scholarly journals ANALISIS FENOMENA JANUARY EFFECT PADA SAHAM SEKTOR PERTAMBANGAN YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI)

2019 ◽  
Vol 22 (1) ◽  
pp. 39-50
Author(s):  
Indrayani Indrayani
Keyword(s):  
Stock Prices ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Secondary Data ◽  
Sampling Technique ◽  
January Effect ◽  
Rank Test ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Difference Test

This study aims to analyze the January Effect phenomenon based on the presence or absence of significant difference between the 5-days average abnormal return in the end of December and 5 days in early January on mining stocks listed on the Indonesia Stock Exchange during the period 2011-2015. The January effect is the tendency of rising stock prices between 31 December to the end of the first week in January. The population of this study is 41 companies and the samples are 35 companies taken using purposive sampling technique. The data used are secondary data in the price of the daily closing of stocks and JCI during the observation period. Data analysis method used is descriptive statistical analysis. The hypothesis testing is conducted using non-parametric difference test which is called as WilcoxonSigned Rank Test. The results showed that there is a significant difference between the 5-days average abnormal return in the end of December and 5 days in early January on mining stocks listed on the Indonesia Stock Exchange during the period 2011-2015, so the January Effect phenomenon has occurred.

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

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

scholarly journals January Effect di Indonesia Periode 2017 – 2019

2021 ◽  
Vol 31 (3) ◽  
pp. 756
Author(s):  
Gusti Ayu Ratrini ◽  
I Wayan Suartana
Keyword(s):  
Stock Returns ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
January Effect ◽  
Rank Test ◽  
Analysis Technique ◽  
Significant Difference ◽  
Signed Rank Test

The January Effect is one of the seasonal anomalies, which reveals that stock returns in January tend to be higher than in months other than January. This study aimed to examine and analyze the existence of the January effect using abnormal return and trading volume activity (TVA) variables. The presence of the January Effect was researched on companies listed on the Indonesia Stock Exchange (IDX) and continues to be included in the Investor33 Index during 2017-2019. The samples studied were 25 companies. It was selected using purposive sampling method. The results of the normality test showed that the data was not normally distributed. Thus, only the non-parametric test, namely the Wilcoxon Signed Rank Test, can be used as a data analysis technique. Based on the analysis conducted, it was found that there was a significant difference in abnormal returns and no significant difference in TVA in January and other than January. Therefore, it can be concluded that statistically, the January Effect occurred in Indonesia during the test period indicated by abnormal returns. Keywords: January Effect; Abnormal Return; TVA.

scholarly journals Analisis Profitabilitas Perusahaan Kompas 100 Sebelum dan Saat Pandemi Covid-19

2021 ◽  
Vol 4 (2) ◽  
pp. 397-414
Author(s):  
Sherfina Tabatini Evany ◽  
Risal Rinofah ◽  
Pristin Prima Sari
Keyword(s):  
Stock Exchange ◽  
Secondary Data ◽  
Sampling Technique ◽  
Rank Test ◽  
Wilcoxon Sign Rank Test ◽  
Significant Difference ◽  
Wilcoxon Sign Rank ◽  
Sign Rank Test ◽  
The Difference ◽  
Profitability Ratios

This study aims to find out how significant the difference caused by the covid-19 pandemic is on the Profitability (ROA,ROE,NPM) of the Kompas 100 company.In this research, using descriptive comparative with quantitative approach and using secondary data. The population includes companies listed on the Kompas 100 index on the Indonesia Stock Exchange, then selected using purposive sampling technique, obtained a total of 46 companies that meet the criteria. The profitability uses (ROA, ROE, NPM). Then the ratio was tested differently using the Wilcoxon sign rank test with the help of SPSS 22.The results showed that there was a significant difference in profitability ratios which included ROA, ROE and NPM at the Kompas 100 company between the period before and during the covid-19 pandemic. Keywords: Profitability, ROA, ROE , NPM

scholarly journals THE PHENOMENON OF RATIFYING REVISION OF THE KPK LAW: HOW INVESTOR REACTED?

2021 ◽  
Vol 11 (1) ◽  
pp. 51-63
Author(s):  
Versiandika Yudha Pratama ◽  
Happy Sista Devy
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Sampling Technique ◽  
T Test ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Before And After

This research aimed to determine there are difference in average abnormal returns of companies in the Jakarta Islamic Index (JII) before and after phenomenon the revised Corruption Eradication Commission Act, which is on September 17th, 2019. This research use event study for method and the data in this study are secondary data in the form of stock price. Sampling technique uses purposive sampling method. Determined sampling technique, 27 companies were obtained as research samples. Tests conducted are one sample t-test and paired sample t-test. The result of the one sample t-test showed that the phenomenon of ratifying the revision of the KPK law becomes meaningful information to investors and investors show that reactions to these event. It showed by the result of significant and negative abnormal returns in the few day before and several days after phenomenon. The result of the second hypothesis testing indicate that there is no significant difference the average abnormal return before and after the ratification of revised Corruption Eradication Commission Act   Keywords: Revision of KPK Law, Average Abnormal Return, Event Study

scholarly journals REAKSI PASAR MODAL INDONESIA TERHADAP PENGUMUMAN INDONESIA SEBAGAI NEGARA MAJU

POINT ◽  
2020 ◽  
Vol 2 (1) ◽  
Author(s):  
Ely Damayanti ◽  
Rahayu Dwi Larasati ◽  
Kharis Fadlullah Hana
Keyword(s):  
Abnormal Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Secondary Data ◽  
Stock Index ◽  
Developed Country ◽  
Event Window ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Before And After

The purpose of this tdudy is to analyze the differences in abnormal return before and after the announcement of Indonesia as a developed country on the LQ45 stock index. This study uses a purposive sampling method with a sample of 45 companies. The data used are secondary data taken from the official website of the Indonesia Stock Exchange, www.idx.co.id. Tests were carried out using paired sample t test with a 15 day event window period. That is, seven days before the event day and sevend days after the event day. The result of statistical analysys shows that there is no significant average abnormal return and after the announcement of Indonesia as a developed country. This means that the market reaction, is largely insignificant, result in a statistically significant difference in the average abnormal return on Indonesia’s announcement as a development country.

The Effect of Managerial Ownership, Financial Performance, Corporate Competition on Stock Prices with Capital Structure as the Intervening Variable in the Coal Mining Companies Listed on the Indonesia Stock Exchange

2020 ◽  
Vol 2 (1) ◽  
pp. 24-33
Author(s):  
Yulia Afriani ◽  
Abdul Rakhman Laba ◽  
Andi Aswan
Keyword(s):  
Capital Structure ◽  
Financial Performance ◽  
Coal Mining ◽  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Sampling Technique ◽  
Managerial Ownership ◽  
Firm Competition ◽  
Mining Companies

This study aimed to find out the effect of managerial ownership, financial performance, corporate competition on stock prices with capital structure as the intervening variable in the coal mining companies listed on the Indonesia Stock Exchange. Managerial ownership variables by the shareholding presentation. Financial performance variables by Total Asset Turnover (TATO). Firm competition variable by Concentration Ratio (CR). Capital structure variables by Debt to Equity Ratio (DER). Stock prices variable by Price to Book Value (PBV). The population of this study was the coal mining companies listed on the IDX. This study used Purposive as the sampling technique. The data source was secondary data from financial statements published through the IDX official website. This study used descriptive statistics and inferential statistics with a quantitative approach using regression techniques with the E-Views version 10 program. The results of this study showed that the dealings of managerial ownership had a positive and significant effect on DER, TATO had a negative and not significant effect on DER, while CR had a negative and significant effect on DER. The dealings of managerial ownership, TATO, DER has a positive and significant effect on PBV, while CR has a negative and not significant. The dealings of managerial ownership influences PBV through DER, interestingly TATO has no effect on PBV through DER and CR influences PBV through DER

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.

scholarly journals ANALISIS PERBEDAAN ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SAHAM SEBELUM DAN SESUDAH PERISTIWA GEMPA DI YOGYAKARTA TANGGAL 27 MEI 2006 (Sudi Kasus pada Perusahaan Asuransi Terdaftar di Bursa Efek Jakarta)

IQTISHODUNA ◽  
2011 ◽  
Vol 2 (2) ◽  
Author(s):  
Lulu Nurul Istanti, SE., MM.,
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Mean Value ◽  
Volume Activity ◽  
Significant Difference ◽  
Before And After ◽  
Insurance Firms ◽  
The Mean ◽  
Difference Test

This research presents an empirical analysis of difference between abnormal return and trading volume activity before and after earths-quake, in Yogyakarta at May 27, 2006. And examine its statistical properties. This research argues that there was difference between abnormal return and trading volume activity before and after quake. For this purpose, the mean difference test, using t-test, was applied to compare the mean value of abnormal return and trading volume activity before and after quake. The sample of this research consists of the insurance firms listed at the Jakarta Stock Exchange. Investigation on the sample firms involved periods of ten days before quake and ten days after quake. The results of this research indicate that there was no significant difference between the abnormal return and trading volume activity before and after quake. This evidence confirms that even did not positively influence abnormal return and trading volume activity as suggested theoretically.  

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 Political Connection and Firm Value in Indonesia

2019 ◽  
Vol 3 (2) ◽  
pp. 1
Author(s):  
Versiandika Yudha Pratama ◽  
Doddy Setiawan
Keyword(s):  
Firm Value ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Secondary Data ◽  
Sampling Technique ◽  
Financial Sector ◽  
Political Connections ◽  
Political Connection ◽  
Cumulative Abnormal Return

<p>This is an event study aims to determine the influence of political connections to firm value as measured by cumulative abnormal return on non-financial sector companies listed in Indonesia Stock Exchange. This study used secondary data in the form of stock price and annual financial statement obtained the Indonesia Stock Exchange website, Indonesian Capital Market Directory, and other relevant sources. In sampling technique, purposive sampling method is used where 272 non-financial sector companies are selected. The data is examined by using multiple linear regression to measure the influence of political connections on firm value. The findings of this study revealed that political connections have an effect on firm value as measured by cumulative abnormal return on non-financial sector companies listed in Indonesia Stock Exchange.</p>

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