scholarly journals REAKSI PASAR MODAL SYARIAH TERHADAP PENGUMUMAN DEFISIT NERACA PERDAGANGAN

2020 ◽  
Vol 7 (9) ◽  
pp. 1646
Author(s):  
Ichwan Abdillah ◽  
Puji Sucia Sukmaningrum
Keyword(s):  
Trade Balance ◽  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Index ◽  
Volume Activity ◽  
Purposive Sampling ◽  
Before And After ◽  
Adjusted Model ◽  
Balance Deficit

ABSTRAKTujuan dari penelitian ini yakni untuk menganalisis reaksi pasar dari investor sebelum dan sesudah pengumuman defisit neraca perdagangan terhadap abnormal return (AR) dan trading volume activity (TVA). Model yang digunakan untuk menghitung AR adalah Market-Adjusted Model yang didapat dari return indeks pasar yakni return pasar indeks harga saham gabungan (IHSG). Periode yang digunakan adalah 3 hari sebelum dan 3 hari sesudah pengumuman defisit neraca perdagangan. TVA digunakan untuk memperkirakan harga saham yang akan datang. Sampel dalam penelitian ini adalah saham yang tedaftar di BEI yang terrindeks di indeks saham syariah Indonesia (ISSI) menggunakan purposive sampling. Hasil menunjukkan tidak ada perbedaan yang signifikan pada AAR dan ATVA sebelum dan sesudah pengumuman defisit neraca perdagangan.Kata Kunci: reaksi pasar, study peristiwa, abnormal return, trading volume activity ABSTRACTThe purpose of this study is to analyze the market reaction of investors before and after the announcement of a trade balance deficit to abnormal return (AR) and trading volume activity (TVA). The model used to calculate the abnormal return is the Market-Adjusted Model obtained from market index returns, namely the market return of the composite stock price index. The periods used is 3 days before and 3 days after the announcement of a trade balance deficit. TVA is used to estimate future stock prices. The sample in this study is shares listed in the IDX that are indexed in the Indonesian Islamic stock index (ISSI) using purposive sampling. The results showed no significant differences in AAR and ATVA before and after the announcement of a trade balance deficit.Keywords: market reaction, event study, abnormal return, trading volume activity

scholarly journals REAKSI PASAR DI SEPUTAR PENGUMUMAN PROPER (PROGRAM PENILAIAN PERINGKAT KINERJA PERUSAHAAN DALAM PENGELOLAAN LINGKUNGAN HIDUP )

2017 ◽  
Vol 22 (3) ◽  
Author(s):  
Verena Winardi Kusumo ◽  
Yeterina Widi Nugrahanti
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Exchange ◽  
Volume Activity ◽  
Closing Price ◽  
Before And After ◽  
Adjusted Model ◽  
Research Period

The purpose of this research is to examine the change of market reaction around the date of Corporate Performanice Rating program in Environ mental management (PROPER) announcement and the change of market reaction between good PROPER rank and bad PROPER rank. The market reaction is measured by abnormal return and trading volume activity. The sample of the study consist of 25 companies which joined on PROPER and listed on the Indonesian Stock Exchange in 2009-2013. Data that used in this study consist of share’s daily closing price and daily trading volume. The research period is 7 days by using market-adjusted model. Analyzed technique for examining the hypothesis is Wilcoxon Signed Test at level significant of 5%. The result of this research shows that PROPER announcement get any response from the investor, because there were significant changes to the abnormal return. But there were no significant changes to the trading volume activity before and after PROPER announcement, abnormal return and trading volume activity between good PROPER rank and bad PROPER rank.

scholarly journals MENGGUNAKAN MD&A UNTUK MENINGKATKAN PERKIRAAN PENDAPATAN DAN REAKSI INVESTOR (STUDI EMPIRIS PERUSAHAAN GO PUBLIC DI INDEKS SAHAM SYARIAH INDONESIA)

2020 ◽  
Vol 4 (2) ◽  
pp. 309-332
Author(s):  
Mila Alim Bahri
Keyword(s):  
Corporate Governance ◽  
Stock Returns ◽  
Trading Volume ◽  
Stock Return ◽  
Annual Report ◽  
Market Reaction ◽  
T Test ◽  
Stock Index ◽  
Volume Activity ◽  
Purposive Sampling

Abstract This study aims to provide empirical evidence of investors' reactions to disclosure management discussion and analysis (MD&A) and Trading Volume Activity (TVA) in companies listed on the Indonesia Stock Exchange from 2013 to 2018. The motivation for this research is that there are not many studies in Indonesia. which investigated the effects of MD&A on investor decisions which are illustrated by the market reaction to stock returns and volume of trading activity (TVA). This research is a quantitative study using secondary data as a source of data collection with the population of companies registered in ISSI for the 2013-2018 period. With the purposive sampling technique, 30 companies were obtained based on the highest average daily transaction value in the regular market listed in the JII (Jakarta Islamic Index). The final data used in this study are those obtained from the Annual Report of companies listed on the Indonesian Sharia Stock Index (ISSI) and JII, the Corporate Governance Perception Index (CGPI) data from the survey results of The Indonesian Institute of Corporate Governance (IICG) for the period 2013-2018. Yahoo Finance Historical Prices list for the period 2013-2018, and SWA Magazine for the period 2013-2018. Then, hypothesis testing is carried out using multiple linear regression tests and partial non-parametric correlation. The results show that (1) there is a significant positive relationship of MD&A disclosure on stock returns and (2) there is a disclosure of a significant positive effect of MD&A on trading volume activities (TVA). This study also adds a paired sample t-test to find out the difference before and after the stock price and TVA. Keywords: Management's Discussion and Analysis (MD&A), Market Reaction, Stock Return, Trading Volume Activity.   Abstrak Penelitian ini bertujuan untuk memberikan bukti empiris dari reaksi investor terhadap pengungkapan manajemen diskusi dan analisis (MD&A) dan Trading Volume Activity (TVA) pada perusahaan yang terdaftar di Bursa Efek Indonesia pada tahun 2013 sampai dengan 2018. Motivasi penelitian ini adalah belum banyaknya studi di Indonesia yang menyelidiki efek MD&A pada keputusan investor yang diilustrasikan oleh reaksi pasar terhadap pengembalian saham dan volume aktivitas perdagangan (TVA). Penelitian ini merupakan penelitian kuantitatif dengan menggunakan data sekunder sebagai sumber pengumpulan data dengan populasi perusahaan yang terdaftar di ISSI periode 2013-2018. Dengan teknik Purposive Sampling sehingga diperoleh 30 perusahaan berdasarkan rata-rata nilai transaksi harian di pasar regular tertinggi yang terdaftar dalam JII (Jakarta Islamic Indeks). Data akhir yang digunakan dalam penelitian ini adalah yang diperoleh dari Annual Report perusahaan yang terdaftar di Indeks Saham Syariah Indonesia (ISSI) dan JII, data Corporate Governance Perception Index (CGPI) hasil survei The Indonesian Institute of Corporate Governance (IICG) periode 2013-2018, daftar Historical Prices Yahoo Finance periode 2013-2018, dan Majalah SWA periode 2013-2018. Kemudian, pengujian hipotesis dilakukan dengan menggunakan beberapa uji regresi linear dan korelasi non-parametrik parsial. Hasilnya menunjukkan bahwa (1) ada hubungan positif yang signifikan dari pengungkapan MD&A pada pengembalian saham dan (2) ada pengungkapan efek positif yang signifikan dari MD&A pada aktivitas volume perdagangan (TVA). Studi ini juga menambahkan pairedsampel t-test untuk mengetahui perbedaan sebelum dan sesudah harga saham dan TVA. Kata kunci: Management's Discussion and Analysis (MD&A), Market Reaction, Stock Return, Trading Volume Activity.

scholarly journals Market Reaction Analysis of Annual Report Award Announcement: An Event Study Using Abnormal Return, Trading Volume Activity, and Stock Price

2020 ◽  
Vol 4 (1) ◽  
pp. 340
Author(s):  
Fitri Astuti ◽  
Anggi Setya Prayoga
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Annual Report ◽  
Market Reaction ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Event Window ◽  
Before And After

This study intends to examine the differences in market reaction around the announcement of the Annual Report Award which is not only measured by abnormal return but is also measured using trading volume activity and stock prices. The data used are quantitative data in the form of a list of companies that received the Annual Report Award for the 2015-2018 period, the daily closing price of the ARA-winning company in the event window, the composite stock price index, the number of shares traded, and the number of shares outstanding. The event window is selected for 11 days because the long window period will blend with the effects of other events or confounding effects. The results of the study concluded that the market reacted around the announcement of the Annual Report Award for the 2015-2018 period measured using abnormal returns, trading volume activity, and stock prices. There is no difference in abnormal returns before and after the announcement of the 2013-2016 Annual Report Award period. Instead there are differences in trading volume activity and stock prices before and after the announcement of the Annual Report Award for the 2015-2018 period.

scholarly journals Reaksi Pasar terhadap Perpindahan Ibu Kota Negara Republik Indonesia

2020 ◽  
Vol 30 (11) ◽  
pp. 2795
Author(s):  
Dicky Wahyudi Rumaday ◽  
Maria Mediatrix Ratna Sari
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Capital City ◽  
Volume Activity ◽  
Analysis Technique ◽  
Average Abnormal Return ◽  
Before And After ◽  
Event Date ◽  
The Republic

This research is an event study that aims to determine the market reaction arising from the movement of the capital city of the Republic of Indonesia. The date chosen as the event date is April 29, 2019 when the issue first came out and August 26, 2019 when the official announcement. The samples used in this study are all companies included in the LQ45 index for the February-July 2019 and August 2019-January 2020 periods. The data analysis technique used is the different test. The results showed there were no differences in the average abnormal return before and after the issue first came out, but there were differences in the average abnormal return before and after the official announcement. There is a difference in the average trading volume activity before and after the issue first came out and when the official announcement of the move of the capital of the Republic of Indonesia. Keywords: Market Reaction; Abnormal Return; Trading Volume Activity; Capital Movement.

scholarly journals Analisis Reaksi Pasar Atas Peristiwa Pilkada Serentak Tahun 2018

2019 ◽  
pp. 1171
Author(s):  
Ni Nyoman Wahyu Suryani ◽  
Ni Ketut Rasmini
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Sampling Technique ◽  
Volume Activity ◽  
Analysis Technique ◽  
Average Abnormal Return ◽  
Before And After ◽  
Regional Elections

This study aims to determine market reaction in the event of simultaneous regional elections in 2018. This research is an event study with a period of observation for 7 days. The study was conducted on companies classified as LQ45 from February to July 2018. The population in this study was 45 companies. The method of determining the sample used is a non probability sampling method with a purposive sampling technique. The sample obtained was 37 companies. The market reaction to the 2018 simultaneous regional elections was measured using abnormal return and trading volume activity. The data analysis technique used is paired-sample t-test. The test results show that there is no difference in average abnormal return and trading volume activity before and after the events of simultaneous regional elections. This shows that simultaneous regional elections in 2018 did not cause market reaction because there was no information content on the event. Keywords: Event study, abnormal return, politics

scholarly journals Reaksi Pasar terhadap Penerapan Pembatasan Sosial Berskala Besar pada Masa Pandemi Covid-19

2021 ◽  
Vol 31 (12) ◽  
pp. 3133
Author(s):  
I Wayan Agus Purnayasa ◽  
Eka Ardhani Sisdyani
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Large Scale ◽  
Market Reaction ◽  
Sampling Technique ◽  
Rank Test ◽  
Volume Activity ◽  
Average Abnormal Return ◽  
Before And After ◽  
The Government

On April 6, 2020, the government approved the implementation of the first Large-Scale Social Restrictions (PSBB) in Indonesia in the context of accelerating the handling of the Covid-19 pandemic. This study uses this event as an event under study to observe the market reaction before and after it, with a window period of 11 days. The average abnormal return and the average trading volume activity of stocks are used as indicators of market reaction. The study was conducted on 152 trading, service and investment sector companies listed on the Indonesia Stock Exchange (IDX), which were determined using a non-probability sampling method with a purposive sampling technique. Data were analyzed by using paired sample t-test and Wilcoxon signed rank test. The results showed that there was no difference between the average abnormal return and the average trading volume activity before and after the first PSBB was approved in Indonesia. The absence of market reaction is assumed because the level of market efficiency in Indonesia is still weak. Keywords : Covid-19; Social Distancing Policy; Market Reaction; Abnormal Return; Trading Volume Activity.

scholarly journals PENGUJIAN REAKSI INVESTOR TERHADAP PENGUMUMAN KABINET INDONESIA MAJU

2020 ◽  
Vol 7 (1) ◽  
pp. 21-40
Author(s):  
Rexza Bramesta
Keyword(s):  
Stock Prices ◽  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
T Test ◽  
Volume Activity ◽  
Political Event ◽  
Paired Sample ◽  
Significant Difference ◽  
Before And After

Capital markets are relevantly influenced by political event. This research aimed to analyze the market reaction on the announcement of cabinet of Indonesia Maju on October, 23 2019. Market reaction is measured by abnormal return and trading volume activity. This study used 44 companies from LQ45 group’s stock prices as population and used event study method to identify market reaction. The window event is 11 day long (t-5 – t+5). The statistical test used to test the hypotheses is simple t-test and paired sample test. The result of the statistical calculation of simple t-test showed there are no significant abnormal return around the date of the event. It means that investors do not respond to the event of newly cabinet announcement. The result of paired sample t-test showed there are no significant difference between the average abnormal return and trading volume activity obtained by sample companies listed in LQ45 index before and after the announcement of cabinet of Indonesia Maju.

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 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.

Investor Reactions on Emitents Who Published Corporate Sukuk Listed in Indonesia Stock Exchange

2020 ◽  
Vol 2 (2) ◽  
pp. 93-103
Author(s):  
Kasman Damang ◽  
Eka Afnan Troena ◽  
Muhammad Ali ◽  
Abdul Hamid Habbe
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Exchange ◽  
Volume Activity ◽  
Average Value ◽  
Average Abnormal Return ◽  
Before And After ◽  
The Difference

This study applied an event study approach  (event study).  The event tested the announcement of Sukuk emissions and market reactions as indicated by the existence of a significant Abnormal Return on the date of Sukuk emissions and it changed within the activity of Stock Trader of the Corporation Sukuk Issuer. Observation period between 2009-2018, there was 129 Sukuk emissions in Indonesia Stock Exchange. The number of samples taken was 26 emissions of Sukuk which make emissions from 12 issuers that met the set criteria. Data were analyzed using descriptive statistical analysis, independent t-test, t-paired test, and regression analysis.  Furthermore, the data were processed using IBM SPSS for Windows Software. The results showed that there was a difference in Average Abnormal Return (AAR) before and after the announcement of Sukuk emissions. However, the average value of the difference was not statistically significant. There was a positive market reaction on Average Abnormal Return (AAR) before the announcement of Sukuk emissions. There was a positive market reaction on Average Abnormal Return (AAR) after the announcement of Sukuk emissions. There were differences in the Average Trading Volume Activity (ATVA) before and after the announcement of Sukuk emissions. However, the average value of the difference was not statistically significant. There was a significant market reaction on Average Trading Volume Activity (ATVA) before the announcement of Sukuk emissions. There was a significant market reaction of Average Trading Volume Activity (ATVA) after the announcement of Sukuk emissions. Furthermore, this study also found that Sukuk to Equity Ratio (SER) had a positive effect, but not significantly on the level of  Return on Assets (ROA), Return on Equity (ROE), and Earning per Share (EPS), but it was not significant. These insignificant effects of  SER  on the issuer's  ROA,  ROE  and  EPS were caused by the relatively small proportion of Sukuk value compared to the value of assets and company equity.

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