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 REAKSI PASAR MODAL DI BURSA EFEK INDONESIA TERHADAP PENGUMUMAN PERISTIWA BENCANA BANJIR YANG MELANDA DAERAH KHUSUS IBU KOTA JAKARTA TAHUN 2013

2013 ◽  
Vol 2 (2) ◽  
Author(s):  
Andri Yuwono
Keyword(s):  
Event Study ◽  
Consumer Goods ◽  
Abnormal Return ◽  
Market Model ◽  
Expected Return ◽  
Single Index ◽  
Consumer Goods Industry

Tujuan Penelitian ini adalah untuk menguji apakah peristiwa bencana banjir yang melanda DKI Jakarta tahun 2013 mampu mempengaruhi kegiatan di pasar modal Indonesia. Metode pengumpulan data yang digunakan dalam penelitian ini adalah metode dokumentasi yaitu data yang dikumpulkan dan diolah oleh pihak lain yang berasal dari publikasi Bursa Efek Indonesia. Sampel yang digunakan dalam penelitian ini adalah saham yang termasuk kedalam sektor consumer goods industy dan sub sektor retail. Analisis yang digunakan adalah event study dan uji beda. Abnormal return dihitung berdasarkan expected return yang diperoleh dengan menggunakan Single Index Market Model (SIMM). Periode pengamatan selama 65 hari bursa yang terdiri dari dua periode yaitu 44 hari periode estimasi dan 21 hari periode peristiwa yang terdiri 1 hari peristiwa, 10 hari sebelum peristiwa dan 10 hari setelah peristiwa dijadikan periode jendela untuk mengukur reaksi. Hasil penelitian ini menunjukkan bahwa terdapat abnormal return positif pada saham yang bergerak di sektor consumer goods industry dan sub sektor retail di hari peristiwa. Abnormal return positif juga terjadi pada saat hari pertama, kedua, keempat, kelima, kedelapan dan kesepuluh. Uji perbedaan menunjukkan bahwa secara statistik terdapat perbedaan rata-rata abnormal return pada saham yang bergerak di sektor consumer goods industry dan sub sektor retail sebelum dan setelah peristiwa. Sedangkan untuk rata-rata aktivitas volume perdagangan saham tidak terdapat perbedaan yang signifikan secara statistik.   Kata kunci: Studi Peristiwa, Abnormal Return, dan Volume Perdagangan Saham

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 MODAL INDONESIA TERHADAP PELUNCURAN RUDAL KOREA UTARA

2020 ◽  
Vol 2 (1) ◽  
pp. 22-40
Author(s):  
Nicholas Arditya Dwianto ◽  
Ima Kristina Yulita
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Stock Price ◽  
Bad News ◽  
Market Model ◽  
Model Estimation ◽  
Expected Return ◽  
Hydrogen Bomb ◽  
The North ◽  
Negative Signal

This study aimed to examine the Indonesia capital market reaction to the North Korean missile launching. The type of this research is an event study by using the market model estimation to estimate the expected return. This research used 100 days as the estimated period and 9 days as the windows period. The sample of this research consisted of 76 companies listed in the Index Kompas 100. The result shew that the stock price did not react negatively toward North Korean missile launching. In this research, the emergence of disturbing events at t+3 and t+4 that North Korea succeded in testing hydrogen bomb disturb the events observed by the author. At t +3 and t+4, the stock price react negatively and significantly. The result of this research supported the Signaling theory that the information about a country’s particular events such as information about North Korea’s succes in testing a hydrogen bomb was interpreted as a negative signal (bad news)

scholarly journals Dividend Policy in Tunisia: A Signalling Approach

2018 ◽  
Vol 10 (4) ◽  
pp. 84 ◽  
Author(s):  
Taleb Lotfi
Keyword(s):  
Information Content ◽  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Dividend Policy ◽  
Signaling Theory ◽  
Supporting Evidence ◽  
Dividend Announcements ◽  
Stock Price Reaction ◽  
Do So

The main objective of this study was to establish the stock price reaction to dividend announcements of firms quoted at the Tunisian Securities exchange (TSE). To do so, we develop a traditional event study. Two robust results emerge: First, when we observe the 196 announcements of dividends between years 1996-2004, the result is inconsistent with signaling theory, as long as, no abnormal return was observed on the announcement day (event period). Second, When the overall sample is divided into three sub-group (dividend increase, dividend-no-change and dividend), we observe a significant and abnormal return about -1.242 percent and -1.697 percent respectively on day D(t0-4) and D(t0+4) around the dividend announcement day (Dt0) only for the sub-group of firms that decreases their dividend. This result corroborates prior research in Tunisian context [Ben Naceur and al. (2006); Guizani and Kouki (2011)] that confirm, by using a different approach, the Lintner’s (1956) conclusions which states that Tunisian’ firms generally tend to avoid a dividend decrease (or cuts) and can constitute a supporting evidence of the dividend information content hypothesis in TSE.

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.

Reaksi Investor Pasca Pengumuman Unsuspensi (Studi Pada Saham Perusahaan yang Terdaftar di Bursa Efek Indonesia Tahun 2013-2017)

2019 ◽  
Vol 16 (4) ◽  
pp. 265-273
Author(s):  
Meita Rahmawati ◽  
Iwan Efriandy
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Market Model ◽  
Adjusted Model

Tujuan: Penelitian ini adalah menguji secara empiris reaksi investor pasca pengumuman unsuspensi saham dengan melihat abnormal return sebelum pengumuman suspensi dan setelah pengumuman unsuspensi.Metode: Penelitian ini merupakan studi peristiwa (event study), dengan menggunakan periode estimasi selama 100 hari dan periode jendela selama 6 hari yaitu 3 hari sebelum pengumuman suspensi, dan 3 hari pasca pengumuman unsuspensi. Hasil: Uji statistik menunjukkan bahwa pengumuman unsuspensi saham dengan melihat semua penyebab suspensi dan berdasarkan penyebab kenaikan harga saham yang signifikan, berpengaruh terhadap reaksi investor, yang ditunjukkan dari adanya perbedaan nilai rata-rata abnormal return saham yang signifikan secara statistik antara sebelum dan setelah pengumuman. Sedangkan untuk pengumuman unsuspensi saham akibat adanya informasi penundaan kewajiban emiten, tidak berpengaruh terhadap reaksi investor. Peneliti menggunakan model sesuaian rerata (mean-adjusted model), untuk mengestimasi return normal/return ekspektasian, penelitian selanjutnya dapat mempertimbangkan hal-hal berikut: menggunakan model pasar (market model), dan model sesuaian pasar (marked adjusted model), untuk mengestimasi return ekspektasian, memperbesar sampel dan memperpendek periode pengamatan.Kata Kunci: Studi Peristiwa, Unsuspensi, Reaksi Investor, Abnormal return

scholarly journals Responses of Stock Price to the Public Announcement of Forms of Borrowing

2021 ◽  
Vol 13 (10) ◽  
pp. 169
Author(s):  
Khairul Kabir Sumon ◽  
Md. Sazib Miyan
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Bank Loan ◽  
Market Model ◽  
Positive Information ◽  
The Public ◽  
Annual Basis ◽  
Public Announcement

This study investigates the question of whether an announcement of bank loan agreement increases the abnormal return. That is, the bank loan agreement conveys some positive information about the borrowing firm. The study used three different event windows (i.e.) two-day, three-day, and five-day windows to check the effect of the announcement for a period of 1995 to 2015. In order to measure the effect, the return has been calculated using the market model, then CARs have been calculated. The study found that CARs is statistically significant for all of the three-event windows. In the two-day window, it is found that abnormal return increases by 15 BPS within these two days, which is almost 19.315% on an annual basis. It is also evident in the study that the effect of the announcement is more on small size firms.

scholarly journals Hotel Stock Price Performance During the Covid-19 Pandemic in Indonesia

2021 ◽  
Vol 5 (1) ◽  
Author(s):  
Regina Sandra Kusuma
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Return ◽  
Secondary Data ◽  
Price Performance ◽  
Study Methodology ◽  
The Relationship ◽  
Event Study Methodology

This study aims to analyze the Indonesian hotel stock price performance during the pandemic of Covid-19 by testing the effect of Covid-19 pandemic on stock return and abnormal stock return. The data were collected from secondary data at www.finance.yahoo.com, Indonesian hotel companies stock period from 26 February 2020 to 2 March 2020 during the pandemic of Covid-19. Further, the data were analyzed by using Event Study Methodology to examine the effect of Covid-19 pandemic on Indonesian hotel stock return and abnormal return. The result of this study finds that there is stock reaction after the announcement of Covid-19 pandemic in Indonesia during 15 days after the announcement. Also in this research, can be found a relationship between the stock condition with the pandemic. This research can be used as a reference for investors for their investments by looking at the relationship between the Indonesian hotel companies stock and pandemic of Covid-19.

scholarly journals The Phenomenon of Dividend Announcement on Stock Abnormal Return (Case in ASEAN Countries)

2021 ◽  
Vol 12 (1) ◽  
pp. 1-18
Author(s):  
Ikka Tiaraintan Hariyanto ◽  
Werner Ria Murhadi
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Policy Implication ◽  
Stock Price ◽  
Abnormal Return ◽  
Dividend Signaling ◽  
Positive Abnormal Return ◽  
Dividend Distribution ◽  
Asean Countries ◽  
Research Period

Research aims: to examine the existence of stock’s abnormal return after dividend announcement activity.Design/methodology/approach: event study with 1.330 samples of dividend announcement in ASEAN countries during 2018. The research period was 21 days around the dividend announcement’s date.Research findings: this analysis's results agreed with the dividend signaling theory hypotheses, where the increase, decrease, or constant dividends could be an informative aspect for investors. Theoritical contribution/originality: it was shown by the presence of a positive abnormal return between an increase and a constant dividend, while a negative abnormal return between decrease dividends.Practitioner/policy implication: in the ASEAN capital market, it could be concluded that the change of dividend nominal would signal the firm’s prospect.Research limitation/implication: this research used the earliest dividend announcement before revision. Suggestions for further research are to pay attention to announcements of changes in dividend distribution dates and nominal revision, whether they contain information for investors, which will affect stock price movements.

Pengujian Anomali January Effect Terhadap Saham Pada Perusahaan Yang Terdaftar Di Jakarta Islamic Index

Media Ekonomi ◽  
2020 ◽  
pp. 6
Author(s):  
Ika Yustina Rahmawati ◽  
Tiara Pandansari
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
T Test ◽  
January Effect ◽  
Paired Sample ◽  
Price Data ◽  
Closing Price

Tujuan dari penelitian ini adalah untuk untuk menguji perbedaan return dan abnormal return pada bulan Januari dan selain bulan Januari pada indeks JII. Sampel yang digunakan adalah saham perusahaan yang termasuk pada indeks JII, penelitian ini merupakan event study sehingga pada periode pengamatan akan melihat reaksi pada sebelum, saat, dan sesudah event. Pada penelitian ini, periode yang digunakan adalah H- 10 (sebelum event), H0 (saat event) dan H+10 (sesudah event). Sumber data diperoleh dari yahoo finance, sahamok.com dan IDX. Jenis data yang digunakan dalam penelitian ini adalah data sekunder, diantaranya adalah harga penutupan saham yang sudah disesuaikan (adjusted closing price) dan harga penutupan IHSG. Data berupa harga saham harian (daily stock price). Data-data tersebut kemudian dianalisis dengan menggunakan metode analisis paired sample t-test. Hasil penelitian menunjukkan bahwa jika dilihat return saham (Rit) pada tahun 2014 dan 2015 menunjukkan adanya perbedaan return dan memberikan adanya signal adanya January Effect sedangkan untuk tahun 2016 hasilnya berbeda dengan tahun sebelumnya karena hasilnya tidak menunjukkan perbedaan return dan dipastikan tidak ada indikasi January effect. Untuk abnormal return (AR) untuk semua tahun penelitian (2014, 2015, 2016) menunjukkan adanya perbedaan, yang menunjukkan adanya perbedaan AR dan memberikan signal adanya January Effect sehingga memengaruhi para pelaku pasar dalam mengambil keputusan.

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