Analysis of Covid-19 Impact on Stock’s Abnormal Return in Sub Cigarette Sector Companies Listed on BEI

Covid-19 is an international pandemic that has paralyzed the national economic sector. This study aims to analyze the impact of Covid-19 on stock’s abnormal return in cigarette sub sector companies listed on the Indonesia Stock Exchange in the January to May 2020 period. The population of this study is 5 cigarette sub sector companies listed on the Indonesia Stock Exchange in 2020. The research sample selection uses census method so as to obtain 5 sample companies with an observation period of 5 months (January to May 2020). Secondary data in this study regarding stock’s abnormal returns with actual return and market return proxies. Data obtained from the company's daily stock price and composite stock price index. Descriptive statistical analysis, data normality test analysis and hypothesis test analysis are processed using SPSS 25. Statistical test with paired sample t test showed no significant difference in abnormal return between the period of 52 days before and when WFH with a significant level of 95% (α = 0.05). From the SPSS test results it is known that the significance value obtained is equal to 0.911. When compared with the significance value that has been set. The value is greater (α> 0.05). So H1 which states there are differences in stock’s abnormal returns before and during the WFH Covid-19 is rejected.

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Impact of Cash Dividend Announcements: Evidence from the Indian Manufacturing Companies

Journal of Emerging Market Finance ◽

10.1177/0972652716686238 ◽

2017 ◽

Vol 16 (1) ◽

pp. 29-60 ◽

Cited By ~ 7

Author(s):

Sadaf Anwar ◽

Shveta Singh ◽

P. K. Jain

Keyword(s):

Stock Price ◽

Stock Exchange ◽

Manufacturing Sector ◽

Abnormal Returns ◽

Manufacturing Companies ◽

Cash Dividend ◽

Mean Values ◽

Significant Difference ◽

Dividend Announcements ◽

The Impact

According to a recent survey by McKinsey and Company, the Indian manufacturing sector is expected to touch US$ 1 trillion by 2025.This study analyses the impact of the announcement of cash dividends on the stock price returns of the manufacturing companies listed on Bombay Stock Exchange using event study methodology. Further, it explores whether the US financial crisis recession impacted average abnormal returns (AARs) in the period of study. The empirical results show that cash dividend announcements have positive AARs. Overall, the results lend support to the signalling and informational content hypotheses of dividends. The paired samples t-test indicates a significant difference in the mean values of AARs in the pre-and post-recession phases, highlighting the impact of recession.

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Pengaruh Employee Stock Ownership Program Terhadap Average Abnormal Return Perusahaan Perbankan

Jurnal Ilmu Sosial, Manajemen, Akuntansi dan Bisnis ◽

10.47747/jismab.v1i1.9 ◽

2020 ◽

Vol 1 (1) ◽

pp. 47-55

Author(s):

Agung Suprayogi ◽

Abdul Basyith

Keyword(s):

Stock Price ◽

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Abnormal Returns ◽

Stock Ownership ◽

Employee Stock Ownership ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After

This research was conducted to see the effect of the implementation of the Employee Stock Ownership Program on average abnormal returns of banking companies before and after applying ESOP and trading volume. The aim is to find out the difference in average abnormal return before and after applying the ESOP. The variable used in this study is average abnormal return. The period of this research event is 20 days, 10 days, 5 days and 1 day which are divided before and days after the date of application. This study examines banking companies that apply the Employee Stock Ownership Program listed on the Indonesia Stock Exchange so that data is obtained from trading in the company's stock price. The sampling criteria used a purposive sampling method in order to obtain 9 samples. The hypothesis method used in the normally distributed data is Paired Samples T-test. The result is that all average abnormal return periods both on the first and the last date of the ESOP application have a significant value >0.05, which means that the entire event period of the variable is proven to have no significant difference both before and after the banking company applies the Employee Stock Ownership Program.

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

JURISMA : Jurnal Riset Bisnis & Manajemen ◽

10.34010/jurisma.v11i1.2871 ◽

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

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REKSADANA SYARIAH dan KONVENSIONAL DI INDONESIA

KEUNIS ◽

10.32497/keunis.v9i2.2629 ◽

2021 ◽

Vol 9 (2) ◽

pp. 120

Author(s):

Nurseto Adhi ◽

Dewi Pratiwi Aji ◽

Winarni Winarni

Keyword(s):

Mutual Funds ◽

Mutual Fund ◽

Stock Exchange ◽

Hypothesis Test ◽

Secondary Data ◽

Sampling Technique ◽

Test Analysis ◽

Significant Difference ◽

The Difference ◽

Differential Test

This study aims to test the difference between the conventional mutual fund and the sharia mutual fund on performances and risk. The development of mutual fund products is based on 2 (two) categories, conventional mutual funds, and sharia mutual funds (www.ojk.go.id). Based on data from the Data Center and Statistics of Islamic Mutual Funds, the performance of Islamic mutual funds is still underperformed compared to conventional mutual funds. Therefore, testing the performance of Islamic mutual funds by testing the performance of conventional mutual funds has not been widely tested. Secondary data was used in this study with all 1425 mutual funds from 2012-2017 on the Indonesia Stock Exchange was used as the population in this study is. The purposive sampling technique determines the sample in this study. The sample used in this study was Conventional and Shariah mutual fund in Indonesia Stock Exchange (IDX) with six products each. This hypothesis test used Differential Test tools with data analysis techniques using Paired sample t-test analysis using SPSS 25. In this study, we found that there was a significant difference between the return on conventional mutual funds and Syariah mutual funds. While the risk, Sharpe method, Treynor method, and Jensen method have not significant difference between conventional mutual funds and Syariah mutual funds.

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Stock Market Reaction on Green-Bond Issue: Evidence from Indian Green-Bond Issuers

Vision The Journal of Business Perspective ◽

10.1177/09722629211022523 ◽

2021 ◽

pp. 097226292110225

Author(s):

Rakesh Kumar Verma ◽

Rohit Bansal

Keyword(s):

Stock Returns ◽

Financial Institutions ◽

Stock Price ◽

Stock Exchange ◽

Abnormal Returns ◽

Developed Countries ◽

Low Carbon ◽

Bond Issue ◽

The Government ◽

The Impact

Purpose: A green bond is a financial instrument issued by governments, financial institutions and corporations to fund green projects, such as those involving renewable energy, green buildings, low carbon transport, etc. This study analyses the effect of green-bond issue announcement on the issuer’s stock price movement. It shows the reaction of the stock price after the issue of green bonds. Methodology: This study is based on secondary data. Green-bond issue dates have been collected from newspaper articles from different online sources, such as Business Standard, The Economic Times, Moneycontrol, etc. The closing prices of stocks have been taken from the NSE (National Stock Exchange of India Limited) website. An event window of 21 days has been fixed for the study, including the 10 days before and after the issue date. Data analysis is carried out through the event study method using the R software. Calculation of abnormal returns is done using three models: mean-adjusted returns model, market-adjusted returns model and risk-adjusted returns model. Findings: The results show that the issue of green bonds has a significant positive effect on the stock price. Returns increase after the green-bond issue announcement. Although the announcement day shows a negative return for all the samples taken for the study, the 10-day cumulative abnormal return (CAR) is positive. Thus, green-bond issues lead to positive sentiments among investors. Research implications: This research article will help the government issue more green bonds so that the proceeds can be utilized for green projects. The government should motivate corporations and financial institutions to issue more green bonds to help the economy grow. In India, very few organizations have issued a green bond. It will be beneficial if these players issue green bonds, as it will increase the firms’ value and boost returns to the investors. Originality/value: The effect of green-bond issue on stock returns has been analysed in some studies in developed countries. This is the first study to examine the impact of green-bond issue on stock returns in the Indian context, to the best of our knowledge.

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The Announcement of Sharia Bank’s Conditional Merger Agreement. How Investor Reacted?

Journal of Business Management Review ◽

10.47153/jbmr22.1002021 ◽

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.

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Abnormal Return, Market Reaction around Rating Announcement in Tunisian Stock Market

International Journal of Economics and Finance ◽

10.5539/ijef.v8n7p322 ◽

2016 ◽

Vol 8 (7) ◽

pp. 322

Author(s):

Wissem Daadaa

Keyword(s):

Stock Price ◽

Abnormal Return ◽

Stock Return ◽

Market Reaction ◽

Stock Exchange ◽

Price Change ◽

Study Methodology ◽

Book To Market Ratio ◽

The Impact ◽

Event Study Methodology

This paper tests the market reaction and the stock price change around rating announcements in Tunisian stock exchange using the event study methodology. We examine the impact of the change rating announcement on stock return firms from 2006 to 2010. The results show that only the negative rating with downgrades note which is associated to negative abnormal return. The market does not seem to be interested upgrades rating on the Tunisian market. The negative reaction of the market can be explained by leverage change, Book to Market ratio and the level of the rating fall.

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Analisis Reaksi Investor di Bursa Efek Indonesia pada Pelantikan Joko Widodo

Jurnal Pendidikan Ekonomi Undiksha ◽

10.23887/jjpe.v12i1.21514 ◽

2020 ◽

Vol 12 (1) ◽

pp. 50

Author(s):

Komang Lia Karina ◽

I Nyoman Sujana ◽

M. Rudi Irwansyah

Keyword(s):

Trading Volume ◽

Stock Exchange ◽

Abnormal Returns ◽

Secondary Data ◽

Wilcoxon Test ◽

Stock Index ◽

Stock Trading ◽

Significance Level ◽

Significant Difference ◽

Before And After

This study aimed to analyze the reaction of investors on Indonesia Stock Exchange to the inauguration of the 8th President by observing whether there were any significant differences in abnormal returns and stock trading volume activities before and after the event. The observation period used in this study was 10 days, with details of each 5 days before and after the President's inauguration event that occurred on 20 October 2019. This research was quantitative research and used daily transaction data on the market capital as a secondary data source. The samples used were companies that were included in the LQ45 stock index for the period August 2019 - January 2020. A non-parametric test in the form of Wilcoxon test was used to test the hypothesis. The results of this study showed that there were no significant difference in abnormal return and stock trading volume activity in the period before and after the event. This was evidenced by the probability value above the significance level of 5%. Thus, the results of this study were stated that there was no reaction from the investor related to the event of the inauguration of the 8th President in Indonesia.

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Analisis Efek Ramadhan Terhadap Abnormal Return dan Trading Volume Activity pada Perusahaan Yang Masuk dalam Jakarta Islamic Index (JII) di Bursa Efek Indonesia Periode 2014-2018

AL-TIJARY ◽

10.21093/at.v5i1.1598 ◽

2019 ◽

Vol 5 (1) ◽

pp. 37-47

Author(s):

Ahmad Faih ◽

Rohmatun Nafiah

Keyword(s):

Significant Influence ◽

Stock Price ◽

Abnormal Return ◽

Trading Volume ◽

Price Index ◽

Stock Exchange ◽

Secondary Data ◽

T Test ◽

Volume Activity ◽

Stock Price Index

This study is a study of events aimed at knowing the effects of Ramadhan, to companies listed on the Jakarta Islamic Index on the Indonesia Stock Exchange period 2014-2018, using abnormal return and trading volume activity indicators. This study uses secondary data in the form of daily stock price index for the period 2014-2018 , Composite Stock Price Index (IHSG) and trading volume, with the population of companies entering the Jakarta Islamic Index on The Indonesian Stock Exchange , The statistical test used to test the hypothesis is the normality test, and the paired sample t-test. Result of T-test on Abnormal Return between year 2014-2018 know that there is no significant influence between Ramadhan month to abnormal return from year 2014 until 2018. While for T-test on trading volume activity between year 2014 until 2018 know that only in 2014, 2015, and 2017, 2018 there are significant influence which means the market responds to the event. The result of the test of Ramadhan event has the information even though it does not happen in every year of the research period, this is because Ramadhan is a routine event occuring in Indonesia so investors have been able to predict how the stock movemonts in Indonesia Stock Exchange.

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Political Connection and Firm Value in Indonesia

Sebelas Maret Business Review ◽

10.20961/smbr.v3i2.14932 ◽

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

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.

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