scholarly journals An Empirical Analysis of the Annual Report Effect of High Market Capitalization Companies in China

2021 ◽  
Vol 5 (2) ◽  
pp. 38
Author(s):  
Liu Xin ◽  
Huang Xi ◽  
Su Ganya
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Market Model ◽  
Annual Reports ◽  
Chinese Stock Market ◽  
Market Capitalization ◽  
The Past ◽  
Event Study Method ◽  
Before And After ◽  
Total Market

In this paper, we study the abnormal stock price returns of the top 10 stocks in the Chinese stock market in terms of total market capitalization before and after the release of their annual reports in the past 10 years, using the event study method implemented by the Event Study package of the Alpha Library under Python, using a market model to estimate normal returns. The results find that and most of the events have insider phenomenon.

scholarly journals Reaksi Pasar Saham Indonesia yang Dikelompokkan Berdasarkan Kapitalisasi Pasar terhadap Aksi Serangan Teroris di Tempat yang Sama pada Waktu yang Berbeda

2020 ◽  
Vol 17 (4) ◽  
pp. 207-218
Author(s):  
Nyimas Dewi Murnila Saputri ◽  
Irwan Adi Ekaputra
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Market Model ◽  
Expected Return ◽  
Market Capitalization

Tujuan penelitian – Penelitian ini bertujuan untuk meneliti perbedaan reaksi pasar terhadap dua kejadian terorisme yang terjadi pada tempat yang sama di waktu yang berbedaDesain/Metodologi/Pendekatan – Metodologi yang digunakan dalam penelitian ini merupakan metodologi event study dengan dua model estimasi return yang diharapkan yaitu market model dan tiga faktor Fama dan French (1993) untuk mengidentifikasi bahwa pasar belajar dari kejadian sebelumnya.Temuan – Hasil dari penelitian ini menunjukkan saham dengan kapitalisasi pasar besar dan menengah secara signifikan mempunyai rata-rata abnormal return yang sama antara kejadian pertama dan kedua walaupun mempunyai pola pergerakan yang berbeda. Saham dengan kapitalisasi pasar kecil cenderung mengalami fluktuasi.Keterbatasan penelitian – Kejadian terorisme yang diamati adalah peledakan bom yang terjadi dua kali di Hotel JW Marriot yaitu pada tahun 2003 dan terjadi kembali pada tahun 2009Originality/value – Kontribusi penelitian ini adalah untuk membandingkan tingkat elastisitas perusahaan terhadap informasi peledakan bom di tempat yang sama. Penelitian ini juga menggunakan dua metode estimasi penetapan harga saham yang diharapkan (expected return) untuk melihat pergerakan return secara lebih baik. Keywords: Event study, terrorism, stock price, and market capitalization

scholarly journals Harga Saham Sebelum dan Sesudah Stock Split

2020 ◽  
Vol 3 (2) ◽  
pp. 390-395
Author(s):  
Junita Putri Rajana Harahap ◽  
Murni Dahlena Nasution
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Research Method ◽  
Price Difference ◽  
Significant Difference ◽  
Stock Split ◽  
Before And After ◽  
A Company

The stock split causes the stock price to be cheaper so that it will attract potential investors to buy the stock. This research was conducted to determine when it is time for a company to do a stock split, information available on the capital market can be used by investors for consideration before investors make a decision to invest in shares. The study aims to determine the changes that occur in stock prices before and after the stock split policy by the company. The research method used in this research is event study research with a quantitative approach. This study examines how significant the stock price difference is after a stock split policy. The sample used in this study were all companies that carried out the 2016-2018 stock split policy. The results of research on companies that become samples have shown that the average stock price before the announcement of the stock split policy has no significant difference with the average stock price after the announcement of the stock split policy Keywords : Stock Price, Stock Split

scholarly journals Investor’s Mood at ASIAN Games Event

2019 ◽  
Vol 7 (2) ◽  
pp. 177
Author(s):  
Happy Sista Devy ◽  
Bahrain Pasha Irawan
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Purposive Sampling ◽  
Event Study Method ◽  
Before And After ◽  
Wait And See ◽  
The Many ◽  
Observation Period

<p>Goals of the research to analyze whether occurred abnormal return of ASIAN Games phenomena and see how investors react to the big ASIAN Games 2018 event in Indonesia. . This reseach uses a sample of companies included in the hotel, restaurant and tourism sub-sector on the Indonesia Stock Exchange (IDX) during the observation period, based on the purposive sampling method which obtained 22 companies and used the event study method. There is a significant abnormal return but not on the phenomenon of the Asian Games 2018. This shows that investors still wait and see to the organization of the Asian Games in 2018. No difference of abnormal return before and after the Asian Games 2018. This is because, as investors look to the many tourists who have started to flock to Indonesia before the Asian Games in 2018 took place.<em></em></p><p><strong><em></em></strong><em><br /></em></p>

scholarly journals The Announcement of Sharia Bank’s Conditional Merger Agreement. How Investor Reacted?

2021 ◽  
Vol 2 (2) ◽  
pp. 136-146
Author(s):  
Syamsuddin Syamsuddin ◽  
Versiandika Yudha Pratama
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Secondary Data ◽  
T Test ◽  
Event Window ◽  
Paired Sample ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Before And After

This study aims to determine there is a difference in average abnormal return of BRI Syariah before and after the signing of the Conditional Merger Agreement (CMA), which is on October 12th, 2020. This research used event study for method and the data in this study are secondary data in the form of stock price data of BRI Syariah. The event window in this study for 11 (eleven) working days which is 5 (five) days before the event, 1 (one) day when the event occurs and 5 (five) days after the signing of the Conditional Merger Agreement (CMA) BUMN sharia bank. Meanwhile, the estimated period is set for 120 exchange days, namely at t-125 to t-6. Test conducted by paired sample t-test. The results of the paired sample t-test showed that there is no significant difference between the average abnormal return of BRI Syariah shares before and after the signing of the Conditional Merger Agreement. It can be concluded that neither the market nor investors reacted to the signing of the Conditional Merger Agreement (CMA) that occurred at BRI Syariah Bank.

The market model and the event study method: A synthesis of the econometric criticisms

1994 ◽  
Vol 3 (2) ◽  
pp. 149-171 ◽  
Author(s):  
J.Andrew Coutts ◽  
Terence C. Mills ◽  
Jennifer Roberts
Keyword(s):  
Event Study ◽  
Market Model ◽  
Event Study Method

scholarly journals How COVID-19 impacts Vietnam’s banking stocks: An event study method

2021 ◽  
Vol 16 (1) ◽  
pp. 92-102
Author(s):  
Phuong Lai Cao Mai
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Banking Sector ◽  
Abnormal Returns ◽  
Fair Value ◽  
First Case ◽  
Epidemic Area ◽  
Event Study Method ◽  
Before And After

The banking industry is one of the major industries in the Vietnamese stock market, so understanding how the industry index reacts to unusual events such as COVID-19’s impact is very important for the development of the Vietnamese stock market. This study examines the response of the banking sector index to three lockdown/blockage announcements to prevent the COVID-19 epidemic in Vietnam in 2020. Three times of lockdown/blockage: On February 13, 2020, blockade of Son Loi commune, Vinh Phuc province; on March 30, 2020, Vietnam announced the nationwide epidemic of COVID-19 and then nationwide lockdown, and on July 28, 2020, blockade in Da Nang. In the first case, the abnormal returns changed the sign around the notification date indicating that the stock price deviated from its fair value, but accumulating abnormal returns CAR (0;3] and CAR (0; 2] are both positive and statistically significant, which means that investors are more secure when the epidemic area is tightly controlled. The nationwide lockdown was the event that had the strongest impact on the stock price when both AR and CAR were negative and statistically significant before and after the date of the event’s announcement. Nationwide lockdown was the event that had the strongest impact on stock prices as both AR and CAR were negative in the days before and days after the event. This result supports the theory of imperfect substitution. Only AR [2] was positive and statistically significant, showing that the blockade event in Da Nang had a slight impact on the banking sector’s stock price.

scholarly journals Pengaruh Penerbitan Obligasi Syariah Terhadap Return Saham (Studi Kasus Pada Perusahaan Yang Menerbitkan Obligasi Syariah dan Terdaftar Pada Bursa Efek Indonesia (BEI)

2020 ◽  
Vol 1 (2) ◽  
pp. 1-10
Author(s):  
Mutia Dwiana
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Abnormal Return ◽  
Sampling Technique ◽  
Observation Time ◽  
T Test ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Event Study Method ◽  
Before And After

This type of research is quantitative, this research is conducted on companies that issue Islamic bonds and are listed at the Bursa Efek Indonesia (BEI). The method used is the event study method to show whether there is an effect of the issuance of Islamic bonds on stock returns in the event period of the issuance of Islamic bonds (sukuk), with a length of observation time of 15 days before and 15 days after the issuance event. The population used is companies that issue Islamic bonds that are still circulating as of February 2020. The sample was determined by purposive sampling technique and a sample of 15 incidents of Islamic bond issuance was obtained from 8 companies. Then the data is processed using t-test and paried sample t-test. The results showed that there was a significant Average Abnormal Return around the Islamic bond issuance period, which means that the issuance of Islamic bonds (sukuk) had an effect on stock returns. And there is also a significant difference in stock returns between before and after the issuance of Islamic bonds.

scholarly journals Dividend Announcement Effect To Market Reaction in Non-Financial Companies Listed on Indonesia Stock Exchange

2019 ◽  
Vol 1 (2) ◽  
pp. 167-180
Author(s):  
Alvin Fabian ◽  
Eko Budi Santoso
Keyword(s):  
Event Study ◽  
Sampling Method ◽  
Market Reaction ◽  
Stock Exchange ◽  
Test Results ◽  
Event Window ◽  
Event Study Method ◽  
Before And After ◽  
Dividend Initiations ◽  
Dividend Omissions

Abstract: This study aims to examine the differences in market reaction before and after the announcement of dividend omissions and dividend initiations in non- financial companies listed on the Indonesia Stock Exchange in 2016-2018. The sample used in this study was 71 companies consisting of 26 companies that announced dividend omissions and 45 companies that announced dividend initiations. The sample was determined using the purposive sampling method. This study used the event study method with an event window period of 5 days before the announcement, the announcement day, and 5 days after the announcement. The Wilcoxon Signed Ranks Test results in this study indicate that there are no differences in market reaction before and after the announcement of dividend omissions. Meanwhile the announcement of dividend initiations shows that there are differences in market reaction before and after the announcement of dividend initiations. Keywords: Event study, Dividend Omissions, Dividend Initiations, Abnormal Return

scholarly journals A Note On The Effect Of M&A Announcements On Stock Price Behavior And Financial Performance Changes: The Case Of Arab Malaysian Bank Berhad And Hong Leong Bank Berhad

2011 ◽  
Vol 7 (9) ◽  
Author(s):  
Carl B. McGowan, Jr. ◽  
Zunaidah Sulong
Keyword(s):  
Financial Performance ◽  
Event Study ◽  
Stock Price ◽  
Abnormal Returns ◽  
Market Model ◽  
Price Behavior ◽  
Positive Information ◽  
Announcement Date

This study examines the effect of M&A completion announcements on the stock price behavior for two anchor banks in Malaysia: Hong Leong Bank Berhad and Arab Malaysian Bank Berhad. The analysis uses the event study technique, the Nave Model, a model that is based on Market Model with constrained ? = 0 and ? = 1 to compute the abnormal returns surrounding the M&A completion announcement date and to evaluate the effect of M&A completion announcement on the banks return. The results from event study show that the M&A completion announcements are treated as positive information by the market.

The market model and the event study method: A rejoinder

1996 ◽  
Vol 5 (1) ◽  
pp. 83-86
Author(s):  
J.Andrew Coutts ◽  
Terence C. Mills ◽  
Jennifer Roberts
Keyword(s):  
Event Study ◽  
Market Model ◽  
Event Study Method
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