scholarly journals The effect of enforcement intensity on illegal insider trading volume: the case of Taiwan

2016 ◽  
Vol 13 (2) ◽  
pp. 141-148
Author(s):  
Han-Ching Huang ◽  
Jung-Tzu Chang
Keyword(s):  
Insider Trading ◽  
Abnormal Return ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Cumulative Abnormal Return ◽  
Critical Factors ◽  
Cumulative Abnormal Returns

In this paper, the authors examine the illegal insider trading volume and cumulative abnormal return by the relative variables of the amendment, the change of the securities price, the number of defendants, the penalty and the fine for insider who committed a crime, and the quality of concealed important information. Illegal insider trading is prohibited by the article 157-1 of Securities and Exchange Act in Taiwan. It has been amended three times to provide a sound and rigorous law and completely protect investors. The authors examine the illegal insider trading volume after the amendment to explore whether the Securities and Exchange Act is efficient enough to lower illegal insider trading. The authors find that the change of the securities price and the quality of concealed important information are the critical factors which affect the illegal insider trading volume and cumulative abnormal returns. Nevertheless, the relative variables of the amendment do not show significant effects

Reaksi Pasar Modal terhadap Peritiwa Pengeboman Gereja di Surabaya

2020 ◽  
Vol 1 (1) ◽  
Author(s):  
Cindy Agustina ◽  
Hadi Sumarsono ◽  
Edi Santoso
Keyword(s):  
Consumer Goods ◽  
Abnormal Return ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Cumulative Abnormal Return ◽  
Manufacturing Companies ◽  
Volume Activity ◽  
Industry Sector ◽  
Significant Difference ◽  
The Church

This study aims to examine the extent of the capital market reaction in the form of cumulative abnormal returns and cumulative trading volume activity from the bombing of the Church in Surabaya 13 May 2018 both in 3 Manufacturing Sectors and as a whole Manufacturing Companies. This study involved 97 Manufacturing companies listed on the IDX. The results showed that there was a significant difference between cumulative abnormal return 2 days before and 2 days after the bombing of the Church in Surabaya May 13, 2018 in the Miscellaneous Industry Sector and Basic and Chemical Industries, while the Consumer Goods Sector there was no significant cumulative abnormal return difference. The results also showed that there was a significant difference between cumulative trading volume activity 2 days before and 2 days after the bombing of the Church in Surabaya May 13, 2018 in the Consumer Goods Sector and the Basic and Chemical Industry Sector, while in the Various Industry Sector there was no difference in cumulative trading significant volume of activity. Meanwhile, the overall Manufacturing Company results showed that there was a significant difference between cumulative abnormal return and cumulative trading volume activity 2 days before and 2 days after the bombing of the Church in Surabaya 13 May 2018.

scholarly journals FAKTOR-FAKTOR YANG MEMPENGARUHI KEPATUHAN KEPADA KETENTUAN PENGUNGKAPAN WAJIB OLEH PERUSAHAAN ­ PERUSAHAAN PUBLIK DAN IMPLIKASINYA TERHADAP KEPERCAYAAN INVESTOR DI PASAR MODAL

2017 ◽  
Vol 8 (1) ◽  
pp. 1
Author(s):  
Bambang Subroto
Keyword(s):  
Capital Structure ◽  
Trading Volume ◽  
Annual Report ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Mandatory Disclosure ◽  
Cumulative Abnormal Returns ◽  
Publicly Owned ◽  
The Difference

The objective of this research is to evaluate the compliance of publicly owned firms listed in Indonesian capital market for mandatory disclosure required in annual report, and to examine the difference in the compliance betweenfirms audited by auditingfirms that are difference in their quality. Another objective of this research is to examine the effect of firms 'capital structure. pro.fit .ability, and size on the complaince.  The final  objective of this  research  is  to  examine  the  effect  on  investors '  reliance  of  complaince  with mandatory disclosures  of auditing firms'  quality,  of firms ' capital structure,  of firms' profitability, and offirms ' size. This research uses manufacturing firms listed in the Jakart 1 Stock Exchange for the two accounting periods 1999 and 2000. The number of sample used in this study is 224firms' annual report. Results of this research show that average of disclosure index is 92,65%. This research also documents that disclosure index of publicly owned firms audited by big auditing firms, is higher than that audited by small auditing firms. Results of hypotheses tests show that auditing firms' quality and firms' size positively affect compliance with mandatory disclosure, and investors ' reliance proxied by cumulative abnormal returns is positiv ely affected by firms' size. Result of analysis shows that auditing firms' quality positiv ely affects investors' reliance, which is proxied by cumulative abnormal trading volume.

scholarly journals Analisis Kinerja Saham LQ-45 Pada PILKADA DKI Jakarta Putaran II 2017

2019 ◽  
Vol 12 (2) ◽  
pp. 87-96
Author(s):  
Moh. Zaki Kurniawan
Keyword(s):  
Abnormal Return ◽  
Stock Return ◽  
Abnormal Returns ◽  
T Test ◽  
Cumulative Abnormal Return ◽  
Test Results ◽  
Paired Sample ◽  
Cumulative Abnormal Returns ◽  
Before And After ◽  
Research Period

The purpose of this study is to see the differences in the performance of LQ-45 shares before and after the Jakarta Election in the second round of 2017 through returns, abnormal returns, and cumulative abnormal returns on the Indonesia Stock Exchange.This study uses purposive sampling in the LQ 45 index. This type of research is an event study. The research period for 20 days: 10 days before and 10 days after event. Hypothesis testing uses paired sample t-test. Paired sample t-test test results showed the stock return did not differ before and after the period. The results of paired sample t-test abnormal return and cumulative abnormal return before and after the election were found to be no difference.

scholarly journals THE INDEX EFFECT ON THE POLISH EQUITY MARKET BASED ON THE EXAMPLE OF THE WIG20 INDEX

2015 ◽  
Vol 1 (310) ◽  
Author(s):  
Tomasz Miziołek
Keyword(s):  
Stock Market ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
Equity Market ◽  
Cumulative Abnormal Return ◽  
Foreign Markets ◽  
Cumulative Abnormal Returns ◽  
Index Effect

The aim of this article is to examine, on the example of companies whose shares are to be included into the WIG20 index portfolio, whether the index effect occurs on the Polish stock market. Based on the study event conducted in 2010–2014 (first quarter) it was demonstrated that abnormal positive returns of new index participants occurred mainly before the announcement of the information about the new index composition. Cumulative abnormal returns were observed for 9 out of 11 analysed companies and the average cumulative abnormal return amounted to 3.38%. This means that on the Polish stock market, like on the foreign markets examined earlier, there is an anomaly in the form of the index effect.

scholarly journals THE INTRA-INDUSTRY SPILLOVERS OF INDONESIAN RIGHT OFFERINGS

2019 ◽  
Vol 9 (1) ◽  
pp. 190
Author(s):  
Abdur Rafik ◽  
Embun Arafah
Keyword(s):  
Abnormal Return ◽  
Stock Exchange ◽  
Spillover Effect ◽  
Abnormal Returns ◽  
Sampling Technique ◽  
Cumulative Abnormal Return ◽  
Cumulative Abnormal Returns ◽  
Study Methodology ◽  
The Right ◽  
Event Study Methodology

This study aims to examine the spillover effect of right offerings to the industry on the Indonesian Stock Exchange in the period 2009-2016. This study is designed using event study methodology. In total, there are 96 issuing companies (issuers) and 1205 non-issuing companies (non-issuers) used as the sample which was obtained using a purposive sampling technique. The test for information content on the right issues was conducted using standard t-test on the average cumulative abnormal return of issuers and non-issuers in the period t-10 to t+10 around the issuance. The research found positive abnormal returns for issuers in t0 to t+4 but did not confirm the spillover effect to non-issuers over the observed (window) periods. The average cumulative abnormal returns are randomly distributed during the window period. These results confirm the absence of intraindustry effect of right issues on the non-issuers’ performance

scholarly journals Analisis Reaksi Pasar Terhadap Pengumuman Merger dan Akuisisi Pada Perusahaan Akuisitor yang Terdaftar di BEI

2018 ◽  
pp. 1870
Author(s):  
Ika Putri Adnyani ◽  
Gayatri Gayatri
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Sampling Method ◽  
Stock Exchange ◽  
Cumulative Abnormal Return ◽  
Test Results ◽  
Volume Activity ◽  
Paired Sample ◽  
Analysis Technique ◽  
Before And After

This research is conducted on all acquisition companies that conduct acquisitions listed on Indonesia Stock Exchange 2011-2016 period. Sampling method using purposive sampling. The number of samples of this research is 50 companies. The market reaction in this study used abnormal return and trading volume activity. The testing of information content will be done by looking at differences in cumulative abnormal return and the average trading volume of shares five days before and five days after the announcement of the acquisition. Data analysis technique used is paired sample t-test. Based on the test results, found there are significant differences in the abnormal return of the acquirer company before and after the announcement of the acquisition. However, there is no difference in trading volume activity of the acquirer's stock before and after the acquisition announcement   Keywords: acquisitions, stock market, abnormal return, trading volume activity

IMMEDIATE AND LONGER-TERM STOCK PRICE DYNAMICS FOLLOWING LARGE STOCK PRICE CHANGES

2020 ◽  
Vol 15 (01) ◽  
pp. 2050002
Author(s):  
ANDREY KUDRYAVTSEV
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Market Model ◽  
Conditional Volatility ◽  
Short Term ◽  
Price Increases ◽  
Cumulative Abnormal Returns ◽  
Price Reversal

The study explores the correlation between the immediate and the longer-term stock returns following large daily price moves. Following the previous literature, which documents a tendency for price reversals after initial large price moves, I suggest that if a large stock price move is immediately followed by a short-term price drift, then it may indicate that the company-specific shock is more completely incorporated in the stock price, significantly increasing the probability of subsequent longer-term price reversal. Analyzing a vast sample of large stock price moves, I document that negative (positive) longer-term stock price reversals after large price increases (decreases) are significantly more pronounced if the latter are immediately followed by relatively high (low) short-term cumulative abnormal returns, that is, by short-term price drifts. The effect remains significant after accounting for additional company-specific (size, market model beta, historical, or conditional volatility) and event-specific (stock’s return and trading volume on the event day) factors.

scholarly journals Reaksi Pasar Terhadap Pengumuman Pergantian CEO di Bursa Efek Indonesia

2018 ◽  
pp. 2430
Author(s):  
I Kadek Diky Agusnawan ◽  
Dewa Gede Wirama
Keyword(s):  
Event Study ◽  
Chief Executive Officer ◽  
Capital Market ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
Chief Executive ◽  
Ceo Turnover ◽  
Company Performance ◽  
Cumulative Abnormal Return ◽  
Event Study Method

Announcement of CEO turnover indicates a change in company management in order to improve company performance. The purpose of this study is to test whether the capital market reacts to CEO turnover announcements. This study uses event study method and the sample was selected purposively. The research sample consisted of 79 companies listed in the IDX. Based on the results of the analysis it is found that there are no abnormal returns around the CEO turnover announcement. The results shows that there is no information content in the CEO turnover announcement. The results of this study is consistent with the research of Warner et al., (1998) and Setiawan (2008). The results of the study is not consistent with the research of Weisbach (1988), Kang and Shivdasani (1996), Derment-Ferere and Renneboog (2000), Bahtera (2017). Keywords: Chief executive officer, cumulative abnormal return, market reaction

scholarly journals Insider Trading and the Classification of Seasoned Equity Offerings: Evidence from Taiwan

2017 ◽  
Vol 9 (5) ◽  
pp. 58 ◽  
Author(s):  
Han-Ching Huang ◽  
Hsiu-Hsin Chiu
Keyword(s):  
Insider Trading ◽  
Abnormal Returns ◽  
Seasoned Equity Offerings ◽  
Growth Potential ◽  
Equity Offerings ◽  
Announcement Effects ◽  
Cumulative Abnormal Returns ◽  
Long Run ◽  
The Impact

This paper investigates whether insider purchasing or selling before Season equity offerings (SEO) announcement have the impact on the cumulative abnormal returns (CAR) around SEO announcement in Taiwan. We find that there are negative announcement effects around the SEO announcement, which is not consistent with the argument that there are usually positive announcement effects around the SEO announcement in Taiwan. Moreover, long-run abnormal returns following SEOs are negative. Therefore, the motivation of SEO has changed from investment to overvaluation.. Although there is net buying prior to SEO announcement, the outside investors still regard SEO announcement as a signal of overvaluation instead of growth potential.

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

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