Does Trading Volume Activity React To The Announcement of Large-Scale Social Restrictions During The Covid-19 Pandemic?

This research is an event study that aims to examine the information content as measured by trading volume activity as a form of capital market reaction to the announcement of the COVID-19 pandemic in Indonesia. The purpose of this research study is to determine and analyze the presence or absence of trading volume activity before and after the announcement of Large-Scale Social Restrictions in the context of handling COVID-19 in Indonesia. The analytical method used in the study is a quantitative method in research with an event study approach which is used to analyze the reaction of the capital market to the announcement of large-scale social restrictions (PSBB) in the context of handling the COVID-19 pandemic in Indonesia. The data analysis technique in this research is using event study. The results showed that there were significant differences in stock trading volume activity before and after the announcement of the PSBB policy during the Covid-19 pandemic in DKI Jakarta.

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Analisis Reaksi Pasar Atas Peristiwa Pilkada Serentak Tahun 2018

E-Jurnal Akuntansi ◽

10.24843/eja.2019.v27.i02.p13 ◽

2019 ◽

pp. 1171

Author(s):

Ni Nyoman Wahyu Suryani ◽

Ni Ketut Rasmini

Keyword(s):

Event Study ◽

Abnormal Return ◽

Trading Volume ◽

Market Reaction ◽

Sampling Technique ◽

Volume Activity ◽

Analysis Technique ◽

Average Abnormal Return ◽

Before And After ◽

Regional Elections

This study aims to determine market reaction in the event of simultaneous regional elections in 2018. This research is an event study with a period of observation for 7 days. The study was conducted on companies classified as LQ45 from February to July 2018. The population in this study was 45 companies. The method of determining the sample used is a non probability sampling method with a purposive sampling technique. The sample obtained was 37 companies. The market reaction to the 2018 simultaneous regional elections was measured using abnormal return and trading volume activity. The data analysis technique used is paired-sample t-test. The test results show that there is no difference in average abnormal return and trading volume activity before and after the events of simultaneous regional elections. This shows that simultaneous regional elections in 2018 did not cause market reaction because there was no information content on the event. Keywords: Event study, abnormal return, politics

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ANALISIS DAMPAK PEMILU PRESIDEN JOKOWI TERHADAP RETURN SAHAM (Studi Kasus Saham LQ-45 di Bursa Efek Indonesia)

Jurnal Akuntansi Indonesia ◽

10.30659/jai.4.2.97-108 ◽

2016 ◽

Vol 4 (2) ◽

pp. 97

Author(s):

Ayudia Hanung Diniar ◽

Kiryanto Kiryanto

Keyword(s):

Capital Market ◽

Presidential Election ◽

Trading Volume ◽

Presidential Elections ◽

The Political ◽

Average Volume ◽

Volume Activity ◽

Stock Trading ◽

Political Events ◽

Before And After

Election is one of the political events that influence on a country’s economy. Capital market as one of insrumen economy can not be separated from environmental influences, both economic and environmental non-economicenvironment. This study aimed to analyze the reaction of the capital market to market anomaly events in Indonesia, in this case the 2014 Presidential Election. The reaction of the stock market measured by the abnormal return and trading volume activity stock. The population in this study are the companies whose shares are included in the LQ- 45. This study using event study. The results showed that the positive reaction of investors where the 4 days before and 2 days sebelumm July 9 2014 Presidential Election investors reacted positively. These conditions indicate the existence of investor optimism that the elections will be held on July 9, 2014. And an increase in the average volume of stock trading at before and after the presidential elections July 9, 2014.

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Capital Market Reaction Against Political Events (Event Study of Demonstration 212 Peaceful Action )

10.31227/osf.io/pux46 ◽

2018 ◽

Author(s):

Sri Utami Ady

Keyword(s):

Stock Returns ◽

Event Study ◽

Capital Market ◽

Stock Price ◽

Abnormal Return ◽

Trading Volume ◽

Share Price ◽

Stock Trading ◽

Significant Difference ◽

Before And After

This study aimed to explain the reaction of the capital market (Event study) 212 demonstrations peaceful protest events against the share price of PT Nippon Indosari Corpindo Tbk on December 2016. The study was conducted at PT Nippon Indosari Corpindo Tbk. As one of the companies affected directly the event. The data used the daily closing stock price data, daily stock trading volume, and the number of outstanding shares obtained from the Indonesia Stock Exchange. By using a t test analysis, there were three hypotheses in this study, namely whether the investor obtain abnormal return to their events (H1), whether there was a difference of abnormal return before and after the event (H2), whether there were differences in the volume of stock trading before and after the event (H3). Results of tests made clear that investors did not earn abnormal return to their peaceful protest demonstration event 212, the results of tests performed also explained that there was no significant difference in abnormal stock returns and trading volume before and after the event. This was because the Indonesian people already familiar with the demonstrations that occurred in the country, so that market participants were more calm in dealing with the situation. The reaction of investors to the event in the Indonesian capital market was quite low indicates the level of efficiency of the Indonesian capital market was still weak

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Analisis Reaksi Pasar Terhadap Pengumuman Merger dan Akuisisi Pada Perusahaan Akuisitor yang Terdaftar di BEI

E-Jurnal Akuntansi ◽

10.24843/eja.2018.v23.i03.p10 ◽

2018 ◽

pp. 1870

Author(s):

Ika Putri Adnyani ◽

Gayatri Gayatri

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Sampling Method ◽

Stock Exchange ◽

Cumulative Abnormal Return ◽

Test Results ◽

Volume Activity ◽

Paired Sample ◽

Analysis Technique ◽

Before And After

This research is conducted on all acquisition companies that conduct acquisitions listed on Indonesia Stock Exchange 2011-2016 period. Sampling method using purposive sampling. The number of samples of this research is 50 companies. The market reaction in this study used abnormal return and trading volume activity. The testing of information content will be done by looking at differences in cumulative abnormal return and the average trading volume of shares five days before and five days after the announcement of the acquisition. Data analysis technique used is paired sample t-test. Based on the test results, found there are significant differences in the abnormal return of the acquirer company before and after the announcement of the acquisition. However, there is no difference in trading volume activity of the acquirer's stock before and after the acquisition announcement Keywords: acquisitions, stock market, abnormal return, trading volume activity

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Reaction of Sharia Capital Market toward Political Events in Indonesia

Asian Journal of Economics Business and Accounting ◽

10.9734/ajeba/2021/v21i1930502 ◽

2021 ◽

pp. 11-20

Author(s):

Sisca Debyola Widuhung

Keyword(s):

Event Study ◽

Capital Market ◽

Trading Volume ◽

Presidential Elections ◽

Abnormal Returns ◽

The Political ◽

Stock Trading ◽

Market Reactions ◽

Political Events ◽

Observation Period

This study aims to examine the reaction of the sharia capital market to political events in Indonesia. The political events referred to in this study are the events of the 2014 and 2019 presidential elections. The market reactions used are abnormal returns and stock trading volume. The sample in this study is stocks included in the Jakarta Islamic Index (JII) during the study period, which are 22 stocks. This study used an event study with an observation period of 21 trading days, namely 10 trading days before, one day of the day event, and 10 trading days after the 2014 & 2019 presidential and vice presidential elections. From the result, it can be seen that both tests are greater than 5%. Therefore, H0(1 and 2) are accepted.

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Do Regional Election and Presidential Election Affect Stock Exchange? An Event Study in the Indonesian Stock Exchange

JURNAL AKUNTANSI DAN BISNIS Jurnal Program Studi Akuntansi ◽

10.31289/jab.v7i1.4454 ◽

2021 ◽

Vol 7 (1) ◽

pp. 71-80

Author(s):

Khanifah Khanifah ◽

Agus Triyani ◽

Suhita Whini Setyahuni

Keyword(s):

Event Study ◽

Capital Market ◽

Trading Volume ◽

Stock Exchange ◽

Abnormal Returns ◽

T Test ◽

Democratic Politics ◽

Paired Samples ◽

Before And After ◽

Regional Elections

The 2018 simultaneous regional election in Indonesia is something new in the events of democratic politics in Indonesia. The events of the 2018 simultaneous regional election is one of the important events in 2018 that can cause a reaction of capital market to these events. This study aims to examine how the capital market reacts to the simultaneous regional elections in 2018 and presidential elections in 2019, by looking at the differences in the preceding and following periods based on 2 variables, namely abnormal return and trading volume activity. The sample in this study were 30 companies listed in the Indonesian Stock Exchange during 30 periods from February through July 2018. Research Methode This study used an event study. One paired samples T test was used as a technique analysis. The means of each variable within eleven days period was compared. The period of observation is five days before the event, five days after the event, and one day on event day. Based on the results of the parametric statistical calculations, the paired sample t-test showed that there was no difference between the level of abnormal returns before and after the 2018 simultaneous regional elections. On the other hand, there was a difference between trading volume of activity before and after the 2018 simultaneous regional elections.

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Indonesian Capital Market Reaction To The Announcement Of A Recession Due To The Pandemic Covid-19

Academia Open ◽

10.21070/acopen.5.2021.2136 ◽

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.

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PEMILU SERENTAK DALAM KAITANNYA TERHADAP REAKSI PASAR MODAL DI INDONESIA

Jurnal Akuntansi dan Keuangan ◽

10.23960/jak.v25i1.240 ◽

2020 ◽

Vol 25 (1) ◽

pp. 54-64

Author(s):

Niken Kusumawardani

Keyword(s):

Capital Market ◽

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Volume Activity ◽

Political Event ◽

The Public ◽

Significant Difference ◽

Before And After ◽

Index Stock

This study aims to determine the effect of simultaneous elections in Indonesia, namely legislative and executive elections that occur simultaneously together with the reaction in the capital market. Market reaction is measured using trading volume activity and returns stock that occur within the timeframe before and after the holding of simultaneous elections, namely on the date before and after April 17, 2019. The population in this study is the issuer that actively trades its shares on the Indonesia Stock Exchange (IDX) in Compass100 Index stock category. The research hypothesis was tested with an independent sample t-test using software SPPS26. Hypothesis testing results indicate a significant difference in trading volume activity that occurs before and after simultaneous elections. While the variable abnormal return there is no significant difference before and after the election simultaneously. This research is expected to be a reference for all parties concerned including the public towards a political event that occurs in this case specifically the simultaneous elections for decision making related to investment activities in stock instruments

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Analisis Buyback Saham Tanpa Rapat Umum Pemegang Saham di PT. Aneka Tambang (Studi Pada Surat Edaran Nomor 3/SEOJK.04/2020)

AKUNTABILITAS Jurnal Ilmiah Ilmu-Ilmu Ekonomi ◽

10.35457/akuntabilitas.v14i1.1429 ◽

2021 ◽

Vol 14 (1) ◽

pp. 9-21

Author(s):

M. Boy Singgih Gitayuda

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Secondary Data ◽

Data Types ◽

Volume Activity ◽

Stock Trading ◽

Significant Difference ◽

Before And After ◽

Stock Buyback ◽

Descriptive Approach

In early 2020, stock trading in Indonesia was under significant pressure, as indicated by the decline in the IHSG. This is due to the pressure and global economic slowdown due to the Covid-19 pandemic and weakening world oil prices. The purpose of this study was to find out how the effect of share buyback announcements without the RUPS on the response to the market at PT. Aneka Tambang Tbk. based on Surat Edaran OJK Nomor 3/SEOJK.04/2020. This research is structured with a quantitative method with a descriptive approach using secondary data types obtained from finance.yahoo.com and other relevant sources. This study will assess whether a significant difference is found before the announcement of the stock buyback and afterwards on the return, abnormal return, and trading volume activity of the stock. The results of the study stated that there was no significant difference before and after the announcement of the stock buyback on the return and abnormal return at PT. Aneka Tambang Tbk. However, a significant difference was found in the trading volume activity (TVA) before the announcement of the share buyback at PT. Aneka Tambang Tbk. and after.

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ANALISIS LIKUIDITAS SAHAM SEBELUM, SAAT DAN SESUDAH PENGUMUMAN STOCH SPLIT

El-HARAKAH (TERAKREDITASI) ◽

10.18860/el.v8i1.4619 ◽

2008 ◽

Vol 8 (1) ◽

pp. 129

Author(s):

Agus Sucipto

Keyword(s):

Stock Price ◽

Trading Volume ◽

Market Reaction ◽

Volume Activity ◽

Stock Trading ◽

Stock Liquidity ◽

Bid Ask Spread ◽

Significant Difference ◽

Stock Split ◽

Before And After

Stock split announcement is one of information type published by emitent that is used to know market reaction. When stock split announcement contains information, the market reacts that is shown by the changing of stock price. This study is intended to describe the effect of stock split announcement to market reaction using event study. This approach is used to identify the reaction of the market which is an activity of trading volume and bid-ask spread of stock used to know stock liquidity. The findings show that there is no significant difference between stock trading volume activity before, during and after stock split announcement. Whereas, the period of before and after the announcement, there is a significant difference of stock trading volume activity. The finding of bid-ask spread stock shows that there is a significant difference in the period of before and after stock split announcement. But there is no significant difference in the period of before and after stock split announcement. Pengumuman pemecahan saham adalah salah satu jenis informasi yang diterbitkan oleh emiten yang digunakan untuk mengetahui reaksi pasar. Bila pengumuman pemecahan saham berisi informasi, pasar bereaksi yang ditunjukkan oleh perubahan harga saham. Penelitian ini bertujuan untuk mendeskripsikan efek pengumuman pemecahan saham terhadap reaksi pasar dengan menggunakan kajian peristiwa. Pendekatan ini digunakan untuk mengidentifikasi reaksi pasar yang merupakan aktivitas volume perdagangan dan pemecahan saham yang digunakan untuk mengetahui likuiditas saham. Temuan menunjukkan bahwa tidak ada perbedaan yang signifikan antara aktivitas volume perdagangan saham sebelum, selama dan setelah pengumuman pemecahan saham. Padahal, periode sebelum dan sesudah pengumuman, ada perbedaan yang signifikan dari aktivitas volume perdagangan saham. Temuan menunjukkan bahwa ada perbedaan yang signifikan pada periode sebelum dan sesudah pengumuman pemecahan saham. Namun tidak ada perbedaan yang signifikan pada periode sebelum dan sesudah pengumuman pemecahan saham.

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