abnormal Return, Saham, Sampah Plastik, Greenpeace.

scholarly journals Market reaction to the rights issue announcement on the Indonesia stock exchange

2019 ◽  
Vol 6 (6) ◽  
pp. 264-269
Author(s):  
Ni Putu Linsia Dewi ◽  
Ica Rika Candraningrat
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
Analysis Technique ◽  
Before And After ◽  
Parametric Statistical Test ◽  
The Right ◽  
Rights Issue

Rights issue or the issuance of pre-emptive rights are the rights granted by an issuer company made to its existing shareholders to buy new shares issued within a predetermined period of time. This study aims to empirically explain the differences in abnormal returns before and after the announcement of the rights issue and to determine the form of capital market efficiency in Indonesia. Data are collected from 27 listed companies in the Indonesia Stock Exchange (IDX) that conducted a rights issue in 2014-2018. The data analysis technique used is the Kolmogorov-Smirnov Normality Test and the Parametric Statistical Test with a paired sample t-test. Based on the results of hypothesis testing not found differences in abnormal returns both before and after the announcement date indicating the market does not react to the right issue event. The results of statistical tests show a downward trend of abnormal return which is proxied in the Cumulative Abnormal Return (CAR), implying a market tends to react negatively to the announcement of the rights issue. Rights issue information causes a new equilibrium price adjustment in the market, thus making the form of efficiency of the Indonesian capital market a semi-strong form.

scholarly journals ANALYZING ABNORMAL RETURN BEFORE AND AFTER THE ANNOUNCEMENT OF MERGER AND ACQUISITION IN 2018

2018 ◽  
Vol 1 (2) ◽  
pp. 14-22
Author(s):  
Sonny Haryanto ◽  
Umi Mardiyati ◽  
Agung Dharmawan Buchdadi
Keyword(s):  
Mergers And Acquisitions ◽  
Stock Price ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
T Test ◽  
Testing Hypotheses ◽  
Paired Sample ◽  
Minute Period ◽  
Before And After ◽  
Observation Period

This study aims to analyze the abnormal returns before and after the announcement of mergers and acquisitions in the companies listed on the IDX 2018. In this study the observation period taken was three days before and after the announcement of mergers and acquisitions with the number of samples observed were 9 companies. The method for calculating abnormal returns used is the market adjusted return by using an intraday stock price of 15 minutes. Based on testing hypotheses conducted by paired sample t-test, it was found that there were no significant differences in abnormal returns before and after the announcement of mergers and acquisitions in each 15 minute period.

scholarly journals Investor’s Mood at ASIAN Games Event

2019 ◽  
Vol 7 (2) ◽  
pp. 177
Author(s):  
Happy Sista Devy ◽  
Bahrain Pasha Irawan
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Purposive Sampling ◽  
Event Study Method ◽  
Before And After ◽  
Wait And See ◽  
The Many ◽  
Observation Period

<p>Goals of the research to analyze whether occurred abnormal return of ASIAN Games phenomena and see how investors react to the big ASIAN Games 2018 event in Indonesia. . This reseach uses a sample of companies included in the hotel, restaurant and tourism sub-sector on the Indonesia Stock Exchange (IDX) during the observation period, based on the purposive sampling method which obtained 22 companies and used the event study method. There is a significant abnormal return but not on the phenomenon of the Asian Games 2018. This shows that investors still wait and see to the organization of the Asian Games in 2018. No difference of abnormal return before and after the Asian Games 2018. This is because, as investors look to the many tourists who have started to flock to Indonesia before the Asian Games in 2018 took place.<em></em></p><p><strong><em></em></strong><em><br /></em></p>

scholarly journals The Effect of BI Rate’s Decrease Toward The Market Reaction in Indonesia Stock Exchange (IDX)

2016 ◽  
Vol 17 (2) ◽  
pp. 205
Author(s):  
Riwi Sumantyo ◽  
Devi Anggraeni
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Exchange ◽  
Debt Crisis ◽  
Share Price ◽  
Paired Samples ◽  
Before And After ◽  
Event Date ◽  
Negative Sentiment

This research aims to analyze the market reaction that can be seen from the abnormal return and trading volume of activity against BI rate’s decrease announcement which is the lowest point in 2011. Research methods using paired samples t-test. Data used in this research include the date of announcement of the BI rate which is used as the event date (t0), daily closing share price of companies in a period of observation, LQ-45 index daily, the number of shares traded or daily volume, and the number of shares in circulation or listed share. This research uses 39 companies listed in the LQ 45 Index listed in BEI as samples. Result of this research is the absence of differences of Abnormal Return and Trading Volume of Activity before and after the announcement. The possibility of this situation was caused by the negative sentiment arising due to the debt crisis in Europe that there is never a solution so it affects the psychology of investors un decision-making.

scholarly journals REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA PENGESAHAN UU CIPTA KERJA 2020 (STUDI KASUS PERUSAHAAN YANG TERDAFTAR PADA LQ45)

2021 ◽  
Vol 8 (2) ◽  
pp. 168-188
Author(s):  
Rya Indriani ◽  
Mariana Mariana
Keyword(s):  
Hypothesis Testing ◽  
Abnormal Return ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Job Creation ◽  
Rank Test ◽  
Volume Activity ◽  
Security Return ◽  
Significant Difference ◽  
Before And After

This study aims to analyze reaction of the Indonesian capital market about difference of average abnormal returns, trading volume activity, and security return variability between before and after the legalization of the Job Creation Act on October 5, 2020. This study used quantitative research with event study approach. The research sample is stocks registered in LQ45 with certain criteria determined used the purposing sampling method. Hypothesis testing used paired sample t-test and wilcoxon signed rank test. The results of the hypothesis testing show that: (1) There’s a significant difference in the average abnormal return between the period before and after the Job Creation Act legalization. (2) There’s no significant difference in the average trading volume activity between the periodsbefore and after the Job Creation Act legalization. (3) There’s a significant difference in the average security return variability between the period before and after the Job Creation Act legalization.Keywords: The Job Creation Act, Abnormal Return; Trading Volume Activity; SecurityReturn Variability

scholarly journals Do Regional Election and Presidential Election Affect Stock Exchange? An Event Study in the Indonesian Stock Exchange

2021 ◽  
Vol 7 (1) ◽  
pp. 71-80
Author(s):  
Khanifah Khanifah ◽  
Agus Triyani ◽  
Suhita Whini Setyahuni
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
T Test ◽  
Democratic Politics ◽  
Paired Samples ◽  
Before And After ◽  
Regional Elections

The 2018 simultaneous regional election in Indonesia is something new in the events of democratic politics in Indonesia. The events of the 2018 simultaneous regional election is one of the important events in 2018 that can cause a reaction of capital market to these events. This study aims to examine how the capital market reacts to the simultaneous regional elections in 2018 and presidential elections in 2019, by looking at the differences in the preceding and following periods based on 2 variables, namely abnormal return and trading volume activity. The sample in this study were 30 companies listed in the Indonesian Stock Exchange during 30 periods from February through July 2018. Research Methode This study used an event study. One paired samples T test was used as a technique analysis. The means of each variable within eleven days period was compared. The period of observation is five days before the event, five days after the event, and one day on event day. Based on the results of the parametric statistical calculations, the paired sample t-test showed that there was no difference between the level of abnormal returns before and after the 2018 simultaneous regional elections. On the other hand, there was a difference between trading volume of activity before and after the 2018 simultaneous regional elections.

scholarly journals ABNORMAL RETURN DAN LIKUIDITAS SAHAM ATAS PENGUMUMAN AKUISISI

2017 ◽  
Vol 20 (1) ◽  
pp. 151
Author(s):  
Suherman Suherman ◽  
Riznita Nuraisyah ◽  
Gatot N. Ahmad
Keyword(s):  
Mergers And Acquisitions ◽  
Abnormal Return ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Merger And Acquisition ◽  
Stock Liquidity ◽  
Before And After ◽  
The Difference ◽  
Adjusted Model ◽  
Observation Period

Tujuan penelitian ini adalah untuk menganalisis perbedaan abnormal return dan likuiditas saham sebelum dan sesudah pengumuman akuisisi. Pengukuran abnormal return menggunakan market-adjusted model. Pengukuran likuiditas saham menggunakan volume perdagangan dan Amihud’s Illiquidity ratio. Periode pengamatan (event windows) penelitian ini selama 11 hari bursa, yaitu 5 hari bursa sebelum pengumuman akuisisi dan 5 hari bursa sesudah pengumuman akuisisi. Sampel penelitian ini adalah 70 perusahaan yang mengumumkan akuisisi antara 2010-2014. Hasil uji hipotesis menunjukkan bahwa 1)terjadi perbedaan abnormal return yang signifikan sebelum dan sesudah akuisisi, dan 2)tidak terdapat perbedaan likuiditas saham yang signifikan pada periode sebelum dan sesudah akuisisi.The purpose of this study is to analyze the difference of abnormal return and liquidity before and after the announcement of mergers and acquisitions. Abnormal returns are measured with market-adjusted model. Liquidity is measured with trading volume and Amihud Illiquidity ratio. The observation period (event windows) of this research is 11 trading days which 5 trading days before the announcement of the merger and acquisition and 5 trading days after the announcement mergers and acquisitions. Research sample consists of 70 companies which announce merger and acquisition between 2010 and 2014. The results show that 1)there is significant differences of abnormal returns before and after merger and acquisition, and 2)there is no significant differences of stock liquidity before and after merger and acquisition.

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