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 Analisis Perbandingan Reaksi Investor Sebelum Dan Sesudah Pengumuman Indonesia Sustainability Reporting Awards (ISRA)

Al-Buhuts ◽  
2018 ◽  
Vol 14 (02) ◽  
pp. 123-143
Author(s):  
Dwi Yana Amalia Sari Fala ◽  
Septy Indra Santoso ◽  
Ariska Amanda
Keyword(s):  
Hypothesis Testing ◽  
Abnormal Return ◽  
Trading Volume ◽  
Sampling Method ◽  
Abnormal Returns ◽  
Sustainability Reporting ◽  
Test Results ◽  
Volume Activity ◽  
Paired Sample ◽  
Before And After

The purpose of this research to analyze the reaction of investors, as measuring by differences in abnormal returns and trading volume activity before and after the announcement of Indonesia sustainability reporting awards in 2016. Using purposive sampling method was obtained Sample of research 10 companies with observation for three days before and three days after announcement. The Hypothesis testing used paired sample t-test. Results of the first hypothesis testing show that happen differences abnormal return before and after the announcement of Indonesia sustainability reporting awards but not significant, testing the second hypothesis too shows that are differences in trading volume activity before and after the announcement of Indonesia sustainability reporting awards but not significant.

Uji Komparasi Abnormal Return, Trading Volume, Trading Frequency, Dan Bid-Ask Spread Sebelum Dan Sesudah Share Split

2016 ◽  
Vol 8 (2) ◽  
pp. 24-45
Author(s):  
Tania Hayu Safira ◽  
Febryanti Simon
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Distributed Data ◽  
Trading Frequency ◽  
Bid Ask Spread ◽  
Analysis Technique ◽  
Before And After ◽  
Test Of Hypothesis ◽  
Kolmogorov Smirnov

This study is event study that was conduct to examine the differences of abnormal return, trading volume, trading frequency and bid-ask spread before and after the events of share split. The object of this research is the companies that did share split and listed in Indonesia Stock Exchange in 2008 - 2015. The samples are 30 companies chosen by purposive sampling method. The criteria are 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. Event window used in this study was 30 days consisting of 15 days before and 15 days after the share split. Data analysis technique begins with a test of normality using Kolmogorov – Smirnov and transform for unnormally distributed data. Then, test of hypothesis using Paired t – test to compare the differences before and after share split. The results of this study showed that volume trading activity and trading frequency had significant differences before and after the share split. While, variable abnormal return and bid-ask spread had not significant differences before and after the share split. Keywords: Abnormal return, bid-ask spread, share split, trading frequency, trading volume.

scholarly journals REAKSI PASAR TERHADAP PENGUMUMAN CASH DIVIDEND PADA PERUSAHAAN YANG TERGABUNG DALAM INDEKS KOMPAS 100

2020 ◽  
Vol 9 (3) ◽  
pp. 988
Author(s):  
I Putu Agus Ary Raditya Juliana ◽  
Ica Rika Candraningrat
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Participant Observation ◽  
Abnormal Returns ◽  
Public Information ◽  
Rank Test ◽  
Cash Dividend ◽  
Volume Activity ◽  
Before And After

The purpose of this study is to determine the market reaction to the announcement of cash dividends, by looking at differences in abnormal return and trading volume activity before and after the cash dividend announcement. Dividend announcement is an event that affects the market, because the company provides information to the public. Information provided by the company will influence investors' decision making and will act on that information. The sample of this study amounted to 33 of the 100 companies incorporated in the Kompas 100 index on the Indonesia Stock Exchange (IDX). The data collection method uses non-participant observation, which is document observation. The analysis technique used is Paired-Sample T Test and Wilcoxon-Signed Rank Test. The results showed that there were no differences in abnormal returns and trading volume activity before and after the distribution of cash dividends. Keywords: cash dividend, abnormal return, trading volume activity

scholarly journals ANALISIS PERBEDAAN ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SAHAM SEBELUM DAN SESUDAH PERISTIWA GEMPA DI YOGYAKARTA TANGGAL 27 MEI 2006 (Sudi Kasus pada Perusahaan Asuransi Terdaftar di Bursa Efek Jakarta)

IQTISHODUNA ◽  
2011 ◽  
Vol 2 (2) ◽  
Author(s):  
Lulu Nurul Istanti, SE., MM.,
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Mean Value ◽  
Volume Activity ◽  
Significant Difference ◽  
Before And After ◽  
Insurance Firms ◽  
The Mean ◽  
Difference Test

This research presents an empirical analysis of difference between abnormal return and trading volume activity before and after earths-quake, in Yogyakarta at May 27, 2006. And examine its statistical properties. This research argues that there was difference between abnormal return and trading volume activity before and after quake. For this purpose, the mean difference test, using t-test, was applied to compare the mean value of abnormal return and trading volume activity before and after quake. The sample of this research consists of the insurance firms listed at the Jakarta Stock Exchange. Investigation on the sample firms involved periods of ten days before quake and ten days after quake. The results of this research indicate that there was no significant difference between the abnormal return and trading volume activity before and after quake. This evidence confirms that even did not positively influence abnormal return and trading volume activity as suggested theoretically.  

scholarly journals PENGUJIAN JANUARY EFFECT : STUDI KOMPARASI PADA BURSA EFEK INDONESIA DAN BURSA SAHAM SHANGHAI PERIODE 2011-2013

2017 ◽  
Vol 6 (1) ◽  
Author(s):  
Latanza Hanum Kartikasari
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
T Test ◽  
January Effect ◽  
Volume Activity ◽  
Paired Sample ◽  
The Difference ◽  
One Way Anova

The January Effect occurred as a result companies that have a strategy to improve it is financial statements. The company will sell stocks that have low values at the end of the year and sell shares favorable to attract investment back at the beginning of next year. January Effect the anomaly that serves low stock Return occurred in December and the highest Return ing January. The purpose of this research was to examine whether there is a phenomenon January Effect on Effect Indonesia Stock Exchange and Shanghai Stock Exchange in Period 2011-2013The variables used in this study are the Return, Abnormal Return and trading volume activity. This research was conducted at the company that is static between years 2011-2013 were in a group LQ45 and SSE50 samples that meet the criteria. The model used is the determination of the sample with purposive sampling method. The tools used are Test One-Way ANOVA and Paired Sample (t-test). The results of analysis showed that look Abnormal Return  stock and Return  there is a difference between January to January in addition to the Indonesia Stock Exchange and Shanghai Stock Exchange by using One-Way ANOVA, while the Paired Sample (t-test) on the Shanghai Stock Exchange there the difference between January to be for January. And for testing of trading volume activity, The January Effect does not occurred in the Indonesia Stock Exchange and Shanghai Stock Exchange.

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 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.

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 ATAS PANDEMI VIRUS CORONA PADA PERUSAHAAN LQ45 DI BURSA EFEK INDONESIA

2021 ◽  
Vol 5 (1) ◽  
pp. 125-138
Author(s):  
Nabiell Ghibran ◽  
Lukman Effendy ◽  
Indria Puspitasari Lenap
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
T Test ◽  
Volume Activity ◽  
Paired Sample ◽  
A Value ◽  
Corona Virus ◽  
Significant Difference ◽  
Before And After

Abstract The study was intended to analyze the reactions of Indonesia's capital markets on events Indonesia tested positive for the corona virus pandemic. The study adopted an 11-day period of event study analysis. The population in this study is the entire company listed on the LQ45 index at the Indonesian stock exchange in February - June 2020. Sampling taken in this study uses an impressive sampling technique. Samples obtained by criteria on this research account number 42 companies. Variables used in this study are abnormal return and trading volume of activity.     The study used paired sample t-test analysis methods. The research indicates that there was no significant difference between average abnormal return before and after the Indonesia announcement was positive the corona virus pandemic. This is indicated by the results of the significant paired sample t-test that have a value of 0.924 > 0.05. Additionally, this study indicates that there was no significant difference in average trading volume activity before and after the events of the Indonesian announcement was positive that the corona virus pandemic. This is indicated by the results of the significant paired sample t-test that have a value of 0.936 > 0.05. Keywords : Event Study, Corona Virus Pandemic, Abnormal Return, Trading Volume Activity

scholarly journals PENGUJIAN REAKSI INVESTOR TERHADAP PENGUMUMAN KABINET INDONESIA MAJU

2020 ◽  
Vol 7 (1) ◽  
pp. 21-40
Author(s):  
Rexza Bramesta
Keyword(s):  
Stock Prices ◽  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
T Test ◽  
Volume Activity ◽  
Political Event ◽  
Paired Sample ◽  
Significant Difference ◽  
Before And After

Capital markets are relevantly influenced by political event. This research aimed to analyze the market reaction on the announcement of cabinet of Indonesia Maju on October, 23 2019. Market reaction is measured by abnormal return and trading volume activity. This study used 44 companies from LQ45 group’s stock prices as population and used event study method to identify market reaction. The window event is 11 day long (t-5 – t+5). The statistical test used to test the hypotheses is simple t-test and paired sample test. The result of the statistical calculation of simple t-test showed there are no significant abnormal return around the date of the event. It means that investors do not respond to the event of newly cabinet announcement. The result of paired sample t-test showed there are no significant difference between the average abnormal return and trading volume activity obtained by sample companies listed in LQ45 index before and after the announcement of cabinet of Indonesia Maju.

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