scholarly journals Map of Return of Shares and Volume Activity Trading of Companies in Indonesia on The Pandemic Time of Covid-19

2021 ◽  
Vol 36 (2) ◽  
pp. 156
Author(s):  
Hersugondo Hersugondo ◽  
Abdul Karim ◽  
Abdul Rouf
Keyword(s):  
Standard Deviation ◽  
Natural Disaster ◽  
Abnormal Return ◽  
Trading Volume ◽  
Analysis Tool ◽  
Volume Activity ◽  
Average Abnormal Return ◽  
Average Change ◽  
Before And After ◽  
The Impact

<p>This research was conducted to determine the impact of Covid-19 on the Company’s stock returns and trading volume activity. The covid-19 pandemic event is important for research because it includes investor’s assessment of the information generated in the capital market. This study was conducted to test the following hypotheses: before and after the Covid-19 pandemic was declared a national non-natural disaster, (1) there was a significant average change in the average abnormal return; (2) it is a significant average change in average trading volume activity. This research was conducted using event research methods. The sample for this study comes from 45 companies in the JII index. The analysis tool used is a regression with the SPSS. The descriptive statistic can be confirmed by calculating the standard deviation value. The result shows that the standard deviation range is 0.0002 to 0.03, so the research tool could be described as data obtained is suitable to the measurement variable. The conclusions explain that the events before and after the declaration of the Covid-19 outbreak as a national non-natural disaster have positive and a significant impact on the average abnormal return rate of stock activity and changes in trading volume activity.</p>

scholarly journals REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA BENCANA ALAM TSUNAMI DI ACEH TANGGAL 26 DESEMBER 2004

2018 ◽  
Vol 13 (2) ◽  
Author(s):  
Nungky Viana Feranita
Keyword(s):  
Natural Disaster ◽  
Capital Market ◽  
Stock Prices ◽  
Abnormal Return ◽  
Trading Volume ◽  
Economic Environment ◽  
Volume Activity ◽  
Average Abnormal Return ◽  
Before And After ◽  
Disaster Event

As one of an instrument of economy, capital market can not be separated from influence that amend in its environment, either occur in macro economic, micro economic or non-economic environment. This research is one of the event study which examined in how the reaction of Indonesian capital market toward event that occur in an non-economic environment which is tsunami natural disaster in Aceh, December 26th, 2004.The purpose of this research is to examine stock prices reaction and trading volume activities in Jakarta Stock Exchange (JSX) toward tsunami natural disaster event in Aceh, also to examine whether there are any differences in average abnormal return and average trading volume activity before and after tsunami natural disaster event in Aceh. The samples are generated from stocks that have the biggest market capitalization in JSX which are often listed in LQ45 in period August, 2003 until January, 2008.The result of test using SPSS with 95% confidence level shows that JSX was not responded toward tsunami natural disaster event in Aceh. This is shown by no abnormal return during event period, no difference of average abnormal return before and after event, and no difference of average trading volume activity before and after tsunami natural disaster event in Aceh.

scholarly journals ANALISIS PERBEDAAN ABNORMAL RETURN DAN VOLUMEPERDAGANGAN SAHAM SEBELUM DAN SESUDAH PILPRES 9 JULI 2014 (STUDI KASUS PERUSAHAAN MILIK BAKRIE GROUP DAN MNC GROUP)

2016 ◽  
Vol 4 (2) ◽  
Author(s):  
Suharyati Suharyati ◽  
Sri Hermuningsih
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Volume Activity ◽  
Average Abnormal Return ◽  
Before And After ◽  
A Company

The purpose of this study to analyze the differences abnormal return and trading volume activity before and after pilpres 9 July 2014, at the company Bakrie Group and MNC Group. The results show: (1) There are no differences in average abnormal return before and after pilpres 9 Juli 2014 on the company Bakrie Group and MNC Group.The absence of a difference is becausereaction IDX to the pilpres 9 July 2014 is instantaneous and not prolonged. (2) There are no differences inaveragetrading volume activitybefore and after pilpres 9 Juli 2014 on the company Bakrie Group, but there are differences in average trading volume activitybefore and after pilpres 9 July 2014 on the companyMNC Group. The discrepancies in the company MNC Group is because investors MNC Group took profit rollicking tacking. While no differences in the company Bakrie Group is because investors Bakrie Group are not bothered by pilpres 9 July 2014. (3) The Company is more affected by pilpres 9 July 2014 is a company owned by MNC Group. Keywords: Abnormal Return,TradingVolumeActivity, Pilpres 9 July 2014.

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 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 ANALISIS PERBEDAAAN AVERAGE ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SEBELUM DAN SESUDAH PERISTIWA DIVIDEN TUNAI PADA PERUSAHAAN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX (JII) PERIODE 2014 – 2017

2020 ◽  
Vol 6 (12) ◽  
pp. 2512
Author(s):  
Azyyati Yusrina ◽  
Puji Sucia Sukmaningrum
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Rank Test ◽  
Volume Activity ◽  
Wilcoxon Sign Rank Test ◽  
Average Abnormal Return ◽  
Before And After ◽  
Wilcoxon Sign Rank ◽  
Sign Rank Test ◽  
Observation Period

This study aims to find out and explain the market reaction caused by the corporate action announcement in the form of dividend cash made by issuers registered in the Jakarta Islamic Index for the period of 2014 to 2017. The object of research is issuers who carry out activities on the announcement of Cash Devidend in the period of observation that are registered in the Jakarta Islamist Index which has been determined based on certain criteria (purposive sampling). There are 17 issuers with a total of 91 being the research sample. The observation period consists of 60 days estimated period, 10 days before the cume date and 10 days after the cume date. The focus of the research is to see the reaction shown by changes in Average Abnormal Return and Trading Volume Activity by using paired sample t-test for trading volume activity variables and Wilcoxon sign-rank test for abnormal return variables. Processing data using Stata ver statistical tools 14 by setting a significant level of 5%. The results showed that there were significant differences in Average Abnormal Return before and after the announcement and there were no differences in the Trading Volume Activity before and after the announcement.Keywords: event study, cash deviden, Average Abnormal Return, Trading Volume Activity

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 terhadap Penerapan Pembatasan Sosial Berskala Besar pada Masa Pandemi Covid-19

2021 ◽  
Vol 31 (12) ◽  
pp. 3133
Author(s):  
I Wayan Agus Purnayasa ◽  
Eka Ardhani Sisdyani
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Large Scale ◽  
Market Reaction ◽  
Sampling Technique ◽  
Rank Test ◽  
Volume Activity ◽  
Average Abnormal Return ◽  
Before And After ◽  
The Government

On April 6, 2020, the government approved the implementation of the first Large-Scale Social Restrictions (PSBB) in Indonesia in the context of accelerating the handling of the Covid-19 pandemic. This study uses this event as an event under study to observe the market reaction before and after it, with a window period of 11 days. The average abnormal return and the average trading volume activity of stocks are used as indicators of market reaction. The study was conducted on 152 trading, service and investment sector companies listed on the Indonesia Stock Exchange (IDX), which were determined using a non-probability sampling method with a purposive sampling technique. Data were analyzed by using paired sample t-test and Wilcoxon signed rank test. The results showed that there was no difference between the average abnormal return and the average trading volume activity before and after the first PSBB was approved in Indonesia. The absence of market reaction is assumed because the level of market efficiency in Indonesia is still weak. Keywords : Covid-19; Social Distancing Policy; Market Reaction; Abnormal Return; Trading Volume Activity.

scholarly journals Reaction Of The Top 10 Capitalization Shares in the 2020 Pilpres Event

2021 ◽  
Vol 1 (4) ◽  
pp. 194-204
Author(s):  
Rahma Nur Praptiwi ◽  
Tri Widjatmaka
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Sampling Technique ◽  
Primary Data ◽  
Volume Activity ◽  
Political Events ◽  
Analysis Technique ◽  
Average Abnormal Return ◽  
Before And After ◽  
Data Collection Technique

This research is a study that aims to see whether there is empirical evidence of the reaction of the Indonesian capital market to international political events, namely the 2020 US Presidential Election using abnormal return indicators and trading volume activity. The research methodology used is event research. This study uses primary data taken from the first party and researchers get data directly from a questionnaire given to all employees of IT companies in the Special Region of Yogyakarta. The population in this study are stocks that are included in the top 10 capitalization companies in Indonesia. The sampling technique in this study used convinience sampling. The data collection technique in this study used a questionnaire equipped with an answer level as the choice of respondents to answer questions. The data analysis technique used multiple linear regression and the application used SPSS version 22. The results of the paired sample t-test statistical calculation both abnormal return and trading volume activity showed that there was no difference in the average abnormal return and trading volume activity before and after the event.

scholarly journals DAMPAK COVID-19 TERHADAP ABNORMAL RETURN DAN VOLUME PERDAGANGAN SAHAM

2022 ◽  
Vol 18 (1) ◽  
pp. 160-181
Author(s):  
Elvina Cahya Suryadi ◽  
Nungky Viana Feranita
Keyword(s):  
Natural Disaster ◽  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Quantitative Research ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Before And After ◽  
Disaster Event

The COVID-19 pandemic is a non-natural disaster that has a huge impact around the world. This research is a quantitative research with event study method. The purpose of this research is to test the capital market reaction by looking at abnormal returns and trading volume activity before and after the COVID-19 non-natural disaster. The event day in this study was April 13rd, 2020 when the Presidential Decree was issued regarding the designation of COVID-19 as a national disaster. Using purposive sampling method, the sample of this study were 27 companies engaged in the hotel, restaurant, and tourism sub-sectors listed on the Indonesia Stock Exchange. The event period is 11 days, namely 5 days before the event, 1 day at the time of the event and 5 days after the event. Data analysis using t-test and wilxocon signed ranks test. The results of this study are: 1) there is no abnormal return during the event period, 2) there is no difference in the average abnormal return before and after the COVID-19 non-natural disaster event, 3) there is no difference in the average trading volume activity before and after the COVID-19 non-natural disaster event and after the COVID-19 non-natural disaster event. Keywords: Event Study, Abnormal Return, Trading Volume Activity, COVID-19.

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