scholarly journals Performance of stock portfolio based on contrarian strategy in indonesia stock exchange

2019 ◽  
Vol 6 (6) ◽  
pp. 220-228
Author(s):  
I Gede Wira Pratama ◽  
Henny Rahyuda
Keyword(s):  
Abnormal Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Test Period ◽  
Portfolio Performance ◽  
Overreaction Hypothesis ◽  
The Difference ◽  
Stock Portfolio ◽  
Return Reversal

This study aims to determine the differences in the performance of high abnormal stock portfolio during the test period compared with the performance of the stock portfolio in the formation period, the difference in the performance of the low abnormal return of the test period compared to the portfolio performance of the stock formation period, as well as the difference in the performance of the high abnormal return stock portfolio (winner) compared with a low abnormal return (loser) test period. The sample consists of shares included in the Kompas 100 index which are listed on the Indonesia Stock Exchange. The sampling method used in this study is a tiered sampling method that is analyzed by means of the two different test. The results showed that within a period of 12 months, there was a positive difference of 10.59% in the loser stock portfolio against the winner stock portfolio in the next period. Stocks that initially had low abnormal returns (losers) experienced a greater return reversal than the winner stock portfolio return in the next period, indicating a market anomaly associated with the overreaction hypothesis.

scholarly journals PERBANDINGAN ABNORMAL RETURN DAN LIKUDITAS SAHAM SEBELUM DAN SEDUDAH STOCK SPLIT: STUDI PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA

2017 ◽  
Vol 20 (2) ◽  
pp. 254
Author(s):  
Kornel Munthe
Keyword(s):  
Abnormal Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Purposive Sampling ◽  
Signed Rank ◽  
Split Test ◽  
Stock Split ◽  
The Difference

Tujuan dari penenilitan ini adalah unutk mengetahui perbedaan abnormal return dan likuiditas saham sebelum dan sesudah stock split pada perusahaan yang terdaftar di Bursa Eefek Indonesia periode 2011-2014. Dengan menggunakan metode purposive sampling maka dipilih 24 sampel perusahaan yang memenuhi kriteria. Periode pengamatan selama 5 hari sebelum dan 5 hari sesudah stock split. Uji Wilcoxon Signed Rank menunjukkan adanya perbedaan yang signifikan rata-rata abnormal return dan likuiditas saham sebelum dan sesudah stock split, hal ini mengindikasikan bahwa pasar bereaksi positif atas stock split.The main objective of this research is know the differences in abnormal returns and liquidity of shares before-after stock split at companies listed Indonesian Stock Exchange during the period of 2011-2014. By using purposive sampling method then selected 24 samples of companies that meet the criteria. The period of observation for 5 days before - 5 days after stock split. Test of Wilcoxon Signed Rank showed significant the difference in average abnormal returns and liquidity of shares before- after stock split, this indicates that the market reacted positively to the stock split.

scholarly journals Analisis Komparatif Tingkat Pengembalian Value Stocks dan Growth Stocks di Bursa Efek Indonesia

2019 ◽  
Vol 1 (1) ◽  
pp. 13-22
Author(s):  
Andre Prasetya Willim
Keyword(s):  
Comparative Analysis ◽  
Sampling Method ◽  
Stock Exchange ◽  
Portfolio Performance ◽  
Value Stocks ◽  
Growth Stocks ◽  
Small Growth ◽  
The Difference ◽  
Return Value ◽  
Portfolio Return

Purpose- This study aims to examine the difference in returns between portfolio value stocks and growth stocks with comparative analysis. Methods- The population of this research is all companies in the Indonesia Stock Exchange. Based on the results of the purposive sampling method, there were 396 companies that were sampled in this study with IPO criteria before 2011. There were four portfolios formed, namely small growth, small value, big growth and big value portfolios, each consisting of 59 companies. Portfolio performance in this study was measured by the Sharpe, Treynor and Jensen indices. Finding- The results showed a difference in portfolio return value stocks and growth stocks. Return portfolio value stocks are lower than growth stocks portfolios and portfolio performance value stocks are also lower than growth stocks portfolios.

scholarly journals ANALISIS PENGARUH HARGA SAHAM PERDANA TERHADAP ABNORMAL RETURN YANG DITERIMA INVESTOR STUDI PADA BURSA EFEK INDONESIA

2019 ◽  
Author(s):  
Afriyeni Afriyeni ◽  
Doni Marlius
Keyword(s):  
Initial Public Offering ◽  
Abnormal Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Alternative Hypothesis ◽  
Abnormal Returns ◽  
Sampling Technique ◽  
Real Rate ◽  
Average Abnormal Return ◽  
Public Offering

In this research uses empirical design, the goal is to determine how the effect of the initial public offering of the abnormal return earned by investors on the Stock Exchange went public in the period 2008-2010. This study is a population of all shares of listed companies on the Stock Exchange. The sampling technique used was purposive sampling method based sampling method with a consideration of certain criteria in order to obtain as many as 26 samples. Based on the statistical test results, it can be concluded that the initial public offering and a significant positive effect on abnormal returns earned by investors on the Stock Exchange, which can be seen from the alternative hypothesis is accepted. This means that the average abnormal return earned by investors on the Stock Exchange for the first six weeks of the companies that go public as many as 26 companies will be greater than 0 (zero) or positive. Overall average abnormal return earned by investors is positive, so that the average IPO price of 26 companies that went public in the year 2008 to 2010 is considered low (undervalued) or if the real rate of return higher than the return that expected.

scholarly journals Analisis Perbedaan Abnormal Return dan Trading Volume Activity Pada Sekitar Cum Dividend Date

2019 ◽  
Vol 6 (2) ◽  
pp. 159
Author(s):  
Tias Marganing Sih ◽  
Tatang Ary Gumanti ◽  
Hadi Paramu
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Sampling Method ◽  
Stock Exchange ◽  
Volume Activity ◽  
The Difference

The purpose of this research is to analyze the difference of Abnormal Return and Trading Volume Activity in each sector of shares around cum dividend date. The population in this study are all companies listed on the Indonesia Stock Exchange (IDX), the sampling is done by purpusive sampling method and obtained 156 samples. The method of analysis used in this study is by Kruskal-Wallis test. The results showed that there was no difference of Abnormal Return on stock sectors on cum dividend date. This research also shows that there is no difference of Trading Volume Activity before before cum dividend date, ex-dividend date and after ex-dividend date. It shows that the cum dividend date event has not become a consideration for investors to invest. Keywords: Abnormal Return, Cum Dividend Date, Dividend, Trading Volume Activity.

Uji Komparasi Abnormal Return, Trading Volume, Dan Trading Frequency Sebelum Dan Sesudah Peristiwa Share Split Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia Periode 2010 – 2013

2014 ◽  
Vol 6 (2) ◽  
pp. 1-17
Author(s):  
Jordan Vincent ◽  
Ratnawati Kurnia
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Trading Frequency ◽  
Analysis Technique ◽  
Before And After ◽  
Kolmogorov Smirnov ◽  
The Difference ◽  
Smirnov Test

This study is event study that was conducted to determine differences in abnormal returns, trading volume, and trading frequency before and after the events of the share split. The object of this research is the companies that did the share split and listed in Indonesia Stock Exchange in 2010 - 2013.  Samples were taken by using purposive sampling as many as 24 companies. The criteria is the company did not do corporate action right issue, pre-emptive rights, a share dividend and bonus shares in the same year with share split, then the company share actively traded 15 days before and after the share split. Data analysis technique begins with a test of normality using Kolmogorov - Smirnov test, then test the hypothesis using a paired t test to compare the differences before and after share split. In testing the hypothesis showed that the difference was only found on variable trading frequency before and after share split. While the other variables are abnormal return and trading volume was not found significant differences before and after the share split. Keywords: Share split, abnormal returns, trading volume, trading frequency

scholarly journals DAMPAK UNDANG-UNDANG REPUBLIK INDONESIA NO.11 TAHUN 2016 TENTANG PENGAMPUNAN PAJAK TERHADAP KONDISI BURSA EFEK INDONESIA

2018 ◽  
pp. 217
Author(s):  
Magna Mayputra Sumadi ◽  
Luh Putu Wiagustini
Keyword(s):  
Abnormal Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
Market Reactions ◽  
Tax Amnesty ◽  
Average Abnormal Return ◽  
Before And After ◽  
The Difference

This study aims to analyze the difference of the mean significance of abnormal return before and after the event and to test the market reaction due to the tax amnesty event. This research uses a sample of 34 stocks of LQ45 in Indonesia Stock Exchange by using purposive sampling sampling method. This research is done by method of event study study with Market Adjusted Model. The period of the event examined for each event is 15 trading days, ie seven days before the event, one day at the time of the event and seven days after the event. The statistical tests were performed to compare average abnormal returns before and after events and to see market reactions around the event. The result of the research shows that there is no difference of average abnormal return before and after the event of tax amnesty policy, the end of the tax amnesty period I, the end of the tax amnesty period II and the end of the tax amnesty period III. There is no market reaction around the event of the tax amnesty policy, but there is market reaction in the event of the end of the tax amnesty period I, the event of the end of the second amnesty tax period and the end of the tax amnesty period III. The end of the tax amnesty period I, II and III contain information.

scholarly journals Market Reaction to the Fed Quantitative Easing Policy: Indonesian Evidence

2017 ◽  
Vol 2 (1) ◽  
Author(s):  
Sevanrhoo Noya Dean Tanardi ◽  
Irwan Trinugroho
Keyword(s):  
Information Content ◽  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Quantitative Easing ◽  
Crisis Period ◽  
Domestic Firms ◽  
The Difference

<p>We examine the information content of the announcements of quantitative easing policy by The Fed in 2008, 2010 and 2012 on the stock price of firms listed in the Indonesia Stock Exchange, more particular firms with liquid stocks included in the list of LQ45. Moreover, we also investigate the determinants of abnormal return by focusing on the effect differences between foreign-controlled and domestic firms as well as between crisis and non-crisis period. Event study and OLS regression are employed to examine our hypotheses. We find that there are significant abnormal returns around the announcement dates both during the crisis and non-crisis period. No evidence is found on the difference between foreign-controlled and domestic firms.  </p>

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

scholarly journals Market reaction to the rights issue announcement on the Indonesia stock exchange

2019 ◽  
Vol 6 (6) ◽  
pp. 264-269
Author(s):  
Ni Putu Linsia Dewi ◽  
Ica Rika Candraningrat
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
Analysis Technique ◽  
Before And After ◽  
Parametric Statistical Test ◽  
The Right ◽  
Rights Issue

Rights issue or the issuance of pre-emptive rights are the rights granted by an issuer company made to its existing shareholders to buy new shares issued within a predetermined period of time. This study aims to empirically explain the differences in abnormal returns before and after the announcement of the rights issue and to determine the form of capital market efficiency in Indonesia. Data are collected from 27 listed companies in the Indonesia Stock Exchange (IDX) that conducted a rights issue in 2014-2018. The data analysis technique used is the Kolmogorov-Smirnov Normality Test and the Parametric Statistical Test with a paired sample t-test. Based on the results of hypothesis testing not found differences in abnormal returns both before and after the announcement date indicating the market does not react to the right issue event. The results of statistical tests show a downward trend of abnormal return which is proxied in the Cumulative Abnormal Return (CAR), implying a market tends to react negatively to the announcement of the rights issue. Rights issue information causes a new equilibrium price adjustment in the market, thus making the form of efficiency of the Indonesian capital market a semi-strong form.

scholarly journals Investor’s Mood at ASIAN Games Event

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

<p>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.<em></em></p><p><strong><em></em></strong><em><br /></em></p>

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