scholarly journals Indonesian Capital Market Efficiency: Islamic vis-a-vis Conventional

2018 ◽  
Vol 2 (3) ◽  
Author(s):  
Abdul Qoyum ◽  
Milzamulhaq Mardiya ◽  
Muhammad Rizky Prima Sakti
Keyword(s):  
Market Efficiency ◽  
Event Study ◽  
Capital Market ◽  
Abnormal Return ◽  
Trading Volume ◽  
Trading Activity ◽  
Volume Activity ◽  
Abnormal Trading Volume ◽  
Finance Theory ◽  
Conventional Counterpart

Capital market efficiency is one of the most important part in finance theory, in which assume the price of stock will fully reflect the information available in the market, hence the price will adjust directly and quickly. The objective of this study is to evaluate the efficiency of both Islamic and conventional stock markets, particularly in case of Indonesia. Event study of King Salman Visit in Indonesia was used as testing periods. Abnormal return and average abnormal trading volume activity of 30 companies listed in Jakarta Islamic Index (JII) to represent Islamic capital market and 17 companies listed in LQ45 to represent conventional capital market were employed to explain this issue. The result shows that from abnormal return perspectives both Islamic and conventional capital market are efficient. While from abnormal trading volume activities, shows that during the visit of King Salman, the trading activity in Islamic capital market is increased significantly rather than conventional counterpart. Keywords: Islamic capital market, capital market efficiency, abnormal return and abnormal trading volume activity 

scholarly journals Dampak Devaluasi Yuan Pada 11 Agustus 2015 Terhadap Abnormal Return Dan Abnormal Trading Volume Activity Saham Yang Tercatat Di Jakarta Islamic Index JII)

2017 ◽  
Vol 3 (2) ◽  
pp. 127
Author(s):  
Windiya Saputri ◽  
Leo Herlambang
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Abnormal Return ◽  
Trading Volume ◽  
T Test ◽  
Volume Activity ◽  
Paired Sample ◽  
Study Results ◽  
Event Study Method ◽  
Abnormal Trading Volume

Government-related announcement is one of the determinants that potentially affect capital market. This research aims to see the reaction of stock market to Yuan Devaluation on August, 11 2015. The market reaction in this study is indicated by the presence of abnormal retun and abnormal trading volume activty. The approach taken in this research is the quantitative approach with event study method by using one sample t-test and paired sample t-test analysist. The variables in this research are Yuan Devaluation, AAR, and AATVA. The issuers observed in this research are stock listed on JII during the period of study. Results showed that stock listed on JII reacted to Yuan Devaluation, that is showed by significant results both in the AAR and AATVA, which means Yuan Devaluation bears valuable information for investor.

scholarly journals Abnormal Return dan Trading Volume Activity Saham-Saham LQ45 pada Peristiwa Pengumuman Kebijakan Quantitative Easing oleh Bank Sentral Amerika Serikat

2016 ◽  
Vol 1 (1) ◽  
pp. 11-21
Author(s):  
Muhammad Falih Ariyanto
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Quantitative Easing ◽  
Volume Activity ◽  
Long Run ◽  
Positive Abnormal Return ◽  
International Event ◽  
Market Test

This research is an empirical study to analyze international event and its impacts on Indonesian capital market. The international event in this study is expansionary monetary policy issued by the Federal Reserve in the form of quantitative easing policies that were announced in three stages, on 26 November 2008, 4 November 2010, and 14 September 2012 (Indonesia Stock Exchange trading day). The study analyzed the abnormal return and trading volume activity occured at each event period. Observation period in this study used 120-day estimation period and 11-day event period at each stage of the quatitative easing announcement. The event study was done in Indonesian capital market represented by 127 shares that are catagorized as LQ45 index and actively traded in each event period. The assumption that Indonesian capital market is co-integrated with international capital market can make the announcement of quantitative easing policy as positive information for investors in Indonesia. The analysis results show that a significant positive abnormal return around the event date and a significant increase in the intensity trading activities after the quantitative easing announcement, occured. The market test results show that Indonesian capital market has efficient information in a semi-strong form, so that the investors cannot use the published information to get profits (positive abnormal return) in a long run (around the date of the event only).   Abstrak Penelitian ini merupakan studi empiris untuk menganalisis peristiwa internasional dan dampaknya terhadap pasar modal Indonesia. Peristiwa internasional yang diteliti adalah pengumuman kebijakan moneter ekspansif yang dikeluarkan oleh Bank Sentral Amerika Serikat, yaitu quantitative easing yang dilakukan dalam tiga tahapan pengumuman pada tanggal 26 November 2008, 4 November 2010 dan 14 September 2012 (hari perdagangan bursa di Indonesia). Penelitian dilakukan dengan menganalisis abnormal return dan trading volume activity yang terjadi disetiap periode peristiwa. Penelitian ini menggunakan periode pengamatan yang terdiri dari 120 hari periode estimasi dan 11 hari periode peristiwa disetiap tahapan pengumuman quantitative easing. Analisis studi peristiwa dilakukan pada pasar modal Indonesia yang diwakili oleh 127 saham yang pernah masuk dalam kategori indeks LQ45 dan secara aktif diperdagangkan disetiap periode peristiwa. Asumsi bahwa pasar modal Indonesia terkointegrasi dengan pasar modal internasional menyebabkan pengumuman kebijakan quantitative easing dapat menjadi informasi yang positif bagi pemodal di Indonesia. Hasil analisis menunjukkan bahwa terjadi abnormal return positif yang signifikan di sekitar tanggal peristiwa dan peningkatan intensitas perdagangan yang signifikan setelah peristiwa pengumuman kebijakan quantitative easing. Hasil pengujian efisiensi pasar menunjukkan bahwa pasar modal Indonesia efisien secara informasi dalam bentuk setengah kuat sehingga pemodal tidak dapat menggunakan informasi yang dipublikasikan untuk mendapatkan keuntungan (abnormal return positif) dalam jangka waktu yang lama (hanya di sekitar tanggal peristiwa).

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 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 PENGARUH PENGUMUMAN STOCK BUYBACK TERHADAP REAKSI PASAR PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) PERIODE 2016-2019

2020 ◽  
Vol 8 (2) ◽  
pp. 145-153
Author(s):  
Qonita Zein ◽  
Taufiq Akbar
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
T Test ◽  
Volume Activity ◽  
Paired Sample ◽  
Purposive Sampling ◽  
Average Abnormal Return ◽  
Stock Buyback

ABSTRAK Penelitian ini bertujuan untuk menganalisis pengaruh pengumuman pembelian kembali (buyback) saham terhadap reaksi pasar pada perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) tahun 2016-2019. Penelitian ini terdiri dari 32 sampel perusahaan dari seluruh sektor yang terdaftar di Bursa Efek Indonesia (BEI) dan melakukan pengumuman pembelian kembali (buyback) saham. Data yang digunakan dalam penelitian ini adalah data sekunder berupa harga saham dan volume perdagangan saham dan metode pemilihan sampel menggunakan metode purposive sampling. Metode analisis yang digunakan dalam penelitian ini yaitu event study. Teknik analisis data yang digunakan untuk penelitian ini adalah uji normalitas yaitu Kolmogrov-Smirnov, dilanjutkan dengan uji paired sample t-test untuk hipotesis 1 dan hipotesis 2 dengan tingkat signifikansi 0,05. Hasil penelitian ini menunjukkan bahwa terdapat pengaruh signifikan terhadap variabel average abnormal return, namun tidak terdapat pengaruh signifikan terhadap variabel average trading volume activity sebelum dan setelah pengumuman pembelian kembali (buyback) saham. Kata kunci: Buyback, Abnormal Return, Trading Volume Activity.  

scholarly journals Analisa Dampak Pengumuman Corona Virus di Indonesia Tahun 2020 Terhadap Abnormal Return dan Trading Volume Activity Event Study Pada Perusahaan Yang Terdaftar Pada Lq45 Di Bursa Efek Indonesia

2021 ◽  
Vol 2 (1) ◽  
pp. 92-103
Author(s):  
Muhammad Evan lee ◽  
Lulu Setiawati
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Volume Activity ◽  
Corona Virus

Penelitian ini bertujuan untuk menganalisa perbandingan dampak sebeum dan sesudah pengumuman corona virus pertama kali masuk ke Indonesia terhadap Abnormal Return dan Trading Volume Activity pada perusahaan yang sahamnya masuk ke dalam LQ45 di Bursa Efek Indonesia. Dalam penelitian ini, penulis menganalisis dampak pengaruh pengumuman corona virus pertama kali msaik ke Indonesia terhadap Abnormal Return dan Trading Volume Activity yang diukur dalam rentang waktu 15 hari sebelum dan sesudah. Metodologi yang digunakan adalah pendekatan kunatitatif dan deskriptif. Populasi dalam penelitian ini adalah seluruh perusahaan yang terdaftar dalam LQ45 di dalam Bursa Efek Indonesia (BEI) dan samoel dalam penelitian ini adalah semua perusahaan yang terdaftar dalam LQ45 di dalam Bursa Efek Indoensia (BEI) pada periode penelitian. Jenis data yang digunakan adalah data sekunder yang berasal dari website resmi seperti www.idx.co.id, dan yahoo fincance. Hasil dari penelitian ini menunjukkan bahwa pengumuman masuknya corona virus pertama kali ke Indonesia memberikan pengaruh signifikan erhadap Abnormal Return dan Trading Volume Activity pada perusahaan yang terdaftar dalam LQ45 di Bursa Efek Indonesia.

scholarly journals Analisis Reaksi Pasar Atas Peristiwa Pilkada Serentak Tahun 2018

2019 ◽  
pp. 1171
Author(s):  
Ni Nyoman Wahyu Suryani ◽  
Ni Ketut Rasmini
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Sampling Technique ◽  
Volume Activity ◽  
Analysis Technique ◽  
Average Abnormal Return ◽  
Before And After ◽  
Regional Elections

This study aims to determine market reaction in the event of simultaneous regional elections in 2018. This research is an event study with a period of observation for 7 days. The study was conducted on companies classified as LQ45 from February to July 2018. The population in this study was 45 companies. The method of determining the sample used is a non probability sampling method with a purposive sampling technique. The sample obtained was 37 companies. The market reaction to the 2018 simultaneous regional elections was measured using abnormal return and trading volume activity. The data analysis technique used is paired-sample t-test. The test results show that there is no difference in average abnormal return and trading volume activity before and after the events of simultaneous regional elections. This shows that simultaneous regional elections in 2018 did not cause market reaction because there was no information content on the event. Keywords: Event study, abnormal return, politics

scholarly journals Reaksi Pasar Modal Atas Kenaikan The Federal Funds Rate Pada Tanggal 26 September 2018

2019 ◽  
Vol 29 (2) ◽  
pp. 854
Author(s):  
Anak Agung Gede Agung Indrayuda ◽  
I Made Sukartha
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Abnormal Returns ◽  
T Test ◽  
Stock Index ◽  
External Information ◽  
Volume Activity ◽  
Federal Funds ◽  
Federal Funds Rate

In the modern economic system, the role of the capital market is very important as a place where emiten and investors meet. Internal information and external information are needed by investors as a basis for consideration in investment decision making. By looking at the presence or absence of average abnormal returns and average trading volume activity around the event period, this study aims to examine the market reaction to the Federal Funds Rate increase on September 26, 2018. LQ45 is a stock index used as a sample in this study using a purposive sampling technique as a method in sample selection. This study uses one sample t-test, paired sample t-test, and Wilcoxon signed rank test as data analysis techniques. The finding of the significance of average trading volume activity around the event period indicates that the market reacted to the FFR increase on September 26, 2018. However, the results of the study showed no significance of average abnormal return around the event period. Keywords: event study, abnormal return, trading volume activity. Keywords : Event Study; Abnormal Return; Trading Volume Activity.

scholarly journals Analisis Reaksi Pasar Sebelum dan Sesudah Pengumuman Kemenangan Donald Trump Menjadi Presiden Amerika Serikat

2018 ◽  
pp. 406
Author(s):  
I Made Deva Hasdwi Putra ◽  
I Gusti Ayu Made Asri Dwija Putri
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Volume Activity ◽  
Donald Trump

  Penelitian ini berbentuk event study dan bertujuan untuk menguji ada atau tidaknya kandungan informasi yang membuat pasar bereaksi pada saat pengumuman kemenangan Donald Trump menjadi presiden Amerika Serikat sebelum dan sesudah tanggal peristiwa, yang diukur menggunakan rata-rata abnormal return dan rata-rata trading volume activity. Sampel yang digunakan yaitu perusahaan-perusahaan yang tergolong Indeks KOMPAS100 periode Agustus-Januari 2017. Periode pengamatan yang digunakan yaitu selama 15 hari. Teknik analisis yang digunakan yaitu uji wilcoxon signed ranks test. Hasil yang diperoleh menunjukkan terdapat perbedaan rata-rata abnormal return dan rata-rata trading volume activity sebelum dan sesudah pengumuman kemenangan Donald Trump menjadi presiden Amerika Serikat. Hal ini menunjukkan terdapat kandungan informasi pada persitiwa pengumuman kemenangan Donald Trump menjadi presiden Amerika Serikat yang membuat pasar bereaksi. Kata Kunci: Abnormal Return, Trading Volume Activity, Event Study

scholarly journals Kontroversi Pengesahan Revisi UU KPK 2019 Terhadap Reaksi Pasar Modal Indonesia

2020 ◽  
Vol 9 (2) ◽  
pp. 96-104
Author(s):  
Novita Rahayu Pratiwi
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Study Data ◽  
T Test ◽  
Volume Activity ◽  
Paired Sample

Penelitian ini berdasarkan atas kontroversi pengesahan revisi UU KPK 2019 yang bertujuan untuk menghitung ada atau tidaknya perbedaan abnormal return dan Trading Volume Activity (TVA) sebelum dan sesudah peristiwa. Penelitian ini menggunakan SPSS pada indeks saham LQ45 melalui uji beda paired sample t-test. Menggunakan metode event study, data yang dipakai adalah data sekunder berupa historis saham di Bursa Efek Indonesia (BEI), pada 45 sampel perusahaan yang tergabung dalam indeks LQ45. Periode penelitian meliputi empat belas hari, H-7 dan H+7 peristiwa. Hasil statistik uji normalitas, seluruh variabel berdistribusi normal, lalu dilanjutkan dengan uji statistik sample t test, menunjukkan kontroversi pengesahan UU KPK 2019 yang dilaksanakan tepat pada 17 September memberi dampak signifikan terhadap saham yang tergabung dalam indeks LQ45.

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