Reaksi Pasar atas Pengumuman Dividen: Sebuah Tinjauan Ulang

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.

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Reaksi Pasar Terhadap Peristiwa Pemilihan Presiden Indonesia 2019

E-Jurnal Akuntansi ◽

10.24843/eja.2019.v29.i03.p09 ◽

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.

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

Jurnal Ekonomi Syariah Teori dan Terapan ◽

10.20473/vol7iss20204pp734-744 ◽

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

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Investor’s Mood at ASIAN Games Event

BISNIS : Jurnal Bisnis dan Manajemen Islam ◽

10.21043/bisnis.v7i2.5797 ◽

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

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.

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Analisis Sell in May and Go Away di Bursa Efek Indonesia dan Malaysia Periode 2017-2019

Jurnal Ilmu Manajemen ◽

10.26740/jim.v9n1.p311-321 ◽

2021 ◽

Vol 9 (1) ◽

pp. 311

Author(s):

Laila Marta Zarika ◽

R.A. Sista Paramita

Keyword(s):

Hypothesis Testing ◽

Stock Price ◽

Abnormal Return ◽

Stock Exchange ◽

T Test ◽

The Other ◽

Price Movement ◽

Paired Sample ◽

Price Data ◽

The Difference

In May and Go Away (SMGA), Sell is a type of seasonal Anomaly, which historically originated in Europe and America that between May-October returns lower than the other periods from November to April. This research aims to determine the difference in abnormal return in the May-October (Worst period) period and November-April (Best period) in Indonesia and Malaysia Stock Exchange between 2017 to 2019. This test conducted using the company's stock price data samples listed on the LQ45 index in the Indonesia Stock Exchange and the FBMKLCI index in the Malaysia Stock Exchange period 2017 to 2019. Hypothesis testing using paired sample t-test to answer if there is a difference in return between the best period and the worst period, to prove the Sell's existence in May and Go Away. The results showed no difference returns between the best and worst periods in the Sell in May and Go Away phenomenon at the Indonesia and Malaysia Stock Exchange period 2017 to 2019. The Investor considers SMGA as not a phenomenon containing excellent or bad information that is capable of affecting the price movement of shares so that SMGA as a strategy to buy stocks in the best period and sell in the worst period is no longer relevant

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EFISIENSI PASAR SAHAM SYARIAH DI INDONESIA BERDASARKAN PENGUMUMAN PERUBAHAN KOMPOSISI SAHAMDI JAKARTA ISLAMIC INDEX (JII)

Jurnal Magister Akuntansi Trisakti ◽

10.25105/jmat.v2i1.4943 ◽

2015 ◽

Vol 2 (1) ◽

pp. 95

Author(s):

Mas Nur Mukmin ◽

Hermi Hermi

Keyword(s):

Market Efficiency ◽

Information Content ◽

Event Study ◽

Abnormal Return ◽

Stock Exchange ◽

Strong Form ◽

Research Use ◽

Composition Change ◽

Efficient Market ◽

Event Study Method

This research is aim to figure out the information content and market efficiency of syariah stock exchange in Indonesia based on the announcement of the change of stock composition in Jakarta Islamic Index (JII). This research is addressed to the included and excluded stocks. This research use event study method. The window event last for seven days (t-3 to t+3).The result support signalling theory. There’s no abnormal return around the window event for the included stocks. Negative abnormal return exist for the excluded stocks. The result also showed that JII is an efficient market in a semi-strong form based on the announcement of the JII stock composition change.

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Pengaruh Penerbitan Obligasi Syariah Terhadap Return Saham (Studi Kasus Pada Perusahaan Yang Menerbitkan Obligasi Syariah dan Terdaftar Pada Bursa Efek Indonesia (BEI)

Jurnal Bisnis, Manajemen, dan Ekonomi ◽

10.47747/jbme.v1i2.13 ◽

2020 ◽

Vol 1 (2) ◽

pp. 1-10

Author(s):

Mutia Dwiana

Keyword(s):

Stock Returns ◽

Event Study ◽

Abnormal Return ◽

Sampling Technique ◽

Observation Time ◽

T Test ◽

Average Abnormal Return ◽

Significant Difference ◽

Event Study Method ◽

Before And After

This type of research is quantitative, this research is conducted on companies that issue Islamic bonds and are listed at the Bursa Efek Indonesia (BEI). The method used is the event study method to show whether there is an effect of the issuance of Islamic bonds on stock returns in the event period of the issuance of Islamic bonds (sukuk), with a length of observation time of 15 days before and 15 days after the issuance event. The population used is companies that issue Islamic bonds that are still circulating as of February 2020. The sample was determined by purposive sampling technique and a sample of 15 incidents of Islamic bond issuance was obtained from 8 companies. Then the data is processed using t-test and paried sample t-test. The results showed that there was a significant Average Abnormal Return around the Islamic bond issuance period, which means that the issuance of Islamic bonds (sukuk) had an effect on stock returns. And there is also a significant difference in stock returns between before and after the issuance of Islamic bonds.

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Indonesia stock exchange: Abnormal return amid pandemic

Jurnal Inovasi Ekonomi ◽

10.22219/jiko.v6i01.16056 ◽

2021 ◽

Vol 6 (01) ◽

pp. 15-20

Author(s):

Gunistiyo Gunistiyo ◽

Jaka Waskito ◽

Yuni Utami

Keyword(s):

Abnormal Return ◽

Time Window ◽

Stock Exchange ◽

Abnormal Returns ◽

Investment Decisions ◽

The Other ◽

Market Reactions ◽

First Case ◽

Significant Difference ◽

Before And After

This study aims to reveal the behavior of investors on the Indonesia Stock Exchange (IDX) before and during (early) the COVID-19 pandemic. This study is an extension of references to understand market reactions in response to future crises. This study is an event study with a time window of 76 trading days before and after the first case was officially announced by the authorities in Indonesia. Taking a sample of stocks included in the Liquid Index (LQ) 45, this study measures the abnormal return and transaction volume during the pre and post-first official announced cases and test the whole data by t-test. The results of data analysis indicate that there is no difference in abnormal returns, but there is a significant difference in transaction volume. These findings indicate that, in general, the Indonesian market is quite efficient, as evident from the absence of different abnormal returns. On the other hand, the market also appears to be cautious in making investment decisions amid uncertainty.

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Dampak Devaluasi Yuan Pada 11 Agustus 2015 Terhadap Abnormal Return Dan Abnormal Trading Volume Activity Saham Yang Tercatat Di Jakarta Islamic Index JII)

Jurnal Ekonomi Syariah Teori dan Terapan ◽

10.20473/vol3iss20162pp127-143 ◽

2017 ◽

Vol 3 (2) ◽

pp. 127

Author(s):

Windiya Saputri ◽

Leo Herlambang

Keyword(s):

Event Study ◽

Capital Market ◽

Abnormal Return ◽

Trading Volume ◽

T Test ◽

Volume Activity ◽

Paired Sample ◽

Study Results ◽

Event Study Method ◽

Abnormal Trading Volume

Government-related announcement is one of the determinants that potentially affect capital market. This research aims to see the reaction of stock market to Yuan Devaluation on August, 11 2015. The market reaction in this study is indicated by the presence of abnormal retun and abnormal trading volume activty. The approach taken in this research is the quantitative approach with event study method by using one sample t-test and paired sample t-test analysist. The variables in this research are Yuan Devaluation, AAR, and AATVA. The issuers observed in this research are stock listed on JII during the period of study. Results showed that stock listed on JII reacted to Yuan Devaluation, that is showed by significant results both in the AAR and AATVA, which means Yuan Devaluation bears valuable information for investor.

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EFEK PENGUMUMAN KEBIJAKAN DIVIDEN TERHADAP RETURN SAHAM YANG TERGOLONG JAKARTA ISLAMIC INDEXS

EKUITAS (Jurnal Ekonomi dan Keuangan) ◽

10.24034/j25485024.y2009.v13.i4.2177 ◽

2009 ◽

Vol 13 (4) ◽

pp. 526

Author(s):

Endri Endri

Keyword(s):

Stock Price ◽

Abnormal Return ◽

Signaling Theory ◽

Share Price ◽

Final Conclusion ◽

Dividend Payment ◽

Dividend Signaling ◽

Event Study Method ◽

Dividend Announcements ◽

Event Date

This research aims to test dividend signaling theory in the Jakarta Islamic Index groups. Signaling theory states that dividend policy has information content that can influence to share price. This research usesamples in the form of company allocating dividend for period 2006-2007 which listed on Jakarta Islamic Index. Final samples which are utilized in this research are equal to 12 firms observation. Using the event-study method, the result of our research shows that at the significant level of 5%, there is only one working days which yield the abnormal return that is significant at the dividend announcements. Those are the sixth day before the event date with the value of 0.00889 or around 0.9%. The final conclusion is that stock price will negatively reacted to the announcement of dividend. Overall, the evidence tends to support the dividend irrelevancy hypothesis, but does not provide a support for the signaling theory. Evidence also indicates that dividend payment does not signal any information to the investors, which needs to be further investigated.

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The Effect of Put Option Issuing on Risk Adjusted Return

Review of European Studies ◽

10.5539/res.v8n4p11 ◽

2016 ◽

Vol 8 (4) ◽

pp. 11

Author(s):

Seyed Jalal Sadeqi Sharif ◽

Ebrahim Joshan ◽

Marjan Orouji

Keyword(s):

Event Study ◽

Capital Market ◽

Abnormal Return ◽

Stock Exchange ◽

Significant Relation ◽

Stock Liquidity ◽

Company Stock ◽

Put Option ◽

Event Study Method ◽

Option Volume

This research investigates the relation between put option issuing and risk adjusted return in Iran capital market for the period 2002-2016. Because data were not available before 2002, data from the period 2002 to 2016 were studied. All data gathered from Tehran Stock Exchange database the sample include 36 issuing events. The Event Study method was implied for 5 days. The empirical result shows that there is a significant relation between issuing options and abnormal return for the company stock, furthermore there is an approved relation between that abnormal return and stock liquidity, but the relation between option volume and that rerun was not approved.

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