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

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.

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ANOMALI EFEK KALENDER PADA RETURN SAHAM LQ-45 DI BURSA EFEK INDONESIA

E-Jurnal Manajemen Universitas Udayana ◽

10.24843/ejmunud.2019.v08.i05.p02 ◽

2019 ◽

Vol 8 (5) ◽

pp. 2642

Author(s):

Komang Intan Permatasari ◽

I Ketut Mustanda

Keyword(s):

Data Collection ◽

Stock Prices ◽

Abnormal Return ◽

Stock Exchange ◽

Participant Observation ◽

Abnormal Returns ◽

Stock Index ◽

January Effect ◽

Average Abnormal Return ◽

Day Of The Week

Calendar effect anomalies indicate a return deviation in a capital market that allows investors to take advantage of a time and obtain abnormal returns. This study aims to determine the difference in the average abnormal return on the day (the day of the week effect), Monday the fourth week (week-four effect), and January with other months (January effect). The study was conducted on companies included in the LQ-45 stock group and obtained a sample of35 companies using the saturated sample method. The data source comes from secondary data, through the yahoo finance website and the method of data collection is done by non-participant observation including data collection on the development of stock prices included in the LQ-45 group during the period February 2015 to January 2018. Test results with the SPSS program through Kruskal-Wallis test and Mann Whitney Test, show that the stock’s average abnormal return at any time is not different, so the conclusion that there is no day of the week effect, week-four effect, and January effect on the LQ-45 stock index on the Stock Exchange Indonesia. Keywords: calendar effect anomaly, abnormal return

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Pengaruh Employee Stock Ownership Program Terhadap Average Abnormal Return Perusahaan Perbankan

Jurnal Ilmu Sosial, Manajemen, Akuntansi dan Bisnis ◽

10.47747/jismab.v1i1.9 ◽

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.

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REAKSI PASAR MODAL TERHADAP PENGUMUMAN PAKET KEBIJAKAN EKONOMI XVI (Studi Empiris Pada Saham Perusahaan Yang Masuk Dalam Indeks LQ 45)

JURNAL AKUNTANSI DAN KEUANGAN DAERAH ◽

10.52062/jakd.v14i2.1458 ◽

2020 ◽

Vol 14 (2) ◽

Author(s):

Tirsa Rante ◽

Syaikhul Falah ◽

Bill J.C Pangayow

Keyword(s):

Economic Policy ◽

Stock Prices ◽

Trading Volume ◽

Stock Exchange ◽

Abnormal Returns ◽

Study Data ◽

Volume Activity ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After

This study aims to analyze whether there are significant differences in abnormal returns before and after the announcement of economic policy XVI and trading volume activity before and after the announcement of XVI economic policy on November 16, 2018. This study uses event study, where observations of the average abnormal return are carried out. and the average trading volume activityduring the 11 day observation period. In this study data was obtained from the Indonesia Stock Exchange. The data used in this study include daily closing stock prices (closing price), daily stock trading volume, and the number of shares outstanding. The sample used amounted to 45 LQ45 index companies. The results of this study indicate (1) there is no significant difference in abnormal returns before and after the announcement of economic policy XVI (2) on the trading volume activity indicator there are significant differences before and after the announcement of XVI economic policy.

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Analisis Abnormal Return Disekitar Tanggal Pengumuman Stock Split

Gorontalo Accounting Journal ◽

10.32662/gaj.v2i2.642 ◽

2019 ◽

Vol 2 (2) ◽

pp. 77

Author(s):

Sri Yunawati

Keyword(s):

Abnormal Return ◽

Stock Exchange ◽

Abnormal Returns ◽

T Test ◽

Significance Level ◽

Paired Sample ◽

Paired Samples ◽

Average Abnormal Return ◽

Stock Split ◽

Before And After

The purpose of this study is to prove how the effect of the stock split on abnormal returns and whether there are differences in average abnormal returns before and after the stock split. This research was conducted at a company that conducted a stock split which was listed on the Indonesia Stock Exchange in 2017. The method used by a statistical test is one sample t-test (t-test for one sample) at a significance level of a = 5%. Research results show that there is no significant abnormal return when the stock split. And the tests performed on abnormal return averages before and after the stock split using paired sample t-test (t-test for two paired samples) showed that there were no significant differences in the average abnormal return before and after the stock split. Tujuan penelitian ini adalah untuk membuktikan bagaimana pengaruh stock split terhadap abnormal return dan apakah terdapat perbedaan rata-rata abnormal return sebelum dan setelah stock split. Penelitian ini dilakukan pada perusahaan yang melakukan pemecahan saham yang terdaftar di Bursa Efek Indonesia tahun 2017. Metode yang digunakan dengan uji statistik one sampel t-test (uji t untuk satu sampel) pada tingkat signifikansi a =5%. Hasil Penelitian menunjukkan bahwa tidak terdapat abnormal retum yang signifikan pada saat stock split. Dan pengujian yang dilakukan terhadap rata-rata abnormal retun sebelum dan setelah stock split dengan menggunakan paired sample t test (uji t untuk dua sampel berpasangan) diperoleh hasil bahwa tidak terdapat perbedaan yang signifikan pada rata-rata abnormal return sebelum dan sesudah stock split.

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ANALISIS PENGARUH PENGUMUMAN RIGHT ISSUE TERHADAP ABNORMAL RETURN DAN VOLUME PERDAGANGAN SAHAM DI BURSA EFEK INDONESIA PERIODE TAHUN 2009 – KUARTAL 3 TAHUN 2012

Jurnal Akuntansi ◽

10.25170/jrak.v8i2.4 ◽

2018 ◽

Vol 8 (2) ◽

pp. 116-148

Author(s):

Maria Gladys Jessica Kamalsah ◽

Yunia Panjaitan

Keyword(s):

Stock Prices ◽

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Investment Decision ◽

Market Returns ◽

Stock Trading ◽

Daily Data ◽

Average Abnormal Return ◽

Rights Issue

The availability of the information on capital market transactions will affect decisions of investors who will also determine the price of the stock market. This study was conducted to examine the effect of the announcement of the rights issue on stock prices and trading volume. Sample for this study was 63 companies who do right issue on the Stock Exchange during 2009 - 3rd quarter of 2012. The data collected consisted of daily return actual data, the IHSG daily data as market returns, and daily stock trading volume from each sample company. The result of the analysis showed that there were no significant differences in average abnormal return, but there are significant differences in the average stock trading volume. So, it can be concluded that the announcement of the rights issue contains information for investors, but did not contain information to make an investment decision.

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DAMPAK UNDANG-UNDANG REPUBLIK INDONESIA NO.11 TAHUN 2016 TENTANG PENGAMPUNAN PAJAK TERHADAP KONDISI BURSA EFEK INDONESIA

E-Jurnal Ekonomi dan Bisnis Universitas Udayana ◽

10.24843/eeb.2018.v07.i01.p08 ◽

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.

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Stock Price Reaction to the Stock Splits Announcement of Listed Companies in the Colombo Stock Exchange

Vidyodaya Journal of Management ◽

10.31357/vjm.v7iii.5094 ◽

2021 ◽

Vol 7 (2) ◽

Author(s):

W. S. S Soyza ◽

K. A. S. S. Kodithuwakku ◽

S.M.R.K. Samarakoon

Keyword(s):

Stock Prices ◽

Stock Price ◽

Abnormal Return ◽

Stock Exchange ◽

Listed Companies ◽

Share Price ◽

Stock Splits ◽

Average Abnormal Return ◽

Stock Split ◽

Before And After

A stock split is a corporate event that directly impacts the number of a company’s shares and indirectly on stock prices. This study tests the effect of the stock splits on the share price of companies listed in the Colombo Stock Exchange during the periods of pre and post stock split announcement in accordance with the Efficient Market Hypothesis. The main objective of this paper is to identify the overall impact of a stock split announcement on stock prices. This study analyses 88 annual stock splits during the ten (10) year period from 2009 to 2019 by taking the listed companies in the Colombo Stock Exchange into consideration. It uses the event study methodology to test the market efficiency of the Colombo Stock Exchange, and the market model is run with the aid of abnormal returns, which are calculated based on daily closing stock prices and the All-Share Price Index. For analysing the results, the graphical analysis and t statistics have been utilized. According to the event day average abnormal return, the majority of stock splits were more negative than positive with a significant t value at 5% by indicating that investors were taking the stock split announcement as bad news just after the split announcement was released. Each day with a significant Average Abnormal Return shows more positives than negatives. Graphical results have shown both Average Abnormal Return, and Cumulative Average Abnormal Return has remained continuously negative up to 18 and 25 days, respectively, by implicating that stock splits have made a deleterious impact on stock return. This study finally concludes that the information regarding the stock splits has not been absorbed efficiently by the market because the market reactions before and after the date of the split announcement were significant at 5%, although the Average Abnormal Return got a quick reaction to the announcement. Furthermore, results had not provided evidence for Semi-Strong Form efficiency of the Colombo Stock Exchange since the significant stock price adjustments before and after the event day was noticed. By this study, the policymakers and investors are convinced that all information has not been incorporated into stock prices in making their decisions.

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ANALISIS PENGARUH PENGUMUMAN RIGHT ISSUE TERHADAP ABNORMAL RETURN DAN VOLUME PERDAGANGAN SAHAM DI BURSA EFEK INDONESIA PERIODE TAHUN 2009 – KUARTAL 3 TAHUN 2012

Jurnal Akuntansi ◽

10.25170/jara.v8i2.4 ◽

2015 ◽

Vol 8 (2) ◽

pp. 116-148

Author(s):

Maria Gladys Jessica Kamalsah ◽

Yunia Panjaitan

Keyword(s):

Stock Prices ◽

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Investment Decision ◽

Market Returns ◽

Stock Trading ◽

Daily Data ◽

Average Abnormal Return ◽

Rights Issue

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Market reaction to the rights issue announcement on the Indonesia stock exchange

International Research Journal of Management IT and Social Sciences ◽

10.21744/irjmis.v6n6.805 ◽

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.

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Kinerja Keuangan, Abnormal Return Sebelum dan Setelah Pengumuman Merger

Agregat Jurnal Ekonomi dan Bisnis ◽

10.22236/agregat_vol1/is1pp73-93 ◽

2017 ◽

Vol 1 (1) ◽

pp. 73

Author(s):

Farid Addy Sumantri

Keyword(s):

Financial Performance ◽

Abnormal Return ◽

Stock Exchange ◽

Abnormal Returns ◽

Profit Margin ◽

Current Ratio ◽

Return On Equity ◽

Net Profit ◽

Before And After ◽

Price Earnings Ratio

This study aims to examine the differences infinancial performance and abnormal returns in the period before and after the announcement of the merger of the companies listed on the Stock Exchange in the period 2004-2013. In this study the measurement of financial performance using four financial ratios which are the current ratio (CR), the net profit margin (NPM), return on equity(ROE) and price earnings ratio (PER), while the abnormal return is measured using the market return and the actual return. This study used purposive sampling in the sampling study. Company samples tested here are 8 companies from various different types of industries. Hypothesis testing is performed using paired sample t test with a confidence level of 5%. The test results of financial performance in the proxy with the current ratio (CR), the net profit margin (NPM), return on equity (ROE) and price earnings ratio (PER) its how sthe difference before and after the announcement of the merger on the companies listed on the Stock Exchange period 2004-2013.

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