scholarly journals Abnormal Return Differences Before And After Amnesty Tax Policy 2016 - 2017 Period II And III (Event Study at Company divided in LQ45 Index)

2017 ◽  
Vol 1 (1) ◽  
pp. 39
Author(s):  
Hadi Cahyono ◽  
Hafiz Fitradiansyah`
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Design Methodology ◽  
T Test ◽  
Tax Amnesty ◽  
The Future ◽  
Before And After ◽  
Sample Test ◽  
Research Period ◽  
Practical Implications

Purpose : The result of this research are expected to provide information to the investors to face the similar event so that investors can make decisions to taking profit in the future. Design/methodology/approach : The model of this event study research is using 45 issuers of LQ45 indexes member during test period for 10 days before and after the event. The statistic test which used in this research is paired sample-test towards CAAR and counting t-test towards AAR.. Findings The result of CAAR is showed that CAAR  abnormal return significantly merely happen in research period III. While, for t-test towards AAR showed that abnormal return happened in period II and III tax amnesty execution Research limitations/implications : The object of this research is company which recorded as a member in LQ45 indexes. Practical implications : The result of CAAR is showed that CAAR  abnormal return significantly merely happen in research period III. While, for t-test towards AAR showed that abnormal return happened in period II and III tax amnesty execution, with details in period II abnormal return merely happen in t-1 with negative value and period III abnormal return happen in t-9, t-8, t-4, t-3, t+1 and t+9. Originality/value : expected to provide information to the investors to face the similar event so that investors can make decisions to taking profit in the future

scholarly journals Work Discipline Factors Affecting Employees Performance Of Marketing Subdivision of Madika Foundation In Surabaya

2017 ◽  
Vol 1 (1) ◽  
pp. 23
Author(s):  
Fajar Tinovitasari ◽  
Rika Yuliastanti ◽  
Fianita Malati
Keyword(s):  
Abnormal Return ◽  
Design Methodology ◽  
Employee Performance ◽  
T Test ◽  
Research Approach ◽  
Factors Affecting ◽  
Is Research ◽  
Tax Amnesty ◽  
Research Period ◽  
Practical Implications

Purpose : To generate good employee performance, then employee discipline factors need to be improved and maintained continuity. Design/methodology/approach : Research approach, Quantitative approach is research that focuses on testing the hypothesis. Data used should be measurable and will result in generalizable conclusions. This research was causal because it would examine the influence between variables. Findings The result of CAAR is showed that CAAR  abnormal return significantly merely happen in research period III. While, for t-test towards AAR showed that abnormal return happened in period II and III tax amnesty execution Research limitations/implications : The object of this research is company which recorded as a member in LQ45 indexes. Practical implications : The result of CAAR is showed that CAAR  abnormal return significantly merely happen in research period III. While, for t-test towards AAR showed that abnormal return happened in period II and III tax amnesty execution, with details in period II abnormal return merely happen in t-1 with negative value and period III abnormal return happen in t-9, t-8, t-4, t-3, t+1 and t+9. Originality/value : In improving work discipline, assertiveness imposed on employees who violate discipline should also be noted.

scholarly journals Reaksi Pasar Saham Terhadap Kebijakan Dividen Sebelum dan Sesudah Ex- Dividend Date

2020 ◽  
Vol 4 (1) ◽  
pp. 16-23
Author(s):  
Aulia Azizah
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Research Result ◽  
T Test ◽  
Confounding Effect ◽  
Paired Sample ◽  
Before And After ◽  
Sample Test ◽  
Related Sample

Abstract This study aimed to analyzed market reaction caused  the announcement of rising dividend or dividend down before and after Ex-dividend date in Indonesia Stock Exchange (IDX).This research used event study method by using abnormal return on share as research variable and used price data of shares as research unit analysis. As the result, 26 companies as the sample of 45 companies which registered in index LQ45 in Indonesia Stock Exchange period 2016-2018 by purposing sampling technique. Measurement of variable using the calculation of the average abnormal return of shares by testing the hypothesis using different test paired sample t-test and Wilxocon related sample test with the help of SPSS version 22.The research result showed there was no difference in abnormal return on share before and after Ex-dividend date in the companies which announced rising dividend and dividend down in Indonesia Stock Exchange (IDX) period 2016-2018. The results of the different paired sample t-test obtained a significance value of 0,486 which was greater than 0,05 and in the Wilxocon test the related sample test obtained z score of 1,478 which was greater than z table which was 1.458. For the next research, it is recommended to test the different indexes and regard to the confounding effect which can lead to bias.Key words: Dividend, Abnormal Return, Ex- Dividend date, Event StudyAbstrak Penelitian ini bertujuan untuk menganalisis reaksi pasar saham yang ditimbulkan oleh  pengumuman dividen naik atau pengumuman dividen turun sebelum dan sesudah ex- dividend date di Bursa Efek Indonesia (BEI). Metode penelitian ini menggunakan event study dimana menggunakan abnormal return saham sebagai variabel pengujian yang menggunakan data harga saham harian sebagai unit analisi penelitiian. Hasil pengumpulan data  diperoleh 26 perusahaan sebagai sampel dari populasi sebanyak 45 perusahaan yang terdaftar di indeks LQ45 di Bursa efek Indonesia periode 2016-2018 dengan teknik sampling secara purposive sampling. Pengukuran variabel menggunakan penghitungan rata- rata abnormal return saham dengan pengujujian hipotesis menggunakan uji beda paired sample t-test dan uji Wilxocon releted sample test dengan bantuan aplikasi SPSS versi 22. Hasil peneltian menyimpulkan tidak terdapat  perbedaan abnormal return saham sebelum dan sesudah Ex-dividend date pada perusahaan yang mengumumkan dividen naik atau dividien turun di Bursa Efek Indonesia periode tahun 2016-2018 Hasil uji beda paired sample t-test diperoleh nilai signifikansi sebesar 0,486 yang atinya lebih besar dari 0,05 dan pada uji Wilxocon releted sample test diperoleh z-hitung sebesar 1,478 dimana lebih besar dari z tabel yaitu 1,458. Untuk peneliti selanjutnya disarankan melakukan pengujian pada indeks berbeda dan memperhatikan confounding effect yang dapat memunculkan bias. Kata Kunci : Dividend, Abnormal Return, Ex- Dividend date, Event Study

scholarly journals APAKAH PASAR BEREAKSI TERHADAP PROGRAM PENGAMPUNAN PAJAK (TAX AMNESTY)?

2020 ◽  
Vol 2 (1) ◽  
pp. 103-111
Author(s):  
Taufiq Hidayatulloh ◽  
Rahadi Nugroho
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
T Test ◽  
Good News ◽  
Significant Information ◽  
Analytical Technique ◽  
Tax Amnesty ◽  
Paired Samples ◽  
Significant Difference

AbstrakTujuan utama penelitian adalah untuk menganalisis reaksi pasar modal terhadap penerbitan Undang-Undang Tax Amnesty menggunakan metode event study. Penelitian dilakukan terhadap 97 emiten yang tergolong ke dalam indeks KOMPAS100 yang terdaftar di Bursa Efek Indonesia dalam periode pengamatan selama 106 hari. Teknik analisis adalah menggunakan paired samples t-test pada tiga hari sebelum dan tiga hari sesudah penerbitan Undang-Undang Tax Amnesty. Hasil penelitian menunjukkan tidak terdapat perbedaan signifikan rata-rata abnormal return maupun rata-rata aktivitas volume perdagangan saham antara sebelum dan sesudah peristiwa. Meskipun dipandang oleh investor sebagai good news, kebijakan tax amnesty tidak memiliki kandungan informasi yang kuat. AbstractThe main objective of the study is to analyze the capital market reaction to the issuance of Tax Amnesty Law using the method of event study. The study was conducted on 97 issuers belonging to the KOMPAS100 index listed on the Indonesia Stock Exchange within the 106-day observation period. The analytical technique is using paired samples t-test on three days before and three days after the issuance of the Tax Amnesty Act. The result of the research shows that there is no significant difference of average abnormal return as well as the average activity of stock trading volume between before and after the event. Although viewed by investors as good news, the tax amnesty policy does not have significant information content.

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 REAKSI PASAR ATAS PANDEMI VIRUS CORONA PADA PERUSAHAAN LQ45 DI BURSA EFEK INDONESIA

2021 ◽  
Vol 5 (1) ◽  
pp. 125-138
Author(s):  
Nabiell Ghibran ◽  
Lukman Effendy ◽  
Indria Puspitasari Lenap
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
T Test ◽  
Volume Activity ◽  
Paired Sample ◽  
A Value ◽  
Corona Virus ◽  
Significant Difference ◽  
Before And After

Abstract The study was intended to analyze the reactions of Indonesia's capital markets on events Indonesia tested positive for the corona virus pandemic. The study adopted an 11-day period of event study analysis. The population in this study is the entire company listed on the LQ45 index at the Indonesian stock exchange in February - June 2020. Sampling taken in this study uses an impressive sampling technique. Samples obtained by criteria on this research account number 42 companies. Variables used in this study are abnormal return and trading volume of activity.     The study used paired sample t-test analysis methods. The research indicates that there was no significant difference between average abnormal return before and after the Indonesia announcement was positive the corona virus pandemic. This is indicated by the results of the significant paired sample t-test that have a value of 0.924 > 0.05. Additionally, this study indicates that there was no significant difference in average trading volume activity before and after the events of the Indonesian announcement was positive that the corona virus pandemic. This is indicated by the results of the significant paired sample t-test that have a value of 0.936 > 0.05. Keywords : Event Study, Corona Virus Pandemic, Abnormal Return, Trading Volume Activity

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 REAKSI PASAR SAHAM TERHADAP PENGUMUMAN STOCK SPLIT PADA INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE 2013-2018

2020 ◽  
Vol 7 (4) ◽  
pp. 704
Author(s):  
Salsabiilaa Nadiah Putri Herlambang ◽  
Puji Sucia Sukmaningrum
Keyword(s):  
Abnormal Return ◽  
Abnormal Returns ◽  
T Test ◽  
Stock Index ◽  
Market Reactions ◽  
Average Abnormal Return ◽  
Stock Split ◽  
Before And After ◽  
Sample Test ◽  
The One

Stock split is a breakdown of the nominal value of stocks into smaller ones carried out by the issuer. This study aims to determine and explain the reaction of the stock market to the announcement of a stock split made by issuers of all sectors in the 2013-2018 Indonesian Sharia Stock Index (ISSI). This study uses a quantitative approach using event studies to analyze market reactions to events. Sampling using purposive sampling and obtained 50 companies and two companies do two stock splits. The sample analysis technique uses the One-Sample Test t-test and Paired Sample t-test with an observation period of 31 days which is 15 days before the announcement of the stock split and 16 days after the announcement of the stock split. The results obtained from this study are that there is no significant abnormal return before the announcement of the stock split, but there is a significant abnormal return after the stock split, although a little. However, there is no significant cumulative average abnormal return as a reaction before or after the stock split. This study also found no significant differences in abnormal returns before and after stock split and changes in cumulative average abnormal returns before and after stock split that was not significant.Keywords: Market Reaction, Stock Split, Average Abnormal Return, Indonesian Sharia Stock Index (ISSI)

scholarly journals ANALISIS ABNORMAL RETURN DAN LIKUIDITAS SAHAM SEBELUM DAN SESUDAH STOCK SPLIT PERIODE 2008-2012

2015 ◽  
Vol 11 (1) ◽  
pp. 10
Author(s):  
Wening Asriningsih
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
T Test ◽  
Rank Test ◽  
Signed Rank ◽  
Significant Difference ◽  
Wilcoxon Signed Rank Test ◽  
Stock Split ◽  
Before And After ◽  
Signed Rank Test

Abstrak: Analisis Abnormal Return dan Likuiditas Saham Sebelum dan Sesudah Stock Split Periode 2008-2012. Penelitian ini bertujuan untuk mengetahui perbedaan abnormal return dan likuiditas saham sebelum dan sesudah stock split di perusahaan yang terdaftar di Bursa Efek Indonesia periode 2008-2012. Penelitian ini menggunakan desain event study, dimana dilakukan pengamatan 10 hari sebelum dan 10 hari sesudah peristiwa. Analisis data yang digunakan dalam penelitian ini adalah Uji Paired Sampel t-test dan Uji Wilcoxon Signed Rank test. Hasil penelitian menunjukkan bahwa tidak terdapat perbedaan abnormal return namun terdapat perbedaan likuiditas yang signifikan sebelum dan sesudah stock split periode 2008-2012. Hasil penelitian ini juga menunjukkan bahwa stock split mampu meningkatkan likuiditas.Kata kunci: stock split, abnormal return, likuiditas.Abstract: The Analysis of Abnormal Return and Liquidity Before and After Stock Split in 2008-2012. This study is aimed to find out the differences abnormal return and liquidity before and after stock split at the companies listed for the period of 2008 – 2012. This study is using event study, in which the writer observed within 10 days before and 10 days after the event date. Data analysis that is uses in this research is Paired Sample t-test and Wilcoxon Signed Rank test. The result of the study show that: there was no differences in abnormal return but there was a significant difference in liquidity before and after stock split. The result of this study indicate the stock split may improve liquidity.Key words: stock split, abnormal return, liquidity

scholarly journals The Performance of Two Anchor Domestic Malaysian Banks before and after Acquisition

2017 ◽  
Vol 10 (10) ◽  
pp. 156
Author(s):  
Jakpar S. ◽  
Tinggi M. ◽  
Chong W. T. ◽  
Johari A. ◽  
Myint K. T.
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Time Lag ◽  
Financial Ratios ◽  
Event Window ◽  
Average Abnormal Return ◽  
Short Period ◽  
Before And After ◽  
The Difference ◽  
Research Period

This article is undertaken to assess the performance of domestic Malaysian banks before and after acquisition. This paper focuses on two pairs of anchor banks which merged and acquired other minor banks in Malaysia from year 2001 until 2013. The research period is 2 years before and 2 years after the acquisitions. The method being used in this research is financial ratios and event study. Nine selected financial ratios were used in this research to find the difference between pre and post acquisitions. Whereas event study is used to find the abnormal return, average abnormal return, cumulative abnormal return, and t-test hypothesis. The event window in this research is a total of 21 days before and after the acquisitions including the actual day of the event announcement. The results for this research indicate that there was improvement for Hong Leong Bank and EON Bank. RHB Bank on the other hand was outperforming by Bank Utama. There were limitation when carrying out this research such as difficulties to retrieve the needed annual report and historical price to conduct the investigation. The time lag on certain banks performance may need more time to see a better result while others may perform well in short period.

scholarly journals REAKSI PASAR SAHAM YANG TERDAFTAR DALAM JAKARTA ISLAMIC INDEX (JII) TERHADAP PENGUMUMAN PENETAPAN GUBERNUR DKI JAKARTA TAHUN 2017

2019 ◽  
Vol 5 (1) ◽  
pp. 1
Author(s):  
Puji Sucia Sukmaningrum ◽  
Muhammad Madyan ◽  
Achsania Hendratmi
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Quantitative Methods ◽  
Significant Difference ◽  
Before And After ◽  
Election Results ◽  
Election Commission ◽  
Research Period

The purpose of this research is to analyze the reaction of investors before and after the announcement of the determination of the Governor of DKI Jakarta in 2017 against abnormal return and trading volume of activity. These studies use quantitative methods of event study. Estimation period is 60 days and research period is 10 days before and 10 days after the announcement. the sample of this research is 30 stocks listed on the Jakarta Islamic Index (JII). The results showed no significant difference against AAR and ATVA before and after the announcement. Investor it is possible already to react before the official announcement of the Election Commission (KPU). Investors could do predictions the election results of the Survey or the quick count.Keywords: Market Reaction, Event Study, Abnormal Return, Trading Volume Activity, Islamic Capital Market.   

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