scholarly journals CAPITAL MARKET REACTIONS TO THE ANNOUNCEMENT OF STOCK SPLIT (Studies on Go Public Compani that Perform A Stock Split Years 2011-2015 in The Indonesia Stock Exchange)

2018 ◽  
Vol 6 (1) ◽  
Author(s):  
Juandy Seiver Langelo
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Splits ◽  
Average Volume ◽  
Market Reactions ◽  
Signed Rank ◽  
Stock Split ◽  
Trading Volumes

The purposes of this research is to investigate the market’s  reaction events of the stock split announcement, proxied by abnormal returns and trading volumes. Hypothetical test in this research was using paired sample t test in the differences of abnormal return and wilcoxon signed rank to trading volume.Based on the results of hypothetical test, this research concluded that the market reacts negatively against the event of stock splits. The conclusion obtained from the presence of significant decrease of average volume of trade after the split event, where as the average of abnormal return decreases however not significant after the event of stock splits.

scholarly journals REAKSI PASAR ATAS STOCK SPLIT PADA PASAR MODAL SYARIAH INDONESIA DAN MALAYSIA PERIODE 2015-2019

2020 ◽  
Vol 7 (4) ◽  
pp. 734
Author(s):  
Fadlilah Fadlilah ◽  
Bayu Arie Fianto
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Abnormal Return ◽  
Market Reaction ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
T Test ◽  
Market Reactions ◽  
Stock Split ◽  
Observation Period

This study aims to determine the market reaction to the stock split in the market. This research uses a quantitative approach using the event study method to analyze market reactions to an event. The analysis technique uses the One Sample t-Test to see market reactions and the Independent Sample t-Test to determine whether there is a difference between the Indonesian and Malaysian Islamic capital markets with a 21-day observation period consisting of 10 days before the stock split announcement (t -10), day of stock stock announcement (t0 or t = 0), and 10 days after stock split announcement (t + 10). The results of this study, based on statistical tests with α = 5%, found a significant abnormal return around the stock split announcement on the Indonesian Islamic capital market. AAR significant as much as 4 days and CAAR significant as much as 18 days during the observation period. In the Malaysian Islamic capital market, abnormal returns were also found to be significant around the stock split announcement. AAR is significant for 3 days during the observation period, 1 day before the announcement of the stock split, during the announcement of the stock split, and 1 day after the announcement of the stock split. A significant CAAR of 19 days during the observation period. In the independent sample t-test, AAR Indonesia and Malaysia obtained sig. (2-tailed) of 0.658. In the CAAR test, Indonesia and Malaysia obtained sig. (2-tailed) of 0.563. So there is no difference between the Indonesian and Malaysian sharia capital market reactions.Keywords: Market Reaction, Stock Split, Abnormal Return, Event Study

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 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 An Empirical Analysis for Abnormal Returns from Initial Public Offerings (IPOs): evidence of Iranian oil and chemical industries

2013 ◽  
Vol 3 (1) ◽  
pp. 143 ◽  
Author(s):  
Mahdi Filsaraei ◽  
Alireza Azarberahman ◽  
Jalal Azarberahman
Keyword(s):  
Initial Public Offerings ◽  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Going Public ◽  
Significance Level ◽  
Public Offerings ◽  
Positive Abnormal Return ◽  
Chemical Companies

Purpose: The core purpose of this paper empirically study of the initial public offerings (IPOs) of companies accepted in oil and chemical industries. The paper attempts to answer the question of is there any abnormal return from IPOs in listed companies in Tehran Stock Exchange (TSE).Design/methodology/approach: This research is an applied research, and its design is empirical, which is done by the method of post-event (past information). For the purpose of the study the t-statistic, regression and variance analyses are applied to examine the hypotheses. We use in the analyses a sample of 29 newly accepted Iranian oil and chemical companies listed on TSE for the period of 2001 to 2012. This paper has studied abnormal return and three abnormal phenomena have been considered in capital market. These phenomena consist: (1) underpricing or overpricing of the firm's stock, (2) lower or higher stock return of the firms and (3) Particular period in market for stock transactions volume.Findings: The results support the hypothesis that there is a positive abnormal return to investing in the newly accepted oil and chemical firms for stockholders. It also shown the firm size is the only factor that can affect the stock abnormal return. With considering significance level, investors have to give attention sequentially to other variables such as stock ownership centralization, going public time and stock offering volume.

scholarly journals Comparative Analysis of Abnormal Returns of Stocks and UBS Gold Before and After the Announcement of the Covid-19 Pandemic

2021 ◽  
Vol 5 (1) ◽  
pp. 64-70
Author(s):  
Qamaral Shabrina Agfah ◽  
Muhammad Azhari
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Pure Gold ◽  
Normality Test ◽  
Before And After ◽  
Using Data ◽  
Exchange Data

Currently, the economy and capital market in Indonesia are experiencing a decline in performance due to the COVID-19 pandemic. This research was conducted to analyze whether there is a difference in the return of shares in the transportation sub-sector and UBS gold to the current COVID-19 pandemic, by looking at changes in prices 7 days before and 7 days after the announcement of the COVID- 19 Pandemic announced by President Joko Widodo on March 2, 2020. The phenomena contained in this study were carried out by the event study with the abnormal return technique. This study using data in the form of secondary data and data taken by time series. The sample used in this research is data on the closing price of 7 days of 1-gram UBS pure gold before and after the COVID-19 pandemic and 23 shares of the transportation sub-sector listed on the Indonesia Stock Exchange. Data analysis used abnormal return, normality test, and paired sample t-test using IBM SPSS. This study found that there was no difference in the abnormal return of shares in the transportation sub-sector and UBS Gold at the time of the announcement of the COVID-19 pandemic in Indonesia by Joko Widodo.

scholarly journals Indonesia stock exchange: Abnormal return amid pandemic

2021 ◽  
Vol 6 (01) ◽  
pp. 15-20
Author(s):  
Gunistiyo Gunistiyo ◽  
Jaka Waskito ◽  
Yuni Utami
Keyword(s):  
Abnormal Return ◽  
Time Window ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Investment Decisions ◽  
The Other ◽  
Market Reactions ◽  
First Case ◽  
Significant Difference ◽  
Before And After

This study aims to reveal the behavior of investors on the Indonesia Stock Exchange (IDX) before and during (early) the COVID-19 pandemic. This study is an extension of references to understand market reactions in response to future crises. This study is an event study with a time window of 76 trading days before and after the first case was officially announced by the authorities in Indonesia. Taking a sample of stocks included in the Liquid Index (LQ) 45, this study measures the abnormal return and transaction volume during the pre and post-first official announced cases and test the whole data by t-test. The results of data analysis indicate that there is no difference in abnormal returns, but there is a significant difference in transaction volume. These findings indicate that, in general, the Indonesian market is quite efficient, as evident from the absence of different abnormal returns. On the other hand, the market also appears to be cautious in making investment decisions amid uncertainty.

scholarly journals The Capital Market Reaction To The Corona Covid-19 Virus Outbreak Events

Academia Open ◽  
2021 ◽  
Vol 3 ◽  
Author(s):  
Wardah Azizah ◽  
Nurasik
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
T Test ◽  
Paired Sample ◽  
Significant Difference ◽  
Real Picture ◽  
The Capital Market

This study aims to get a real picture of the Capital Market Reaction to the Corona Covid-19 Virus Outbreak (Study on LQ-45 Companies Listed on the Indonesia Stock Exchange). The analytical tool used is descriptive statistical analysis and classical assumption test. To test the hypothesis, it is done using data analysis in the form of Paired Sample T-Test using the statistical program "Product and Service Solution" (SPSS). The results of hypothesis testing using paired sample t-test obtained t-value with a significant value of 0.000 (0.000 <0.05). From these results, it can be stated that the hypothesis is accepted, which means that there is a significant difference in abnormal returns before and after the Corona / Covid-19 Virus Outbreak. The difference in Abnormal Return on the test results has a positive value, this shows that if the Corona / Covid-19 Virus Outbreak has increased, the Abnormal Return value will increase.

scholarly journals Analisis Perbandingan Abnormal Return,Trading Volume Activity, dan Bid-Ask Spread Sebelum dan Sesudah Stock Split

2018 ◽  
Vol 7 (1) ◽  
pp. 34
Author(s):  
Fahrizal Anwar ◽  
Nadia Asandimitra
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Bid Ask Spread ◽  
Stock Split ◽  
Before And After ◽  
Bid Ask Spreads

Stock splits or stock split is to break a piece of stock into n shares so that the new price per share after the stock split is 1 / n of the previous price.This study aims to investigate the market reaction to the announcement of the stock split the company listed in Indonesia Stock Exchange Period 2012-2013. The market reaction is indicated by the presence or absence of abnormal return differences, trading volume activity, and bid-ask spreads before and after the stock split announcement.Type of research is a study of events (event study).The study sample as many as 17 companies based on purposive sampling.Testing is done with a period of 5 days before and 5 after the announcement of the stock split.The technique of data analysis performed using paired sample t-test on abnormal returns while Wilcoxon signed ranks test on trading volume activity and bid-ask spreads.

scholarly journals THE ANALYSIS OF ABNORMAL RETURN, LIQUIDITY AND STOCK RISK DIFFERENCE DURING PRE AND POST STOCK SPLIT IN IDX PERIOD 2010 – 2014

2017 ◽  
Vol 8 (1) ◽  
pp. 20
Author(s):  
Umi Mardiyati ◽  
Rachmattullah Rachmattullah ◽  
Gatot Nazir Ahmad
Keyword(s):  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Sampling Period ◽  
Risk Difference ◽  
Rank Test ◽  
Distribution Data ◽  
Significant Difference ◽  
Stock Split ◽  
Before And After

This study aimed to analyze the differences of abnormal return, liquidity and risk stock before and after the stock split on companies listed in Indonesia Stock Exchange 2010 - 2014. The sample are 29 companies selected by purposive sampling. Period of observations used in this study is 5 days before the stock split and 5 days after the stock split. The analysis technique used is the Kolmogorov-Smirnov test for normality test, paired sample t-test for normally distributed data and Wilcoxon signed rank test if distribution data is not normal. Results from the study showed that there is no significant difference in abnormal returns between before and after stock split period, there are differences in liquidity between the before and after stock split period and there is no difference in stock risk between before and after the stock split period.   Keywords : Stock Split, Abnormal Return, Liquidity, Stock Risk

scholarly journals REAKSI PASAR SAHAM TERHADAP PENGUMUMAN STOCK SPLIT PADA INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE 2013-2018

2020 ◽  
Vol 7 (4) ◽  
pp. 704
Author(s):  
Salsabiilaa Nadiah Putri Herlambang ◽  
Puji Sucia Sukmaningrum
Keyword(s):  
Abnormal Return ◽  
Abnormal Returns ◽  
T Test ◽  
Stock Index ◽  
Market Reactions ◽  
Average Abnormal Return ◽  
Stock Split ◽  
Before And After ◽  
Sample Test ◽  
The One

Stock split is a breakdown of the nominal value of stocks into smaller ones carried out by the issuer. This study aims to determine and explain the reaction of the stock market to the announcement of a stock split made by issuers of all sectors in the 2013-2018 Indonesian Sharia Stock Index (ISSI). This study uses a quantitative approach using event studies to analyze market reactions to events. Sampling using purposive sampling and obtained 50 companies and two companies do two stock splits. The sample analysis technique uses the One-Sample Test t-test and Paired Sample t-test with an observation period of 31 days which is 15 days before the announcement of the stock split and 16 days after the announcement of the stock split. The results obtained from this study are that there is no significant abnormal return before the announcement of the stock split, but there is a significant abnormal return after the stock split, although a little. However, there is no significant cumulative average abnormal return as a reaction before or after the stock split. This study also found no significant differences in abnormal returns before and after stock split and changes in cumulative average abnormal returns before and after stock split that was not significant.Keywords: Market Reaction, Stock Split, Average Abnormal Return, Indonesian Sharia Stock Index (ISSI)

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