scholarly journals Dampak Pencatatandan Jatuh TempoWaran terhadap Harga Saham yang Disertai Waran di Indonesia

2020 ◽  
Vol 3 (1) ◽  
pp. 74-99
Author(s):  
Stefan Suryawinata ◽  
◽  
Aldwin Tekadtuera ◽  
Dahlia Ervina ◽  
◽  
...  
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Expiration Date ◽  
Event Window ◽  
Study Approach ◽  
Maturity Date ◽  
Before And After ◽  
Negative Effect ◽  
Return Effect

This research discusses the stock abnormal return effect of warrants to its underlying stock on its listing and maturity date. This study sample is the stock price changes of stocks backed with a warrant in the Indonesian stock market for the year 2008 to 2018—using an event study approach to observe stock abnormal return effect on the listing and maturity date of warrants. The results of this research are that we find a significant negative abnormal return around the warrants' listing date. On the warrants' expiration date, we find a significant negative effect before and after the money warrants' maturity date. However, a different result is obtained for the observation of out-of-the-money warrants that do not show any significant abnormal return on the event window.

scholarly journals The Announcement of Sharia Bank’s Conditional Merger Agreement. How Investor Reacted?

2021 ◽  
Vol 2 (2) ◽  
pp. 136-146
Author(s):  
Syamsuddin Syamsuddin ◽  
Versiandika Yudha Pratama
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Secondary Data ◽  
T Test ◽  
Event Window ◽  
Paired Sample ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Before And After

This study aims to determine there is a difference in average abnormal return of BRI Syariah before and after the signing of the Conditional Merger Agreement (CMA), which is on October 12th, 2020. This research used event study for method and the data in this study are secondary data in the form of stock price data of BRI Syariah. The event window in this study for 11 (eleven) working days which is 5 (five) days before the event, 1 (one) day when the event occurs and 5 (five) days after the signing of the Conditional Merger Agreement (CMA) BUMN sharia bank. Meanwhile, the estimated period is set for 120 exchange days, namely at t-125 to t-6. Test conducted by paired sample t-test. The results of the paired sample t-test showed that there is no significant difference between the average abnormal return of BRI Syariah shares before and after the signing of the Conditional Merger Agreement. It can be concluded that neither the market nor investors reacted to the signing of the Conditional Merger Agreement (CMA) that occurred at BRI Syariah Bank.

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 Lombok’s Tsunami and Stock Abnormal Returns

2021 ◽  
Vol 10 (1) ◽  
pp. 1-8
Author(s):  
Ani Wilujeng Suryani ◽  
Karina Dian Pertiwi
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Insurance Companies ◽  
Study Approach ◽  
Cumulative Abnormal Returns ◽  
Tsunami Earthquakes ◽  
Tsunami Earthquake

Natural disaster often brings damage to the economy, including the decrease of stock’s market value. For this reason, this study aims to determine the effect of the tsunami earthquakes in Lombok in 2018 on abnormal returns and cumulative abnormal returns of insurance companies. This study used the event study approach, with three days window period after the three tsunami earthquakes from July to August 2018. The sample of this study is the stock price of 14 insurance companies listed on the Indonesia Stock Exchange. To test whether abnormal return exists, a one-sample t-test was used on the average abnormal and cumulative returns. The results show that the tsunami earthquake disasters in Lombok in 2018 have a significant effect on cumulative abnormal returns of insurance companies stocks, and this effect even bigger on the third tsunami. This finding shows that the market reacts to continuous disaster by considering the earthquake as negative information and thus decrease the stock price. This study implies that investors may buy the stocks after the disaster to get a cheaper price or hold the stocks to avoid loss. Keywords: abnormal return; event study; Lombok tsunami earthquake; signaling theory

scholarly journals The Performance of Two Anchor Domestic Malaysian Banks before and after Acquisition

2017 ◽  
Vol 10 (10) ◽  
pp. 156
Author(s):  
Jakpar S. ◽  
Tinggi M. ◽  
Chong W. T. ◽  
Johari A. ◽  
Myint K. T.
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Time Lag ◽  
Financial Ratios ◽  
Event Window ◽  
Average Abnormal Return ◽  
Short Period ◽  
Before And After ◽  
The Difference ◽  
Research Period

This article is undertaken to assess the performance of domestic Malaysian banks before and after acquisition. This paper focuses on two pairs of anchor banks which merged and acquired other minor banks in Malaysia from year 2001 until 2013. The research period is 2 years before and 2 years after the acquisitions. The method being used in this research is financial ratios and event study. Nine selected financial ratios were used in this research to find the difference between pre and post acquisitions. Whereas event study is used to find the abnormal return, average abnormal return, cumulative abnormal return, and t-test hypothesis. The event window in this research is a total of 21 days before and after the acquisitions including the actual day of the event announcement. The results for this research indicate that there was improvement for Hong Leong Bank and EON Bank. RHB Bank on the other hand was outperforming by Bank Utama. There were limitation when carrying out this research such as difficulties to retrieve the needed annual report and historical price to conduct the investigation. The time lag on certain banks performance may need more time to see a better result while others may perform well in short period.

scholarly journals ANALISIS TRADING VOLUME ACTIVITY DAN AVERAGE ABNORMAL RETURN SEBELUM DAN SESUDAH MELAKUKAN PEMECAHAN SAHAM (STOCK SPLIT) PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA.

2017 ◽  
Vol 18 (2) ◽  
pp. 164
Author(s):  
Anita Tri Utami
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Volume Activity ◽  
Event Window ◽  
Bid Ask Spread ◽  
Analysis Technique ◽  
Average Abnormal Return ◽  
Stock Split ◽  
Before And After

This research is titled “Analysis of Trading volume activity and Average Abnormal Return beforeand after the stock split pada companies listed on the bursa efek indonesia” . this researchaims to analysing is there any differences between the abnormal return and the trading volumeactivity before and after the stock split. The data that have been used in this research are thedaily stock price and the IHSG of the companies who did the stock split in 2011 till 2015.Bythe purposive sampling methods, there is 32 companies who did the stock split that listed onthe bursa efek indonesia. Analysis technique that has been used is Uji normalitas dan uji bedadua sampel berhubungan uji wilcoxon with the event window is 5 days before and 5 days afterthe stock split.The result of this research is show that there is 0,024 < 0,05 significant valuefrom the Pengujian Uji Beda between trading volume activity before and trading volume activityafter stock split. Based on that fact, there is 0,033 < 0,05 significant value from pengujian ujibeda between abnormal return before and bid-ask spread after the stock split. Thus can beinterpreted that there is a difference between abnormal return before and after stock split. Sothat the Indonesia Capital market is yet efficient and yet strong enough by the stock split.Keywords: Stock split, Abnormal Return, Trading volume activity.

scholarly journals Capital Market Reaction Against Political Events (Event Study of Demonstration 212 Peaceful Action )

2018 ◽  
Author(s):  
Sri Utami Ady
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Capital Market ◽  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Share Price ◽  
Stock Trading ◽  
Significant Difference ◽  
Before And After

This study aimed to explain the reaction of the capital market (Event study) 212 demonstrations peaceful protest events against the share price of PT Nippon Indosari Corpindo Tbk on December 2016. The study was conducted at PT Nippon Indosari Corpindo Tbk. As one of the companies affected directly the event. The data used the daily closing stock price data, daily stock trading volume, and the number of outstanding shares obtained from the Indonesia Stock Exchange. By using a t test analysis, there were three hypotheses in this study, namely whether the investor obtain abnormal return to their events (H1), whether there was a difference of abnormal return before and after the event (H2), whether there were differences in the volume of stock trading before and after the event (H3). Results of tests made clear that investors did not earn abnormal return to their peaceful protest demonstration event 212, the results of tests performed also explained that there was no significant difference in abnormal stock returns and trading volume before and after the event. This was because the Indonesian people already familiar with the demonstrations that occurred in the country, so that market participants were more calm in dealing with the situation. The reaction of investors to the event in the Indonesian capital market was quite low indicates the level of efficiency of the Indonesian capital market was still weak

scholarly journals THE PHENOMENON OF RATIFYING REVISION OF THE KPK LAW: HOW INVESTOR REACTED?

2021 ◽  
Vol 11 (1) ◽  
pp. 51-63
Author(s):  
Versiandika Yudha Pratama ◽  
Happy Sista Devy
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Sampling Technique ◽  
T Test ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Before And After

This research aimed to determine there are difference in average abnormal returns of companies in the Jakarta Islamic Index (JII) before and after phenomenon the revised Corruption Eradication Commission Act, which is on September 17th, 2019. This research use event study for method and the data in this study are secondary data in the form of stock price. Sampling technique uses purposive sampling method. Determined sampling technique, 27 companies were obtained as research samples. Tests conducted are one sample t-test and paired sample t-test. The result of the one sample t-test showed that the phenomenon of ratifying the revision of the KPK law becomes meaningful information to investors and investors show that reactions to these event. It showed by the result of significant and negative abnormal returns in the few day before and several days after phenomenon. The result of the second hypothesis testing indicate that there is no significant difference the average abnormal return before and after the ratification of revised Corruption Eradication Commission Act   Keywords: Revision of KPK Law, Average Abnormal Return, Event Study

scholarly journals Merger and Acquisition Analysis in Creating Value for Shareholders in The Infrastructure and Utility Sector

2021 ◽  
Vol 4 (1) ◽  
pp. 150-161
Author(s):  
Valentina Hemas Widianova ◽  
Permata Wulandari
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Merger And Acquisition ◽  
Emerging Countries ◽  
Event Window ◽  
Study Approach ◽  
Average Return ◽  
Average Abnormal Return ◽  
The World ◽  
Target Company

Trough 20 – years period their merger and acquisition (M&A) in sector infrastructure and utilities are the pledge of the most country in the world, especially in Asia with most emerging countries. This study aims to know the relation about M&A activities to value shareholders in infrastructure and utilities sector in during last 20 years and year of crisis in 2020. Observe for acquire and target companies using event study approach to find Cumulative Average Abnormal Return (CAAR) on M&A activities that represent the value for the shareholders. Set event window for 31 days, consist of 15 days before the announcement and 15 days after announcement. Using sample of listed companies who making acquisition activities in Asia which size of the deal above USD 30 million. The result shows that the acquirers give positive CAAR that statistically significant 10% and the targets give positive CAAR statistically significant 5 %. The target company has higher cumulative abnormal average return than the acquirer company. Then M&A activity during crisis shows that for acquirer give positive not significant CAAR with 4,6% abnormal return and target give positive CAAR 3.4% but not significant. The target gives higher CAAR positive for t-15 to t+7 than the acquirer.

scholarly journals Dividend Policy in Tunisia: A Signalling Approach

2018 ◽  
Vol 10 (4) ◽  
pp. 84 ◽  
Author(s):  
Taleb Lotfi
Keyword(s):  
Information Content ◽  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Dividend Policy ◽  
Signaling Theory ◽  
Supporting Evidence ◽  
Dividend Announcements ◽  
Stock Price Reaction ◽  
Do So

The main objective of this study was to establish the stock price reaction to dividend announcements of firms quoted at the Tunisian Securities exchange (TSE). To do so, we develop a traditional event study. Two robust results emerge: First, when we observe the 196 announcements of dividends between years 1996-2004, the result is inconsistent with signaling theory, as long as, no abnormal return was observed on the announcement day (event period). Second, When the overall sample is divided into three sub-group (dividend increase, dividend-no-change and dividend), we observe a significant and abnormal return about -1.242 percent and -1.697 percent respectively on day D(t0-4) and D(t0+4) around the dividend announcement day (Dt0) only for the sub-group of firms that decreases their dividend. This result corroborates prior research in Tunisian context [Ben Naceur and al. (2006); Guizani and Kouki (2011)] that confirm, by using a different approach, the Lintner’s (1956) conclusions which states that Tunisian’ firms generally tend to avoid a dividend decrease (or cuts) and can constitute a supporting evidence of the dividend information content hypothesis in TSE.

scholarly journals Harga Saham Sebelum dan Sesudah Stock Split

2020 ◽  
Vol 3 (2) ◽  
pp. 390-395
Author(s):  
Junita Putri Rajana Harahap ◽  
Murni Dahlena Nasution
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Research Method ◽  
Price Difference ◽  
Significant Difference ◽  
Stock Split ◽  
Before And After ◽  
A Company

The stock split causes the stock price to be cheaper so that it will attract potential investors to buy the stock. This research was conducted to determine when it is time for a company to do a stock split, information available on the capital market can be used by investors for consideration before investors make a decision to invest in shares. The study aims to determine the changes that occur in stock prices before and after the stock split policy by the company. The research method used in this research is event study research with a quantitative approach. This study examines how significant the stock price difference is after a stock split policy. The sample used in this study were all companies that carried out the 2016-2018 stock split policy. The results of research on companies that become samples have shown that the average stock price before the announcement of the stock split policy has no significant difference with the average stock price after the announcement of the stock split policy Keywords : Stock Price, Stock Split

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