scholarly journals Reaksi Pasar Atas Pengungkapan Management Discussion and Analysis

2019 ◽  
Vol 28 (2) ◽  
pp. 987
Author(s):  
Putu Aldhi Surata ◽  
Ida Bagus Putra Astika
Keyword(s):  
Abnormal Return ◽  
Annual Report ◽  
Abnormal Returns ◽  
Total Sample ◽  
Test Results ◽  
Market Reactions ◽  
Regression Test ◽  
Before And After ◽  
Study Population ◽  
Positive Effect

OJK issues POJK No.29 / POJK.04 / 2016 which requires MD & A disclosure in the annual report. The purpose of this study is to prove empirically that there are (1) market reactions in annual report disclosures, (2) the effect of MD & A disclosure level on abnormal returns. The study population used the KOMPAS100 index of 100 issuers with a total sample of 63 samples. The Wilcoxon statistical test results state that there are differences before and after the disclosure of the annual report. Furthermore, a simple linear regression test was conducted which gave the results that the MD & A disclosure had a positive effect on the market reaction that was proxied using abnormal return. The test results produce MD & A disclosures that have a positive effect on market reactions through abnormal returns so that the market is known to use the information contained in MD & A.Keywords : Management discussion and analysis, abnormal return, annual report.

scholarly journals Market Reaction Analysis of Annual Report Award Announcement: An Event Study Using Abnormal Return, Trading Volume Activity, and Stock Price

2020 ◽  
Vol 4 (1) ◽  
pp. 340
Author(s):  
Fitri Astuti ◽  
Anggi Setya Prayoga
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Annual Report ◽  
Market Reaction ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Event Window ◽  
Before And After

This study intends to examine the differences in market reaction around the announcement of the Annual Report Award which is not only measured by abnormal return but is also measured using trading volume activity and stock prices. The data used are quantitative data in the form of a list of companies that received the Annual Report Award for the 2015-2018 period, the daily closing price of the ARA-winning company in the event window, the composite stock price index, the number of shares traded, and the number of shares outstanding. The event window is selected for 11 days because the long window period will blend with the effects of other events or confounding effects. The results of the study concluded that the market reacted around the announcement of the Annual Report Award for the 2015-2018 period measured using abnormal returns, trading volume activity, and stock prices. There is no difference in abnormal returns before and after the announcement of the 2013-2016 Annual Report Award period. Instead there are differences in trading volume activity and stock prices before and after the announcement of the Annual Report Award for the 2015-2018 period.

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.

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 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)

scholarly journals REAKSI PASAR DARI PENGUMUMAN REKAPITULASI NASIONAL HASIL PERHITUNGAN SUARA PEMILU 2019 (STUDI PADA INDEKS LQ-45)

KEUNIS ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 96
Author(s):  
Hilwan Firhan Adityaningrat ◽  
Anggraeni Pratama Indrianto
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Abnormal Returns ◽  
T Test ◽  
Volume Activity ◽  
Test Analysis ◽  
Market Reactions ◽  
Before And After ◽  
Vote Count ◽  
Election Results

<p><em><span lang="IN">This study aims to find and analyze market reaction before, during and after the announcement of the national recapitulation of the calculation results 2019 election votes, the differences of average abnormal returns before and after the announcement of the national recapitulation of the 2019 election results, and the differences of average trading volume activities before and after the announcement of the national recapitulation of the 2019 election results. The variables used are abnormal return and trading volume activity. The population used in this study is stocks incorporated in the LQ-45 index. There were 34 samples chosen. This study uses one-sample t-test and paired t-test analysis techniques. The results of this study are market reactions during and after the announcement of the national recapitulation results of the 2019 election vote count. However, there was no difference in the average abnormal return and trading volume activity before and after the announcement of the national recapitulation of the 2019 election vote count results.</span></em></p>

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.

scholarly journals ANALISIS REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA PELEDAKAN BOM BUNUH DIRI DI SURABAYA (Studi Kasus pada Perusahaan LQ 45 yang Terdaftar Di Bursa Efek Indonesia)

2019 ◽  
Vol 5 (2) ◽  
Author(s):  
Jumriaty Jusman
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Suicide Bombing ◽  
Market Reactions ◽  
Suicide Bombers ◽  
Significant Difference ◽  
Before And After ◽  
Adjusted Model

Abstract: This research is conducted on the basis of observations of events that occur in the country that can prevent security stability. One of the effects of these events is a market reaction. The purpose of this study was to determine whether the capital market reacted to the suicide bombings that occurred in Surabaya, by observing the Abnormal Return behavior obtained by investors and the difference in Avarage Abnormal Return on the Indonesia Stock Exchange (BEI) before and after the bombing. This research was conducted using the event study method with the Market Adjusted Model approach. The sample used is a company whose shares have been listed and included in the calculation of the LQ-45 index. Statistical test of Abnormal Return, Avarage Abnormal Return using paired sample t -test. The results of the first hypothesis testing are accepted, because there is a significant abnormal return for investors due to the explosion of Suicide Bombers in Surabaya. While the results of testing the second hypothesis were rejected, because there was no significant difference obtained by investors between Avarage Abnormal Return before and after the suicide bombing in Surabaya Keywords: Abnormal returns, Event Studies, Bombs in Surabaya, LQ-45, Market Adjusted Models, Market Reactions Abstrak: Penelitian ini dilukan atas dasar pengamatan terhadap peristiwa-peristiwa yang terjadi di dalam negeri yang dapat menggaggu stabilitas keamanan. Salah satu dampak dari peristiwa (event) tersebut yaitu terjadi reaksi pasar. Tujuan penelitian ini adalah untuk mengetahui apakah pasar modal bereaksi terhadap peristiwa Bom Bunuh diri yang terjadi di Surabaya, dengan mengamati perilaku Abnormal Return yang diperoleh oleh investor serta perbedaan Avarage Abnormal Return di Bursa Efek Indonesia (BEI) sebelum dan sesudah peristiwa Bom tersebut. Penelitian ini dilakukan dengan metode event study dengan pendekatan Market Adjusted Model. Sampel yang digunakan adalah perusahaan yang sahamnya telah tercatat dan masuk  dalam perhitungan indeks LQ-45. Uji statistik terhadap Abnormal Return , Avarage Abnormal Return menggunakan Uji t. Hasil pengujian hipotesis pertama diterima, karena terdapat Abnormal Return signifikan bagi investor yang diakibatkan peristiwa peledakan Bom Bunuh Diri di Surabaya.  Sedangkan hasil pengujian hipotesis kedua ditolak, karena tidak ada perbedaan signifikan yang diperoleh investor antara Avarage Abnormal Return sebelum dan sesudah peristiwa Bom bunuh diri di Surabaya Kata kunci : Abnormal return, Event Study , Bom di Surabaya, LQ-45, Market Adjusted Model, Reaksi Pasar

scholarly journals Market Reactions of the PharmaceuticalSub-Sector to the Announcement of the Covid - 19 Incident in Indonesia

2020 ◽  
Vol 5 (4) ◽  
pp. 77-80
Author(s):  
Erni Alfisah
Keyword(s):  
Trading Volume ◽  
Sampling Method ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Analytical Techniques ◽  
Economic Environment ◽  
Market Reactions ◽  
Daily Data ◽  
Before And After ◽  
Study Population

A capital market is a meeting place for capital seekers and capital owners who want to benefit from their investment. The market will respond quickly to any information directly related to the economic environment and the non-economic environment. This event study research aims to analyze differences in abnormal returns and trading volume activity in three different observation windows on the announcement of the Covid-19 incident in Indonesia in pharmaceutical sub-sector companies listed on the Indonesia Stock Exchange in 2020. This type of research used is all pharmaceutical subsector companies. On the IDX to be the study population. The sampling method used purposive sampling and obtained eight companies. AR & TVA calculations with daily data are the analytical techniques used, obtained through www.idx.co.id. This study did not show any difference in AAR from all observation periods, namely five days before and after, ten days before and after, and 15 days before and after the event, for differences in ATVA were found in all observation periods.

scholarly journals Analisis Kinerja Saham LQ-45 Pada PILKADA DKI Jakarta Putaran II 2017

2019 ◽  
Vol 12 (2) ◽  
pp. 87-96
Author(s):  
Moh. Zaki Kurniawan
Keyword(s):  
Abnormal Return ◽  
Stock Return ◽  
Abnormal Returns ◽  
T Test ◽  
Cumulative Abnormal Return ◽  
Test Results ◽  
Paired Sample ◽  
Cumulative Abnormal Returns ◽  
Before And After ◽  
Research Period

The purpose of this study is to see the differences in the performance of LQ-45 shares before and after the Jakarta Election in the second round of 2017 through returns, abnormal returns, and cumulative abnormal returns on the Indonesia Stock Exchange.This study uses purposive sampling in the LQ 45 index. This type of research is an event study. The research period for 20 days: 10 days before and 10 days after event. Hypothesis testing uses paired sample t-test. Paired sample t-test test results showed the stock return did not differ before and after the period. The results of paired sample t-test abnormal return and cumulative abnormal return before and after the election were found to be no difference.

The Effects of Share Repurchase Announcements on Returns in the Malaysia Stock Market

2018 ◽  
Vol 1 (1) ◽  
pp. 1 ◽  
Author(s):  
Tze San Ong ◽  
Pei San Ng
Keyword(s):  
Stock Market ◽  
Abnormal Return ◽  
Small Firms ◽  
Abnormal Returns ◽  
Share Repurchase ◽  
Before And After ◽  
Positive Abnormal Return ◽  
Repurchase Announcements ◽  
Signaling Hypothesis ◽  
Firm Characteristic

This paper examines the market response surrounding the share repurchase announcements of Malaysia Listed Companies from years 2012 to 2016. One sample T-test was carried out to identify the abnormal return in the range before and after 20 days from share repurchase announcements. The result shows a significant positive abnormal return in the day of repurchase announcements and continuously until day 1 after the announcements. Multiple regression analysis was performed in order to identify the firm characteristic of share repurchase. The finding is supported with information asymmetric, which shows that stock market reacts more favorably through the repurchase announcements by small firms than large firms. This study is consistent with the signaling hypothesis that shows share repurchase announcement can be an effective tool in stabilizing the stock market in Malaysia. The finding of this study acts as a useful tool for managers and investors to improve their decisions on share repurchase announcements in Malaysia. Company’s managers can conduct share repurchase announcements that are able to make the stock market react positively in order to generate positive abnormal returns.

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