The Reaction Of The Indonesian Capital Market When Indonesia Experiences Recession In 2020 

Academia Open ◽  
2021 ◽  
Vol 5 ◽  
Author(s):  
Rony Yulian Putra Santoso ◽  
Heri Widodo
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Trading Volume ◽  
Quantitative Research ◽  
Sampling Technique ◽  
Rank Test ◽  
Research Approach ◽  
Volume Activity ◽  
Security Return ◽  
Before And After

This study aims to explain whether or not there is evidence of differences in abnormal return, trading volume activity, and security return variability of companies listed in the LQ45 index on the IDX before and after the November 2020 recession announcement. This study uses quantitative research approach. The LQ45 index is the research population used in this study. Meanwhile, to determine the research sample in this study using purposive sampling technique. The Wilcoxon Signed Rank Test is a data analysis technique used. Based on the results of the research, the abnormal return indicator gives a change with sig. 0.012. Trading volume activity changes with sig. 0.000. Security return variability provides changes with the value of sig. 0.026. So it can be concluded that in the event of an announcement of a recession there is a capital market reaction to companies listed in the LQ45 index.

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

Academia Open ◽  
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.

scholarly journals Analisis Komparatif Abnormal Return dan Trading Volume Activity Emiten Sektor Mining Berdasarkan Pengumuman Kasus Pasien Covid-19 Pertama di Indonesia

2021 ◽  
Vol 9 (3) ◽  
pp. 979-989
Author(s):  
Lailatul Akhadiyah ◽  
Yuyun Isbanah
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Quantitative Research ◽  
Comparative Method ◽  
Sampling Technique ◽  
Rank Test ◽  
Volume Activity ◽  
First Case ◽  
Before And After ◽  
Long Time

On March 2nd 2020, the first case of Covid-19 was found in Indonesia. The purpose of this research is to analyze the reaction of the Indonesian capital market to the first case of Covid-19 using average abnormal return (AAR), cumulative abnormal return (CAR), and trading volume activity (TVA) before and after the event. The observation began seven days before and seven days after that event. The population of this research uses the data of mining sector companies listed in February and March 2020 on the BEI. The sampling technique used is purposive sampling with a total of 41 mining companies. This study uses quantitative research and the comparative method the research testing by Wilcoxon Signes Rank Test. The result showed no differences in AAR, CAR, and TVA of mining sectors between before and after the announcement of the first cases of Covid-19. Investors are expected to be more careful in making investment decisions because this pandemic has occurred for a long time and around the world.

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 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 Reaksi Pasar Terhadap Kenaikan Bank Indonesia 7-Day Reverse Repo Rate Tanggal 15 Agustus 2018

2019 ◽  
pp. 2066
Author(s):  
I Kadek Rian Mahendra ◽  
Ni Ketut Rasmini
Keyword(s):  
Information Content ◽  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Sampling Technique ◽  
Rank Test ◽  
Volume Activity ◽  
Paired Samples ◽  
Before And After ◽  
Repo Rate

This study aims to examine the information content by explaining at the market reaction to the announcement of the 7-Day Reverse Repo Rate BI increase on August 15 2018 as measured by the abnormal return and trading volume activity. This research is an event study with an observation period of 7 exchange workdays, namely three days before (t-3), event date (t0), and three days after the event (t + 3). The sample is a company incorporated in the LQ45 Index for the period of August 2018 to January 2019. The method of determining the sample is a purposive sampling technique. The data analysis technique uses paired samples t-test and Wilcoxon signed rank test. The results showed a difference in average abnormal return and average trading volume activity before and after a 7-Day Reverse Repo Rate BI increase on August 15, 2018. This indicates that the event has information content. Keywords: Event study, abnormal return, trading volume activity

scholarly journals Study of Comparison of Stock Performance Before And After Doing Split Stock In Go Public Companies That Are Listing on The Idx Period 2013 – 2015

2019 ◽  
Vol 2 (1) ◽  
pp. 1-17
Author(s):  
R.A. Norromadani Yuniati ◽  
Latof Syeikhur Rabbani ◽  
Mirza Safitri Agatha Putri
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Rank Test ◽  
Volume Activity ◽  
Security Return ◽  
Significant Difference ◽  
Stock Split ◽  
Before And After ◽  
The Difference

This study aims to determine the difference in abnormal return, trading volume activity, and security return variability before and after the stock split announcement on companies listed on the Indonesia Stock Exchange for the period 2013 - 2015. Testing the information content will be done by looking at differences in average abnormal return, average security return variability and average trading volume activity five days before and five days after the announcement of the stock split. The data analysis method that will be used is descriptive statistical analysis and different tests before and after the stock split announcement using the Wilcoxon signed rank test. The results of this study indicate that there are significant abnormal return differences before and after the stock split announcement, there is no significant difference in trading volume activity before and after the stock split announcement, and there is no significant difference in security return variability before and after the stock split announcement.

scholarly journals THE REACTION OF CAPITAL MARKETS IN INDONESIA, SINGAPORE, MALAYSIA, AND THAILAND TOWARDS THE ANNOUNCEMENT OF LOCKDOWN POLICY DURING THE BEGINNING OF THE COVID-19

2021 ◽  
Vol 2 (2) ◽  
pp. 109-132
Author(s):  
Lailatul Fauziah ◽  
Lintang Venusita
Keyword(s):  
Capital Markets ◽  
Capital Market ◽  
Abnormal Return ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Sampling Technique ◽  
Sample Collection ◽  
Volume Activity ◽  
Before And After

This study aims to examine the stock market’s reaction to the announcement of the implementation of the COVID-19 lockdown policy, examining the differences in abnormal return, and the total volume activity in company shares in Indonesia, Singapore, and Malaysia in responding before and after the announcement of the lockdown policy in the countries. This study uses the even study method and is based on secondary data from news portals and websites. The population and sample used in this study are companies listed in the index with the largest capitalization in each country, including LQ45 in Indonesia, STI in Singapore, FBM KCLI in Malaysia, and SET50 in Thailand. The sample collection technique is based on purposive sampling technique. The research variables are the COVID-19 lockdown policy announcement, abnormal return, trading volume activity (TVA) in the form of trading volume in the companies as the sample group. The results show that the announcement of COVID-19 lockdown policy did not significantly influence the reaction of the capital market but was still used as a basis to make investments decision. The announcement of the COVID-19 lockdown, both before and after the announcement, did not have a significant effect on abnormal returns and trading volume activity in Indonesia, Singapore, Malaysia, and Thailand capital markets.

scholarly journals REAKSI PASAR TERHADAP PENGUMUMAN CASH DIVIDEND PADA PERUSAHAAN YANG TERGABUNG DALAM INDEKS KOMPAS 100

2020 ◽  
Vol 9 (3) ◽  
pp. 988
Author(s):  
I Putu Agus Ary Raditya Juliana ◽  
Ica Rika Candraningrat
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Participant Observation ◽  
Abnormal Returns ◽  
Public Information ◽  
Rank Test ◽  
Cash Dividend ◽  
Volume Activity ◽  
Before And After

The purpose of this study is to determine the market reaction to the announcement of cash dividends, by looking at differences in abnormal return and trading volume activity before and after the cash dividend announcement. Dividend announcement is an event that affects the market, because the company provides information to the public. Information provided by the company will influence investors' decision making and will act on that information. The sample of this study amounted to 33 of the 100 companies incorporated in the Kompas 100 index on the Indonesia Stock Exchange (IDX). The data collection method uses non-participant observation, which is document observation. The analysis technique used is Paired-Sample T Test and Wilcoxon-Signed Rank Test. The results showed that there were no differences in abnormal returns and trading volume activity before and after the distribution of cash dividends. Keywords: cash dividend, abnormal return, trading volume activity

scholarly journals PEMILU SERENTAK DALAM KAITANNYA TERHADAP REAKSI PASAR MODAL DI INDONESIA

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

scholarly journals 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

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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