Analisis Komparatif Abnormal Return dan Trading Volume Activity Emiten Sektor Mining Berdasarkan Pengumuman Kasus Pasien Covid-19 Pertama di Indonesia

On March 2nd 2020, the first case of Covid-19 was found in Indonesia. The purpose of this research is to analyze the reaction of the Indonesian capital market to the first case of Covid-19 using average abnormal return (AAR), cumulative abnormal return (CAR), and trading volume activity (TVA) before and after the event. The observation began seven days before and seven days after that event. The population of this research uses the data of mining sector companies listed in February and March 2020 on the BEI. The sampling technique used is purposive sampling with a total of 41 mining companies. This study uses quantitative research and the comparative method the research testing by Wilcoxon Signes Rank Test. The result showed no differences in AAR, CAR, and TVA of mining sectors between before and after the announcement of the first cases of Covid-19. Investors are expected to be more careful in making investment decisions because this pandemic has occurred for a long time and around the world.

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The Reaction Of The Indonesian Capital Market When Indonesia Experiences Recession In 2020

Academia Open ◽

10.21070/acopen.5.2021.2210 ◽

2021 ◽

Vol 5 ◽

Author(s):

Rony Yulian Putra Santoso ◽

Heri Widodo

Keyword(s):

Capital Market ◽

Abnormal Return ◽

Trading Volume ◽

Quantitative Research ◽

Sampling Technique ◽

Rank Test ◽

Research Approach ◽

Volume Activity ◽

Security Return ◽

Before And After

This study aims to explain whether or not there is evidence of differences in abnormal return, trading volume activity, and security return variability of companies listed in the LQ45 index on the IDX before and after the November 2020 recession announcement. This study uses quantitative research approach. The LQ45 index is the research population used in this study. Meanwhile, to determine the research sample in this study using purposive sampling technique. The Wilcoxon Signed Rank Test is a data analysis technique used. Based on the results of the research, the abnormal return indicator gives a change with sig. 0.012. Trading volume activity changes with sig. 0.000. Security return variability provides changes with the value of sig. 0.026. So it can be concluded that in the event of an announcement of a recession there is a capital market reaction to companies listed in the LQ45 index.

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

E-Jurnal Akuntansi ◽

10.24843/eja.2021.v31.i12.p08 ◽

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.

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Reaksi Pasar Terhadap Kenaikan Bank Indonesia 7-Day Reverse Repo Rate Tanggal 15 Agustus 2018

E-Jurnal Akuntansi ◽

10.24843/eja.2019.v27.i03.p16 ◽

2019 ◽

pp. 2066

Author(s):

I Kadek Rian Mahendra ◽

Ni Ketut Rasmini

Keyword(s):

Information Content ◽

Event Study ◽

Abnormal Return ◽

Trading Volume ◽

Sampling Technique ◽

Rank Test ◽

Volume Activity ◽

Paired Samples ◽

Before And After ◽

Repo Rate

This study aims to examine the information content by explaining at the market reaction to the announcement of the 7-Day Reverse Repo Rate BI increase on August 15 2018 as measured by the abnormal return and trading volume activity. This research is an event study with an observation period of 7 exchange workdays, namely three days before (t-3), event date (t0), and three days after the event (t + 3). The sample is a company incorporated in the LQ45 Index for the period of August 2018 to January 2019. The method of determining the sample is a purposive sampling technique. The data analysis technique uses paired samples t-test and Wilcoxon signed rank test. The results showed a difference in average abnormal return and average trading volume activity before and after a 7-Day Reverse Repo Rate BI increase on August 15, 2018. This indicates that the event has information content. Keywords: Event study, abnormal return, trading volume activity

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

E-Jurnal Manajemen Universitas Udayana ◽

10.24843/ejmunud.2020.v09.i03.p09 ◽

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

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REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA PENGESAHAN UU CIPTA KERJA 2020 (STUDI KASUS PERUSAHAAN YANG TERDAFTAR PADA LQ45)

Jurnal Bina Akuntansi ◽

10.52859/jba.v8i2.174 ◽

2021 ◽

Vol 8 (2) ◽

pp. 168-188

Author(s):

Rya Indriani ◽

Mariana Mariana

Keyword(s):

Hypothesis Testing ◽

Abnormal Return ◽

Trading Volume ◽

Abnormal Returns ◽

Job Creation ◽

Rank Test ◽

Volume Activity ◽

Security Return ◽

Significant Difference ◽

Before And After

This study aims to analyze reaction of the Indonesian capital market about difference of average abnormal returns, trading volume activity, and security return variability between before and after the legalization of the Job Creation Act on October 5, 2020. This study used quantitative research with event study approach. The research sample is stocks registered in LQ45 with certain criteria determined used the purposing sampling method. Hypothesis testing used paired sample t-test and wilcoxon signed rank test. The results of the hypothesis testing show that: (1) There’s a significant difference in the average abnormal return between the period before and after the Job Creation Act legalization. (2) There’s no significant difference in the average trading volume activity between the periodsbefore and after the Job Creation Act legalization. (3) There’s a significant difference in the average security return variability between the period before and after the Job Creation Act legalization.Keywords: The Job Creation Act, Abnormal Return; Trading Volume Activity; SecurityReturn Variability

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Indonesian Capital Market Reaction To The Announcement Of A Recession Due To The Pandemic Covid-19

Academia Open ◽

10.21070/acopen.5.2021.2136 ◽

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.

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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

Jurnal Ekonomi Syariah Teori dan Terapan ◽

10.20473/vol6iss201912pp2512-2526 ◽

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

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Analisis Reaksi Pasar Atas Peristiwa Pilkada Serentak Tahun 2018

E-Jurnal Akuntansi ◽

10.24843/eja.2019.v27.i02.p13 ◽

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

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Pengaruh Pengumuman Perubahan Harga BBM terhadap Abnormal Return dan Trading Volume Activity pada Perusahaan-Peruasahaan yang Tergabung dalam Kelompok LQ 45 Dibursa Efek Indonesia periode 2015-2016

Jurnal Ilmiah Universitas Batanghari Jambi ◽

10.33087/jiubj.v18i3.534 ◽

2018 ◽

Vol 18 (3) ◽

pp. 659

Author(s):

Denny Asmas

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Quantitative Research ◽

Fuel Oil ◽

Group Index ◽

Volume Activity ◽

Business World ◽

Significant Difference ◽

Before And After ◽

The Difference

The increase in the price of Fuel (BBM) can zoom in on the burden of the community and the business world. Vice versa, the drop in the price of fuel not only lighten the load of the community but also for the business world. Announcements containing information (information content), expected the market will react at the time the announcement was welcomed by the market. Market reaction is indicated by the existence of changes in prices of the securities in question. This research was conducted to find out whether there are abnormal return there is a difference, the difference in stock trading volume activity, abnormal return of shares and trading volume of activity before and after the events of the increase in the price of fuel oil. This research is quantitative research by doing event study. The population in this research is the stocks category LQ-45 period of March 2015 to April 2016 with a sample of companies that have listed on the Group Index LQ 45 period November 2014 and March 2015 and don't do Corporate Action. The results of hypothesis testing of research it can be concluded that there is a significant difference between the Abnormal Return (AR) and Trading Volume Activity (TVA) and events before and after the events of rising fuel prices, then there is no a significant difference between the Abnormal Return (AR) and between Trading Volume Activity (TVA) and event announcements of events before and after the drop in the price of fuel.

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CAPITAL MARKET REACTION BEFORE AND AFTER THE ANNOUNCEMENT OF THE FIRST CASE OF COVID-19 IN INDONESIA

Jurnal Ilmiah Teunuleh ◽

10.51612/teunuleh.v2i2.48 ◽

2021 ◽

Vol 2 (2) ◽

pp. 301-312

Author(s):

Sarlina Sari

Keyword(s):

Abnormal Return ◽

Quantitative Research ◽

Stock Exchange ◽

Comparative Method ◽

Abnormal Returns ◽

Market Capitalization ◽

First Case ◽

Significant Difference ◽

Before And After ◽

Sample Test

This study aims to determine the differences in abnormal return, frequency of trade, and market capitalization before and after the informations regarding the first reporting of COVID-19 in Indonesia on the Indonesia Stock Exchange. The research population is all companies that entered into Top Leadings in Market Capitalization companies on the Stock Exchange in the period Februari – April 2020, namely as many as 50 companies. The sample in this study was taken using the census method, meaning that the number of samples taken was equal to the number of members of the population. To test the hypothesis of this study using a paired sample test. The observation began 30 days before the event and 30 days after the event. This study uses quantitative research in the comparative method. The finding show that the information caused the market was approved. This is proven by the existence of significant results in daily tests on the indicators. The results were also significant in the combined abnormal return test and the combined market capitalization test. The trade comparison test results show a significant difference which means there was a market-panic towards trading activities after the event that caused some frequency differences, before and after the event in terms of trade transactions. So, the results of this study indicate that there are differences in abnormal returns, frequency of trade, and market capitalization before and after the announcement of the informations regarding the first reporting of COVID-19 in Indonesia.

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