INDONESIAN CAPITAL MARKET REACTION TO COVID-19 AS A GLOBAL PANDEMIC

This study aims to obtain empirical evidence of the absence of an average abnormal return, average volume trading activity, and bid-ask spread of stocks in the period around the event of the COVID-19 announcement as a global pandemic. The statement of the COVID-19 as the global pandemic of the World Health Organization (WHO) made the Indonesian capital market touch the lowest point at the level of 4,929.56. This study used the event study with the windows period for 11 days, which was five days before the announcement, the day of the announcement, and five days after the announcement. This type of research was a quantitative research using secondary data of the stock daily data obtained from the official website of the Indonesia Stock Exchange at www.idx.co.id and also some other sites that support such as Yahoo Finance. Sampling techniques used were purposive sampling and as many as 44 companies that meet data completeness criteria. The data analysis technique used was a non-parametric t-test using the Wilcoxon Signed-Rank test. The results of this study show that there is a difference in Average Abnormal Return in the period t-5 & t+5, t-4 & t+4, t-2 & t+2, and t-1 & t+1. The Average Trading Volume Activity indicates there is no significant difference in all periods of observation between before and after the announcement. Meanwhile, the Bid-Ask Spread shows a significant difference before and after the announcement in all periods for 11 days of observation.

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Indonesian Capital Market Reaction To The Announcement Of A Recession Due To The Pandemic Covid-19

Academia Open ◽

10.21070/acopen.5.2021.2136 ◽

2021 ◽

Vol 5 ◽

Author(s):

Vani Aryani ◽

Nurasik

Keyword(s):

Capital Market ◽

Abnormal Return ◽

Trading Volume ◽

Rank Test ◽

Volume Activity ◽

The Third ◽

Security Return ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After

On November 5, 2020, Indonesia was declared a recession after the Central Statistics Agency announced that the Indonesian economy experienced a decline in the third quarter of 2020. The Indonesian economy experienced a decline in the third quarter of 2020, which was minus 3.49 percent. In the second quarter of 2020, the Indonesian economy was already minus 5.32 percent. The announcement of the recession event gave rise to various perceptions for capital market participants. So the purpose of this study is to find out and compare the differences in the average Abnormal Return, Trading Volume Activity, and Security Return Variability of IDX 30 issuers before and after the announcement of the recession due to the COVID-19 pandemic. The research method used is quantitative research with an event study approach. The type of data in this study is secondary data with data collection techniques using the documentation method. The sample used is IDX30 stock issuers on the Indonesia Stock Exchange for the period August 2020 - January 2021. The data analysis technique in this study is descriptive statistical analysis, paired t-test and Wilcoxon signed rank test. The results of this study indicate that: (1) there is a significant difference in the average abnormal return of IDX 30 issuers before and after the announcement of the recession due to the covid-19 pandemic. (2) there is a significant difference in the average Trading Volume Activity of IDX 30 issuers before and after the announcement of the recession due to the covid-19 pandemic. (3) there is no significant difference in the average Security Return Variability of IDX 30 issuers before and after the announcement of the recession due to the covid-19 pandemic.

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

Jurnal Bina Akuntansi ◽

10.52859/jba.v8i2.174 ◽

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

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PEMILU SERENTAK DALAM KAITANNYA TERHADAP REAKSI PASAR MODAL DI INDONESIA

Jurnal Akuntansi dan Keuangan ◽

10.23960/jak.v25i1.240 ◽

2020 ◽

Vol 25 (1) ◽

pp. 54-64

Author(s):

Niken Kusumawardani

Keyword(s):

Capital Market ◽

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Volume Activity ◽

Political Event ◽

The Public ◽

Significant Difference ◽

Before And After ◽

Index Stock

This study aims to determine the effect of simultaneous elections in Indonesia, namely legislative and executive elections that occur simultaneously together with the reaction in the capital market. Market reaction is measured using trading volume activity and returns stock that occur within the timeframe before and after the holding of simultaneous elections, namely on the date before and after April 17, 2019. The population in this study is the issuer that actively trades its shares on the Indonesia Stock Exchange (IDX) in Compass100 Index stock category. The research hypothesis was tested with an independent sample t-test using software SPPS26. Hypothesis testing results indicate a significant difference in trading volume activity that occurs before and after simultaneous elections. While the variable abnormal return there is no significant difference before and after the election simultaneously. This research is expected to be a reference for all parties concerned including the public towards a political event that occurs in this case specifically the simultaneous elections for decision making related to investment activities in stock instruments

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ANALISIS PERBEDAAAN AVERAGE ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SEBELUM DAN SESUDAH PERISTIWA DIVIDEN TUNAI PADA PERUSAHAAN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX (JII) PERIODE 2014 – 2017

Jurnal Ekonomi Syariah Teori dan Terapan ◽

10.20473/vol6iss201912pp2512-2526 ◽

2020 ◽

Vol 6 (12) ◽

pp. 2512

Author(s):

Azyyati Yusrina ◽

Puji Sucia Sukmaningrum

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Rank Test ◽

Volume Activity ◽

Wilcoxon Sign Rank Test ◽

Average Abnormal Return ◽

Before And After ◽

Wilcoxon Sign Rank ◽

Sign Rank Test ◽

Observation Period

This study aims to find out and explain the market reaction caused by the corporate action announcement in the form of dividend cash made by issuers registered in the Jakarta Islamic Index for the period of 2014 to 2017. The object of research is issuers who carry out activities on the announcement of Cash Devidend in the period of observation that are registered in the Jakarta Islamist Index which has been determined based on certain criteria (purposive sampling). There are 17 issuers with a total of 91 being the research sample. The observation period consists of 60 days estimated period, 10 days before the cume date and 10 days after the cume date. The focus of the research is to see the reaction shown by changes in Average Abnormal Return and Trading Volume Activity by using paired sample t-test for trading volume activity variables and Wilcoxon sign-rank test for abnormal return variables. Processing data using Stata ver statistical tools 14 by setting a significant level of 5%. The results showed that there were significant differences in Average Abnormal Return before and after the announcement and there were no differences in the Trading Volume Activity before and after the announcement.Keywords: event study, cash deviden, Average Abnormal Return, Trading Volume Activity

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

E-Jurnal Akuntansi ◽

10.24843/eja.2021.v31.i12.p08 ◽

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.

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REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA BENCANA ALAM TSUNAMI DI ACEH TANGGAL 26 DESEMBER 2004

Majalah Ilmiah DIAN ILMU ◽

10.37849/midi.v13i2.38 ◽

2018 ◽

Vol 13 (2) ◽

Author(s):

Nungky Viana Feranita

Keyword(s):

Natural Disaster ◽

Capital Market ◽

Stock Prices ◽

Abnormal Return ◽

Trading Volume ◽

Economic Environment ◽

Volume Activity ◽

Average Abnormal Return ◽

Before And After ◽

Disaster Event

As one of an instrument of economy, capital market can not be separated from influence that amend in its environment, either occur in macro economic, micro economic or non-economic environment. This research is one of the event study which examined in how the reaction of Indonesian capital market toward event that occur in an non-economic environment which is tsunami natural disaster in Aceh, December 26th, 2004.The purpose of this research is to examine stock prices reaction and trading volume activities in Jakarta Stock Exchange (JSX) toward tsunami natural disaster event in Aceh, also to examine whether there are any differences in average abnormal return and average trading volume activity before and after tsunami natural disaster event in Aceh. The samples are generated from stocks that have the biggest market capitalization in JSX which are often listed in LQ45 in period August, 2003 until January, 2008.The result of test using SPSS with 95% confidence level shows that JSX was not responded toward tsunami natural disaster event in Aceh. This is shown by no abnormal return during event period, no difference of average abnormal return before and after event, and no difference of average trading volume activity before and after tsunami natural disaster event in Aceh.

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Pengaruh Employee Stock Ownership Program Terhadap Average Abnormal Return Perusahaan Perbankan

Jurnal Ilmu Sosial, Manajemen, Akuntansi dan Bisnis ◽

10.47747/jismab.v1i1.9 ◽

2020 ◽

Vol 1 (1) ◽

pp. 47-55

Author(s):

Agung Suprayogi ◽

Abdul Basyith

Keyword(s):

Stock Price ◽

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Abnormal Returns ◽

Stock Ownership ◽

Employee Stock Ownership ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After

This research was conducted to see the effect of the implementation of the Employee Stock Ownership Program on average abnormal returns of banking companies before and after applying ESOP and trading volume. The aim is to find out the difference in average abnormal return before and after applying the ESOP. The variable used in this study is average abnormal return. The period of this research event is 20 days, 10 days, 5 days and 1 day which are divided before and days after the date of application. This study examines banking companies that apply the Employee Stock Ownership Program listed on the Indonesia Stock Exchange so that data is obtained from trading in the company's stock price. The sampling criteria used a purposive sampling method in order to obtain 9 samples. The hypothesis method used in the normally distributed data is Paired Samples T-test. The result is that all average abnormal return periods both on the first and the last date of the ESOP application have a significant value >0.05, which means that the entire event period of the variable is proven to have no significant difference both before and after the banking company applies the Employee Stock Ownership Program.

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ANALISIS DAMPAK DEVALUASI MATA UANG YUAN CHINA TERHADAP HARGA SAHAM PERUSAHAAN PERBANKAN YANG LISTING DI BURSA EFEK INDONESIA

Adbis: Jurnal Administrasi dan Bisnis ◽

10.33795/j-adbis.v11i1.15 ◽

2017 ◽

Vol 11 (1) ◽

pp. 37

Author(s):

Amir Kusnanto

Keyword(s):

Stock Prices ◽

Abnormal Return ◽

Global Economy ◽

Trading Volume ◽

Paired Sample ◽

Currency Exchange ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After ◽

Sample Test

Devaluation Yuan affect the global economy, this can be seen with the decline in currency exchange rates and falling stock prices in many countries. Based on this background, the authors do research event study. The selected time period is 11 days of exchange as the event period separated to 5 days before the event day (11 August 2015 as event day) and 5 days after the event day. The results showed that (1) by calculating the average abnormal return (AAR) is known to have a positive abnormal return during the event period; (2) different test results with paired sample test there is no significant difference of average abnormal return between before and after devaluation of Chinese Yuan currency; And (3) with different test using paired sample test there is no significant difference of average trading volume activity between before and after devaluation of Yuan Chinese currency.

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Analisis Perbandingan Trading Volume Activity, Bid-Ask Spread dan Abnormal Return Sebelum dan Sesudah Adanya Pengumuman Stock Split pada Perusahaan yang Terdaftar di Bursa Efek Indonesia Periode Januari 2015-Oktober 2018

Telaah Bisnis ◽

10.35917/tb.v19i2.172 ◽

2020 ◽

Vol 19 (2) ◽

pp. 95

Author(s):

Anis Zakiyah ◽

Hari Nurweni

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Abnormal Returns ◽

Rank Test ◽

Volume Activity ◽

Bid Ask Spread ◽

Stock Split ◽

Before And After ◽

Signed Rank Test

This study aims to analyze the differences in trading volume activity, bid-ask spread, and abnormal returns before and after the announcement of a stock split in companies listed on the Indonesia Stock Exchange from January 2015 to October 2018. A sample of 39 companies announced a stock split during the period are selected based on certain criteria. The Wilcoxon Signed Rank test is used to analyze the differences in trading volume activity, bid-ask spread, and abnormal returns, five days before and after the announcement. The use of nonparametric statistical analysis was carried out because the data were not normally distributed. The results show that there is no difference in trading volume activity around the announcement of the stock split. On the other hand, the bid-ask spread and abnormal return are statistically different around the announcement of the stock split.

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Abnormal Return and Trading Volume Activity Before and After Presidential Election 2019 ( Study on LQ-45 stock on February-July 2019)

Media Ekonomi dan Manajemen ◽

10.24856/mem.v34i2.1064 ◽

2019 ◽

Vol 34 (2) ◽

Author(s):

C H Asta Nugraha ◽

Suroto Suroto

Keyword(s):

Capital Market ◽

Presidential Election ◽

Abnormal Return ◽

Trading Volume ◽

Composite Index ◽

T Test ◽

Volume Activity ◽

Paired Samples ◽

Significant Difference ◽

Before And After

This study aims to find out the empirical evidence of Indonesia capital market investors’ reaction toward presidential election 2019. The population in this study is the companies’ stocks which are included in the LQ-45 index during this study. The data used is secondary data in the form of LQ-45 stocks and daily Composite index three days before and three days after the event. By implementing the one sample t-test and paired samples t-test, the result shows that there is a positive and significant abnormal return around the event especially on the third day (t+3) after the event. Moreover, there is an insignificant difference in the average of negative abnormal return and significant difference on the average of negative trading volume activity, before and after the presidential election 2019.Keywords: Capital Market, Event Study, Abnormal Return, Trading Volume Activity, Investors’ ReactionsPenelitian ini bertujuan untuk menemukan bukti empiris reaksi investor pasar modal Indonesia terhadap peristiwa pemilihan presiden 2019. Populasi penelitian ini adalah saham-saham perusahaan yang konsisten tergabung dalam indeks LQ-45 selama periode penelitian. Data yang digunakan adalah data sekunder berupa harga saham LQ-45 dan IHSG harian tiga hari sebelum dan tiga hari setelah peristiwa. Uji statistik yang digunakan untuk menguji hipotesis adalah one sample t-test dan paired samples t-test. Hasil yang diperoleh menunjukkan terdapat abnormal return positif dan signifikan di sekitar peristiwa terutama pada hari ke-3 (t+3) setelah peristiwa. Selain itu, terdapat perbedaan rata-rata abnormal retrun negatif tidak signifikan dan terdapat perbedaan rata-rata trading volume activity negatif yang signifikan antara sebelum dan setelah peristiwa pemilihan presiden 2019. Kata Kunci: Pasar Modal, Studi Peristiwa, Abnormal Return, Trading Volume Activity, Reaksi Investor

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