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.

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 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 ANALISIS PERBEDAAN ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SEBELUM DAN SESUDAH PERISTIWA PENETAPAN UNDANG-UNDANG TAX AMNESTY

2021 ◽  
Vol 10 (3) ◽  
pp. 186-198
Author(s):  
I Komang Wisnu Wardhana ◽  
Hermanto Hermanto ◽  
I Nyoman Nugraha AP
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Secondary Data ◽  
Volume Activity ◽  
Analytical Technique ◽  
Tax Amnesty ◽  
Average Abnormal Return ◽  
Before And After ◽  
The Difference

The purpose of this study was to determine the difference in the average abnormal return and trading volume activity before and after the enactment of the tax amnesty law on the LQ-45 index. The type of data used in this study is secondary data with data collection techniques using the documentation method. Determination of the sample in this study using purposive sampling method with certain criteria so as to obtain 45 samples. The analytical technique used in this research is paired sample t-test with an observation period of 10 days. The results of this study indicate that: (1) There is no difference in the average abnormal return before and after the enactment of the tax amnesty law. (2) There is no difference in the average trading volume activity before and after the enactment of the tax amnesty law. 

scholarly journals Reaksi Pasar Terhadap Peristiwa Pemilihan Presiden Indonesia 2019

2019 ◽  
Vol 29 (3) ◽  
pp. 1026
Author(s):  
I Gede Aditya Baskara ◽  
Made Gede Wirakusuma
Keyword(s):  
Event Study ◽  
Presidential Election ◽  
Stock Prices ◽  
Abnormal Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
T Test ◽  
Significant Difference

This research is an event study that aims to determine the market reaction arising from the 2019 Indonesian presidential election, against companies listed in the infrastructure stock sector on April 17, 2019, using the abnormal return indicator. This study uses secondary data in the form of daily stock prices per company during the period with the population of the infrastructure sector listed on the Indonesia Stock Exchange. The statistical tests used to test hypotheses are descriptive statistical tests, normality tests and one sample t-test. The results of the one sample t-test on abnormal return is that there is no significant difference, which means the market does not respond to the event. These results indicate that the efficient market is not answered in the 2019 Indonesian presidential election due to the absence of abnormal returns in it. Keywords : Event Study, Market Reaction, Abnormal Return, 2019 Indonesian Presidential Election.

scholarly journals Apakah Pembatasan Sosial Berskala Besar Warga Negara Asing Berdampak Pada Average Abnormal Return?

2021 ◽  
Vol 1 (2) ◽  
pp. 160-171
Author(s):  
Asnat Susanti Dangga Lolu ◽  
Lusianus Heronimus Sinyo Kelen
Keyword(s):  
Stock Prices ◽  
Abnormal Return ◽  
Large Scale ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Economic Sector ◽  
Stock Trading ◽  
Average Abnormal Return ◽  
Before And After ◽  
Research Period

This study examines the differences in stock prices listed on the Indonesia Stock Exchange as measured using average abnormal returns on events (event studies) before and after the enactment of Large-Scale Social Restrictions for Foreign Citizens, especially COVID-19 which has an impact not only threatening human health but also has an impact on the economic sector. This condition will certainly have an impact on all sectors including stock trading on the Indonesia Stock Exchange, especially the Tourism, Hospitality, and Restaurant sub-sector. By using a sample of 41 companies on the Indonesia Stock Exchange with a research period of 3 months (16 November 2020 to 15 February 2021) the type of purposive sampling research that meets the criteria and using paired sample t-test, the results show that there is no difference Average Abnormal Return before and after the occurrence of a PSBB event for Foreign Citizens. So it can be concluded that the PSBB for Foreign Citizens has no impact on the average abnormal return obtained by investors.

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 Pengaruh Employee Stock Ownership Program Terhadap Average Abnormal Return Perusahaan Perbankan

2020 ◽  
Vol 1 (1) ◽  
pp. 47-55
Author(s):  
Agung Suprayogi ◽  
Abdul Basyith
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Ownership ◽  
Employee Stock Ownership ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Before And After

This research was conducted to see the effect of the implementation of the Employee Stock Ownership Program on average abnormal returns of banking companies before and after applying ESOP and trading volume. The aim is to find out the difference in average abnormal return before and after applying the ESOP. The variable used in this study is average abnormal return. The period of this research event is 20 days, 10 days, 5 days and 1 day which are divided before and days after the date of application. This study examines banking companies that apply the Employee Stock Ownership Program listed on the Indonesia Stock Exchange so that data is obtained from trading in the company's stock price. The sampling criteria used a purposive sampling method in order to obtain 9 samples. The hypothesis method used in the normally distributed data is Paired Samples T-test. The result is that all average abnormal return periods both on the first and the last date of the ESOP application have a significant value >0.05, which means that the entire event period of the variable is proven to have no significant difference both before and after the banking company applies the Employee Stock Ownership Program.

scholarly journals Market Reaction to Dividend Announcements During Pandemic: An Event Study

2021 ◽  
pp. 097226292110662
Author(s):  
Nisha Prakash ◽  
Yogesh L
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Weak Form ◽  
Primary Objective ◽  
Market Reactions ◽  
The Difference ◽  
Stock Market Reactions

This study analyses the difference in stock market reactions to dividend announcement during the pandemic. The thirty constituent stocks of Sensex, the index of Bombay Stock Exchange (BSE), is used for analysis. This allows cross-industry comparison of the market reaction. The study examines stock market reactions covering 44 days around the dividend announcement dates. The primary objective of this study is to understand whether the price adjustment linked to the dividend announcement news during the pandemic was different from the earlier years. This empirical study employs the conventional event study methodology using abnormal returns (ARs) to examine the stock market reaction to dividend announcement. The market reaction to dividend announcement was increasingly positive during the pandemic, compared to previous years. The statistical pooled t-tests showed there was a significant relationship between the pandemic and ARs. The findings also indicate that the difference in the market reaction to dividend announcement was more prominent in services stocks than that in manufacturing. Further, the results also verify the weak-form of efficiency of Indian stock exchange.

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 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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