scholarly journals COVID-19 on the Telecommunications Industry Stock Market Performances: An Event-Study Approach

2021 ◽  
Vol 5 (3) ◽  
Author(s):  
Pratita Garnis Ariantika
Keyword(s):  
Event Study ◽  
Stock Exchange ◽  
Telecommunications Industry ◽  
Study Approach ◽  
First Case ◽  
Average Abnormal Return ◽  
Three Samples ◽  
Before And After ◽  
Event Date ◽  
The One

This study aims to analyze the knowledge quality of the COVID-19 pandemic event regarding the Indonesian stock market's performance as seen from the average abnormal return before and after the first case of COVID-19 Indonesia on March 2, 2020. The research design used in this study is an event study. Three samples used in this research are companies engaged in the telecommunications subsector in the Indonesia Stock Exchange. The technique of sampling that was used in the research was purposive sampling. The study focused on the window period 15 days before and 15 days after the event date. Hypothesis testing is done by using paired sample t-test on data that is typically distributed and the one-sample Wilcoxon signed-ranked test on data that is not yet normally distributed. The result obtained is that there are no significant differences before and after the announcement of the first case of COVID-19 in Indonesia.

Investor Reactions on Emitents Who Published Corporate Sukuk Listed in Indonesia Stock Exchange

2020 ◽  
Vol 2 (2) ◽  
pp. 93-103
Author(s):  
Kasman Damang ◽  
Eka Afnan Troena ◽  
Muhammad Ali ◽  
Abdul Hamid Habbe
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Exchange ◽  
Volume Activity ◽  
Average Value ◽  
Average Abnormal Return ◽  
Before And After ◽  
The Difference

This study applied an event study approach  (event study).  The event tested the announcement of Sukuk emissions and market reactions as indicated by the existence of a significant Abnormal Return on the date of Sukuk emissions and it changed within the activity of Stock Trader of the Corporation Sukuk Issuer. Observation period between 2009-2018, there was 129 Sukuk emissions in Indonesia Stock Exchange. The number of samples taken was 26 emissions of Sukuk which make emissions from 12 issuers that met the set criteria. Data were analyzed using descriptive statistical analysis, independent t-test, t-paired test, and regression analysis.  Furthermore, the data were processed using IBM SPSS for Windows Software. The results showed that there was a difference in Average Abnormal Return (AAR) before and after the announcement of Sukuk emissions. However, the average value of the difference was not statistically significant. There was a positive market reaction on Average Abnormal Return (AAR) before the announcement of Sukuk emissions. There was a positive market reaction on Average Abnormal Return (AAR) after the announcement of Sukuk emissions. There were differences in the Average Trading Volume Activity (ATVA) before and after the announcement of Sukuk emissions. However, the average value of the difference was not statistically significant. There was a significant market reaction on Average Trading Volume Activity (ATVA) before the announcement of Sukuk emissions. There was a significant market reaction of Average Trading Volume Activity (ATVA) after the announcement of Sukuk emissions. Furthermore, this study also found that Sukuk to Equity Ratio (SER) had a positive effect, but not significantly on the level of  Return on Assets (ROA), Return on Equity (ROE), and Earning per Share (EPS), but it was not significant. These insignificant effects of  SER  on the issuer's  ROA,  ROE  and  EPS were caused by the relatively small proportion of Sukuk value compared to the value of assets and company equity.

scholarly journals Reaksi Pasar Atas Penerbitan Sukuk (Studi Pada Emiten Saham Penerbit Sukuk Periode 2008-2012)

2015 ◽  
Vol 1 (5) ◽  
pp. 363
Author(s):  
Vita Fatimatuzzahra ◽  
Leo Herlambang
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Investment Decisions ◽  
Volume Activity ◽  
Significance Level ◽  
Study Approach ◽  
Lack Of Information ◽  
Before And After ◽  
Event Date

Issuance of Sukûk’s corporation, it can be an opportunity for many companies to become proponent necessity for funding and business expansion. Sukûk publication announcement is an information for investors in order to assess it based on their investment decisions. In order to get the investment decisions, investors often based on the signals that had been given by the company. That signal can caused the changes of demand and supply’s shares. This study aims to find out the reaction of the stock from the Sukûk publication as indicated by the presence of abnormal returns around the date of publication and the Trading Volume Activity (TVA) difference which is occured before and after Sukûk publication.This study uses event study approach, it carries out on 11 issuer stock of Sukûk publisher which is listing in Indonesia Stock Exchange period : 2008-2012. This study also uses observation period for 81 days, they are t - 10 (70 days before publication), t - 0 (event date) and t +10 (10 days after publication). The hypothesis calibration of this thesis uses a one sample t - test and paired t - test.The results of this study is based on a statistical test with a significance level (α) = 5 %resulted AAR which was in a significantly positive on t - 2 at 0.03711 and significantly negativeat t +9 of 0.03. In contrast with TVA, the statistic results showed probability value of 0.026,which means there is a significant different of trading volume activity before and after ofSukûk publication. The lack of information about Sukûk also caused there is significant AARreaction only in some poriods of observation and significant negative TVA .

scholarly journals Perbedaan Likuiditas Saham Sebelum dan Setelah Penerapan Keputusan Perubahan Satuan Perdagangan (Studi Pada Emiten di JII)

2015 ◽  
Vol 2 (3) ◽  
pp. 265
Author(s):  
Mirza Dewi Riskyta ◽  
Leo Herlambang
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Hypothesis Test ◽  
Investment Decision ◽  
Significance Level ◽  
Study Approach ◽  
Significant Difference ◽  
Before And After ◽  
Event Date ◽  
The Difference

Application of unit trade change decision is one that can be used as balance information for the investors to take an investment decision. Investors must be able to analyse the signal of any information regarding the application. That signal can change of supply and demand’s shares. This study aims to find out the reaction of stock liquidity on application of unit trade change decision indicated by the difference of Trading Volume Activity (TVA) and Transaction Frequency Activity (TFA) on before and after the application of trade change decision. This study use event study approach held on 30 emiten of stock listed on Indonesia Stock Exchange period December 2013 – May 2014. This study use observation period for 11 days, are t-5 (five days before the application), t-0 (event date), and t+5 (five days after the application). Hypothesis test use paired t-test. The result based on statistical test with significance level (α) = 5% produce probability value 0.599 for TVA and 0.121 for TFA. Based on these result, it can be concluded that there is no significant difference between TVA and TFA on before and after the application of trade change decision.

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>

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 The Effect of Dividend Initiation on Short-run Return in Indonesia: An Event Study with Propensity Score Matching Approach

2016 ◽  
Vol 11 (12) ◽  
pp. 207
Author(s):  
Bambang Sugeng
Keyword(s):  
Propensity Score ◽  
Propensity Score Matching ◽  
Event Study ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Traditional Approach ◽  
Abnormal Returns ◽  
Listed Firms ◽  
Study Approach ◽  
Short Run

<p>Dividend initiation policy offers a relatively unique practical and conceptual characteristics compared to those of regular dividend. This study aims at investigating whether initial dividend policy of Indonesian firms affects short-run stock return, while further exploring the implementation of a new event study approach, <em>propensity score matching</em>, as an experimental-like design. This approach is based on actual rather than estimated abnormal return commonly used in traditional approach. Applying this new approach, this study found no significant abnormal returns around dividend initiation announcement by firms listed in Indonesia Stock Exchange. The findings imply that the dividend initiation behavior of Indonesian firms is proved not fully to follow the theoretical framework of signaling model, a dividend model which is basically developed primarily based on regular dividend behavior. The results partly contradict those findings mostly resulted from researchs conducted in advanced market context but seem to support contextuality argument of dividend policy. From methodological perspective, this study identified that the use of propensity score matching approach needs a large number of firms from which control firms are selected, accordingly the study conducted in market with limited number of listed firms such as in Indonesia could generates selection problem of control firms that optimally match treated firms.</p>

scholarly journals The Effect of BI Rate’s Decrease Toward The Market Reaction in Indonesia Stock Exchange (IDX)

2016 ◽  
Vol 17 (2) ◽  
pp. 205
Author(s):  
Riwi Sumantyo ◽  
Devi Anggraeni
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Exchange ◽  
Debt Crisis ◽  
Share Price ◽  
Paired Samples ◽  
Before And After ◽  
Event Date ◽  
Negative Sentiment

This research aims to analyze the market reaction that can be seen from the abnormal return and trading volume of activity against BI rate’s decrease announcement which is the lowest point in 2011. Research methods using paired samples t-test. Data used in this research include the date of announcement of the BI rate which is used as the event date (t0), daily closing share price of companies in a period of observation, LQ-45 index daily, the number of shares traded or daily volume, and the number of shares in circulation or listed share. This research uses 39 companies listed in the LQ 45 Index listed in BEI as samples. Result of this research is the absence of differences of Abnormal Return and Trading Volume of Activity before and after the announcement. The possibility of this situation was caused by the negative sentiment arising due to the debt crisis in Europe that there is never a solution so it affects the psychology of investors un decision-making.

scholarly journals Do Regional Election and Presidential Election Affect Stock Exchange? An Event Study in the Indonesian Stock Exchange

2021 ◽  
Vol 7 (1) ◽  
pp. 71-80
Author(s):  
Khanifah Khanifah ◽  
Agus Triyani ◽  
Suhita Whini Setyahuni
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
T Test ◽  
Democratic Politics ◽  
Paired Samples ◽  
Before And After ◽  
Regional Elections

The 2018 simultaneous regional election in Indonesia is something new in the events of democratic politics in Indonesia. The events of the 2018 simultaneous regional election is one of the important events in 2018 that can cause a reaction of capital market to these events. This study aims to examine how the capital market reacts to the simultaneous regional elections in 2018 and presidential elections in 2019, by looking at the differences in the preceding and following periods based on 2 variables, namely abnormal return and trading volume activity. The sample in this study were 30 companies listed in the Indonesian Stock Exchange during 30 periods from February through July 2018. Research Methode This study used an event study. One paired samples T test was used as a technique analysis. The means of each variable within eleven days period was compared. The period of observation is five days before the event, five days after the event, and one day on event day. Based on the results of the parametric statistical calculations, the paired sample t-test showed that there was no difference between the level of abnormal returns before and after the 2018 simultaneous regional elections. On the other hand, there was a difference between trading volume of activity before and after the 2018 simultaneous regional elections.

scholarly journals Reaksi Pasar Terhadap Peristiwa Politik Terkait Jokowi di Bursa Efek Indonesia

2015 ◽  
Vol 2 (3) ◽  
pp. 325-343
Author(s):  
Anis Sundiyah ◽  
I Made Sudana
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Abnormal Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Presidential Candidate ◽  
Analysis Model ◽  
Stock Market Reaction ◽  
Political Events ◽  
Average Abnormal Return

This research examines stock market reaction to the political events related of Jokowi in the Indonesia Stock Exchange. Variables used in this research are average abnormal return (AAR) and cumulative average abnormal return (CAAR) which measured using a statistical test one sample t-test. In this research, there are 230 sampel in the announcement Jokowi as a presidential candidate, 316 sampelin the announcement of results of presidential election quick count and 339 sampel in the announcement of work cabinet. Analysis model in this research is event study during the test period of 11 days exchange trading. Consistency of the stock market reaction was compared descriptively based on the analysis of AAR and CAAR. Testresults of AAR and CAAR showed that stock market consistently reacted positively to the announcement Jokowi as a presidential candidate and the announcement of the work cabinet and inconsistent with the announcement of the results of quick count because stock market reacted negatively. keywords: event study, political events of Jokowi, AAR, CAAR, consistency reaction.

scholarly journals Reaksi Pasar terhadap Perpindahan Ibu Kota Negara Republik Indonesia

2020 ◽  
Vol 30 (11) ◽  
pp. 2795
Author(s):  
Dicky Wahyudi Rumaday ◽  
Maria Mediatrix Ratna Sari
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Capital City ◽  
Volume Activity ◽  
Analysis Technique ◽  
Average Abnormal Return ◽  
Before And After ◽  
Event Date ◽  
The Republic

This research is an event study that aims to determine the market reaction arising from the movement of the capital city of the Republic of Indonesia. The date chosen as the event date is April 29, 2019 when the issue first came out and August 26, 2019 when the official announcement. The samples used in this study are all companies included in the LQ45 index for the February-July 2019 and August 2019-January 2020 periods. The data analysis technique used is the different test. The results showed there were no differences in the average abnormal return before and after the issue first came out, but there were differences in the average abnormal return before and after the official announcement. There is a difference in the average trading volume activity before and after the issue first came out and when the official announcement of the move of the capital of the Republic of Indonesia. Keywords: Market Reaction; Abnormal Return; Trading Volume Activity; Capital Movement.

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