THE ANALYSIS OF ABNORMAL RETURNS AND TRADING VOLUME ACTIVITY BEFORE AND AFTER SIMULTANEOUS GENERAL ELECTION IN THE YEAR 2019 (STUDY OF STOCKS THAT ARE INCLUDED IN THE JAKARTA ISLAMIC INDEX)

Political events are one of the factors that influence a country’s economic conditions. The capital market as an economic instrument cannot be separated from various environmental influences, both economic and non economic environment. The aim of the research is to find out the difference of abnormal return and trading volume activity between 10 days before and 10 days after Simultaneous General Election 2019 on the stocks included in the Jakarta Islamic Index. The sampling method in this study was conducted using saturated samples of 30 companies. Statistical analysis method used is Paired Sample T-Test and Wilcoxon Signed Ranks Test. The result of statistical test shows that variabel abnormal return and trading volume activity produce the conclution that there is no difference in abnormal return and trading volume activity between 10 days before and 10 days after Simultaneous General Election 2019 on the stocks included in the Jakarta Islamic Index. The implications of this study for issuers do not need to worry about Simultaneous General Election information because the event does not significantly influence on abnormal return and trading volume activity.

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REAKSI PASAR MODAL TERHADAP PENGUMUMAN PAKET KEBIJAKAN EKONOMI JILID 1, 5, 7, 11 DAN 13

Jurnal Riset Akuntansi Kontemporer - Vol 13 No 2 (2021): October Edition ◽

10.23969/jrak.v10i2.1368 ◽

2018 ◽

Vol 10 (2) ◽

pp. 58-66

Author(s):

Adelia Nandira Maharani ◽

Irni Yunita

Keyword(s):

Economic Policy ◽

Abnormal Return ◽

Trading Volume ◽

Market Reaction ◽

Abnormal Returns ◽

Sampling Techniques ◽

Volume Activity ◽

Study Approach ◽

Before And After ◽

The Difference

The purpose of this research is to analize market reaction to the 1st, 5th, 7th, 11th and 13th economic policy packages. This research uses event study approach. Its measurement of market reaction would be seen from the difference of Abnormal Return and Trading Volume Activity before and after the events. Sample of this research was selected through purposive sampling techniques which include 12 firms. The data analysis used paired sample of t-test. These results indicated that there is no difference in abnormal returns before and after 1st, 5th, 7th and 13th economic policy packages announcement. There is a difference in abnormal returns before and after 11th economic policy packages announcement. There is no difference in trading volume activity before and after 1st, 5th, 7th, 11th and 13th economic policy packages announcement. Market reacts fast and protracted to the event which indicate that market is not efficient in semi strong-form.

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ANALISIS PERBEDAAN ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SEBELUM DAN SESUDAH PERISTIWA PENETAPAN UNDANG-UNDANG TAX AMNESTY

JMM UNRAM - MASTER OF MANAGEMENT JOURNAL ◽

10.29303/jmm.v10i3.661 ◽

2021 ◽

Vol 10 (3) ◽

pp. 186-198

Author(s):

I Komang Wisnu Wardhana ◽

Hermanto Hermanto ◽

I Nyoman Nugraha AP

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Secondary Data ◽

Volume Activity ◽

Analytical Technique ◽

Tax Amnesty ◽

Average Abnormal Return ◽

Before And After ◽

The Difference

The purpose of this study was to determine the difference in the average abnormal return and trading volume activity before and after the enactment of the tax amnesty law on the LQ-45 index. The type of data used in this study is secondary data with data collection techniques using the documentation method. Determination of the sample in this study using purposive sampling method with certain criteria so as to obtain 45 samples. The analytical technique used in this research is paired sample t-test with an observation period of 10 days. The results of this study indicate that: (1) There is no difference in the average abnormal return before and after the enactment of the tax amnesty law. (2) There is no difference in the average trading volume activity before and after the enactment of the tax amnesty law.

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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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Market Reaction Analysis of Annual Report Award Announcement: An Event Study Using Abnormal Return, Trading Volume Activity, and Stock Price

EkBis Jurnal Ekonomi dan Bisnis ◽

10.14421/ekbis.2020.4.1.1186 ◽

2020 ◽

Vol 4 (1) ◽

pp. 340

Author(s):

Fitri Astuti ◽

Anggi Setya Prayoga

Keyword(s):

Stock Prices ◽

Stock Price ◽

Abnormal Return ◽

Trading Volume ◽

Annual Report ◽

Market Reaction ◽

Abnormal Returns ◽

Volume Activity ◽

Event Window ◽

Before And After

This study intends to examine the differences in market reaction around the announcement of the Annual Report Award which is not only measured by abnormal return but is also measured using trading volume activity and stock prices. The data used are quantitative data in the form of a list of companies that received the Annual Report Award for the 2015-2018 period, the daily closing price of the ARA-winning company in the event window, the composite stock price index, the number of shares traded, and the number of shares outstanding. The event window is selected for 11 days because the long window period will blend with the effects of other events or confounding effects. The results of the study concluded that the market reacted around the announcement of the Annual Report Award for the 2015-2018 period measured using abnormal returns, trading volume activity, and stock prices. There is no difference in abnormal returns before and after the announcement of the 2013-2016 Annual Report Award period. Instead there are differences in trading volume activity and stock prices before and after the announcement of the Annual Report Award for the 2015-2018 period.

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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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ABNORMAL RETURN DAN LIKUIDITAS SAHAM ATAS PENGUMUMAN AKUISISI

Jurnal Manajemen ◽

10.24912/jm.v20i1.71 ◽

2017 ◽

Vol 20 (1) ◽

pp. 151

Author(s):

Suherman Suherman ◽

Riznita Nuraisyah ◽

Gatot N. Ahmad

Keyword(s):

Mergers And Acquisitions ◽

Abnormal Return ◽

Trading Volume ◽

Abnormal Returns ◽

Merger And Acquisition ◽

Stock Liquidity ◽

Before And After ◽

The Difference ◽

Adjusted Model ◽

Observation Period

Tujuan penelitian ini adalah untuk menganalisis perbedaan abnormal return dan likuiditas saham sebelum dan sesudah pengumuman akuisisi. Pengukuran abnormal return menggunakan market-adjusted model. Pengukuran likuiditas saham menggunakan volume perdagangan dan Amihud’s Illiquidity ratio. Periode pengamatan (event windows) penelitian ini selama 11 hari bursa, yaitu 5 hari bursa sebelum pengumuman akuisisi dan 5 hari bursa sesudah pengumuman akuisisi. Sampel penelitian ini adalah 70 perusahaan yang mengumumkan akuisisi antara 2010-2014. Hasil uji hipotesis menunjukkan bahwa 1)terjadi perbedaan abnormal return yang signifikan sebelum dan sesudah akuisisi, dan 2)tidak terdapat perbedaan likuiditas saham yang signifikan pada periode sebelum dan sesudah akuisisi.The purpose of this study is to analyze the difference of abnormal return and liquidity before and after the announcement of mergers and acquisitions. Abnormal returns are measured with market-adjusted model. Liquidity is measured with trading volume and Amihud Illiquidity ratio. The observation period (event windows) of this research is 11 trading days which 5 trading days before the announcement of the merger and acquisition and 5 trading days after the announcement mergers and acquisitions. Research sample consists of 70 companies which announce merger and acquisition between 2010 and 2014. The results show that 1)there is significant differences of abnormal returns before and after merger and acquisition, and 2)there is no significant differences of stock liquidity before and after merger and acquisition.

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Analisis Pengaruh Stock Split Terhadap Volume Perdagangan, Harga Saham, dan Abnormal Return pada Perusahaan yang Terdaftar di BEI Periode 2017 - 2018

Jurnal Manajemen Bisnis dan Kewirausahaan ◽

10.24912/jmbk.v4i1.6805 ◽

2020 ◽

Vol 4 (1) ◽

pp. 84

Author(s):

Agus Amanda Tanoyo

Keyword(s):

Stock Prices ◽

Trading Volume ◽

Stock Exchange ◽

Abnormal Returns ◽

Rank Test ◽

Volume Activity ◽

Stock Split ◽

Before And After ◽

Signed Rank Test ◽

The Difference

This study aims to determine the difference in the trading volume activity, stock prices and abnormal returns before and after the announcement of a stock split. The population of this study are all companies listed in Indonesia Stock Exchange that take corporate action in the form of stock split at period 2017-2018. Sampling using purposive sampling. Based on the sampling criteria predetermined number of samples acquired 24 stocks. The analytical method used is the analysis Wilcoxon Signed Rank Test with the observation period (event window) is 14 days. The results showed that there were differences in the trading volume activity and stock prices before and after the announcement of stock split, while the last hypothesis showed that there were no differences in abnormal returns before and after the announcement of stock split.

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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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Analisis Perbandingan Reaksi Investor Sebelum Dan Sesudah Pengumuman Indonesia Sustainability Reporting Awards (ISRA)

Al-Buhuts ◽

10.30603/ab.v14i01.468 ◽

2018 ◽

Vol 14 (02) ◽

pp. 123-143

Author(s):

Dwi Yana Amalia Sari Fala ◽

Septy Indra Santoso ◽

Ariska Amanda

Keyword(s):

Hypothesis Testing ◽

Abnormal Return ◽

Trading Volume ◽

Sampling Method ◽

Abnormal Returns ◽

Sustainability Reporting ◽

Test Results ◽

Volume Activity ◽

Paired Sample ◽

Before And After

The purpose of this research to analyze the reaction of investors, as measuring by differences in abnormal returns and trading volume activity before and after the announcement of Indonesia sustainability reporting awards in 2016. Using purposive sampling method was obtained Sample of research 10 companies with observation for three days before and three days after announcement. The Hypothesis testing used paired sample t-test. Results of the first hypothesis testing show that happen differences abnormal return before and after the announcement of Indonesia sustainability reporting awards but not significant, testing the second hypothesis too shows that are differences in trading volume activity before and after the announcement of Indonesia sustainability reporting awards but not significant.

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Reaksi Abnormal Return Dan Trading Volume Activity Sebelum dan Sesudah Ramadhan Effect

Jambura Accounting Review ◽

10.37905/jar.v1i1.9 ◽

2020 ◽

Vol 1 (1) ◽

pp. 48-58

Author(s):

Nina Atrina Kudusia ◽

Nilawaty Yusuf ◽

Muliyani Mahmud

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Research Method ◽

Stock Exchange ◽

Secondary Data ◽

Sampling Technique ◽

Volume Activity ◽

Before And After ◽

The Difference

This Research aims to find out the difference between the average of abnormal return and trading volume activity of the transportation companies’ stocks listed in Indonesia Stock Exchange, a period 2014-2018 before and after Ramadhan. The research method is a quantitative method. Th kind of data used is secondary data. The sample is 11 transportation companies listed ini Indonesia Stock Exchange during the period of 2014-2018, while the sampling technique applies purposive sampling. The findings show that there is no difference on the average of abnormal return before and after Ramdahan, and there is no difference on the average of trading volume activity in 2015 and 2018, whereas in 2014, 2016, and 2017 there is a difference on the average of trading volume activity. Meanwhile, the abnormal return and trading volume activity simultaneously influence toward Ramadhan effect with the result of the coefficient determination of 50%, it means that 50% of Ramadhan effect variable is explained by return and trading volume activity.

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