scholarly journals The Capital Market Response to The Announcement of The 2019-2024 Indonesia Onward Cabinet System

2021 ◽  
Vol 19 (2) ◽  
Author(s):  
Clara Trimawarningsih Saravia Jegarut ◽  
Caecilia Wahyu Estining Rahayu ◽  
Ima Kristina Yulita
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Signaling Theory ◽  
T Test ◽  
Market Response ◽  
Positive Signal ◽  
Estimation Model ◽  
Expected Return ◽  
Study Research ◽  
Window Period

This research aims to examine capital market response to the 2019-2024 Indonesia Onward Cabinet System announced by President Jokowi. This event study research used market estimation model to estimate the expected return with an estimated period of 100 days and window period of seven days. There were 90 companies that are the member of Kompas Index 100 as the sample used in this research. T-test was used to analyze the data. The result shows that the announcement System of Indonesia Onward Cabinet 2019-2024 was responded positively and significantly by capital market. The result supports signaling theory in which the announcement of the 2019-2024 Indonesia Onward Cabinet System gave positive signal (influence) on capital market.

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

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.

scholarly journals ACCURACY LEVEL OF CAPM AND APT MODELS IN DETERMINING THE EXPECTED RETURN OF STOCK LISTED ON LQ45 INDEX

2020 ◽  
Vol 18 (4) ◽  
pp. 797-807
Author(s):  
Irni Yunita ◽  
◽  
Tieka Tri Kartika Gustyana ◽  
Dwi Kurniawan ◽  
◽  
...  
Keyword(s):  
Capital Market ◽  
Comparative Research ◽  
Sampling Method ◽  
Accurate Result ◽  
T Test ◽  
Expected Return ◽  
Significant Difference ◽  
Accuracy Level ◽  
Capm Model ◽  
Macro Variables

This study determines the accuracy level of CAPM and APT in determining the expected return of LQ45 and comparing the expected return from CAPM and APT models. This study uses descriptive and comparative research approaches. The population is all stocks listed in the LQ45 index while the sampling method used is purposive sampling with stock criteria that have complete data for the period November 2015 - November 2019. This study uses an independent sample t-test in testing the expected return differences between the CAPM and APT models. The result showed that the CAPM Model was more accurate in determining the expected return of LQ45 stocks compared to the CAPM method. The result also showed that there was a significant difference in expected return between CAPM and APT models. Based on this result, investors can use the CAPM model in predicting the returns of the stock listed on the LQ45. For further research, can use another index in the capital market as a research object, used a longer period to get a more accurate result, and add some more macro variables.

scholarly journals Dampak Devaluasi Yuan Pada 11 Agustus 2015 Terhadap Abnormal Return Dan Abnormal Trading Volume Activity Saham Yang Tercatat Di Jakarta Islamic Index JII)

2017 ◽  
Vol 3 (2) ◽  
pp. 127
Author(s):  
Windiya Saputri ◽  
Leo Herlambang
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Abnormal Return ◽  
Trading Volume ◽  
T Test ◽  
Volume Activity ◽  
Paired Sample ◽  
Study Results ◽  
Event Study Method ◽  
Abnormal Trading Volume

Government-related announcement is one of the determinants that potentially affect capital market. This research aims to see the reaction of stock market to Yuan Devaluation on August, 11 2015. The market reaction in this study is indicated by the presence of abnormal retun and abnormal trading volume activty. The approach taken in this research is the quantitative approach with event study method by using one sample t-test and paired sample t-test analysist. The variables in this research are Yuan Devaluation, AAR, and AATVA. The issuers observed in this research are stock listed on JII during the period of study. Results showed that stock listed on JII reacted to Yuan Devaluation, that is showed by significant results both in the AAR and AATVA, which means Yuan Devaluation bears valuable information for investor.

scholarly journals Reaksi Pasar Modal Indonesia terhadap Kemenangan Presiden Republik Indonesia dalam Pilpres 2019

Eksos ◽  
2020 ◽  
Vol 16 (1) ◽  
pp. 84-94
Author(s):  
Yani Riyani ◽  
Kartawati Mardiah ◽  
Susan Andriana
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
T Test ◽  
Expected Return ◽  
Event Window ◽  
Paired Sample ◽  
Purposive Sampling ◽  
Actual Return

Penelitian ini bertujuan untuk mengetahui apakah peristiwa pengumuman kemenangan Presiden Republik Indonesia dalam PILPRES 2019 menimbulkan reaksi pada pasar modal Indonesia dan apakah terdapat perbedaan reaksi pasar sebelum dan sesudah pengumuman serta antara saham Syariah dengan yang non Syariah dalam PILPRES 2019. Penelitian ini merupakan event study dengan dengan prosedur penelitian yaitu menentukan event window, menentukan populasi dan sampel, mengumpulkan data harga dan nilai kapitalisasi pasar, menghitung actual return, menghitung expected return, menghitung abnormal return dari setiap saham dengan mengurangi actual return dengan expected return dari masing-masing saham, menghitung rata-rata abnormal return dan menghitung standard errornya, melakukan analisis deskriptif, melakukan uji hipotesis dengan menggunakan analisis one sample t test, paired sample t-test atau wilcoxon serta melakukan interpretasi terhadap hasil pengujian. Populasi dalam penelitian adalah seluruh emiten yang tergabung dalam Sub Sektor Bank yang berjumlah 45 perusahaan. Dengan menggunakan purposive sampling maka yang menjadi sampel sebanyak 34 perusahaan. Penelitian ini menemukan bahwa pertama, pasar modal Indonesia tidak bereaksi pada saat peristiwa pengumuman kemenangan Presiden Republik Indonesia dalam PILPRES 2019. Kedua, tidak terdapat perbedaan reaksi pasar akibat peristiwa pengumuman kemenangan Presiden RI dalam PILPRES 2019 sebelum dan sesudah tanggal pengumuman pemenang. Dan tidak terdapat perbedaan reaksi pasar akibat peristiwa pengumuman kemenangan Presiden RI dalam PILPRES 2019 untuk saham perusahaan Syariah dengan saham perusahaan yang non Syariah.

scholarly journals REAKSI PASAR ATAS STOCK SPLIT PADA PASAR MODAL SYARIAH INDONESIA DAN MALAYSIA PERIODE 2015-2019

2020 ◽  
Vol 7 (4) ◽  
pp. 734
Author(s):  
Fadlilah Fadlilah ◽  
Bayu Arie Fianto
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Abnormal Return ◽  
Market Reaction ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
T Test ◽  
Market Reactions ◽  
Stock Split ◽  
Observation Period

This study aims to determine the market reaction to the stock split in the market. This research uses a quantitative approach using the event study method to analyze market reactions to an event. The analysis technique uses the One Sample t-Test to see market reactions and the Independent Sample t-Test to determine whether there is a difference between the Indonesian and Malaysian Islamic capital markets with a 21-day observation period consisting of 10 days before the stock split announcement (t -10), day of stock stock announcement (t0 or t = 0), and 10 days after stock split announcement (t + 10). The results of this study, based on statistical tests with α = 5%, found a significant abnormal return around the stock split announcement on the Indonesian Islamic capital market. AAR significant as much as 4 days and CAAR significant as much as 18 days during the observation period. In the Malaysian Islamic capital market, abnormal returns were also found to be significant around the stock split announcement. AAR is significant for 3 days during the observation period, 1 day before the announcement of the stock split, during the announcement of the stock split, and 1 day after the announcement of the stock split. A significant CAAR of 19 days during the observation period. In the independent sample t-test, AAR Indonesia and Malaysia obtained sig. (2-tailed) of 0.658. In the CAAR test, Indonesia and Malaysia obtained sig. (2-tailed) of 0.563. So there is no difference between the Indonesian and Malaysian sharia capital market reactions.Keywords: Market Reaction, Stock Split, Abnormal Return, Event Study

scholarly journals Apakah Stock Split Memberikan Keuntungan Tidak Normal?

2020 ◽  
Vol 12 (1) ◽  
pp. 9-17
Author(s):  
Mohammad Arridho Nur Amin
Keyword(s):  
Event Study ◽  
T Test ◽  
Expected Return ◽  
Paired Sample ◽  
Signalling Theory ◽  
Stock Split ◽  
Data Volume ◽  
Adjusted Model

Stock Split adalah salah satu aksi korporasi yang dilakukan oleh perusahaan untuk dapat menjangkau investor yang lebih banyak dengan cara memecah saham yang nilainya dinilai sudah terlalu tinggi menjadi nominal yang lebih kecil, penelitian ini dilakukan untuk melihat dan menganalisis apakah terdapat keuntungan tidak normal sebelum dan sesudah stock split dan aktivitas volume perdagangan saham sebelum dan sesudah perusahaan melakukan stock split sesuai dengan signalling theory yang digunakan. Sampel yang digunakan adalah perusahaan yang melakukan stock split yang terdaftar di Bursa Efek Indonesia tahun 2015-2019. Penelitian ini menggunakan event study, dengan periode pengamatan 5 hari sebelum dan 5 hari setelah peristiwa stock split. Penelitian ini menggunakan data sekunder berupa data harga saham perusahaan harian, data volume perdagangan perusahaan harian, serta data saham beredar dari perusahaan-perusahaan sampel yang terdaftar di Bursa Efek Indonesia. Pengambilan sampel menggunakan metode pusposive sampling, sehingga sampel dalam penelitian ini berjumlah 28 perusahaan. Penghitungan expected return dalam penelitian ini menggunakan metode Market Adjusted Model. Pengujian terhadap hipotesis menggunakan uji beda paired sample t-test. Temuan empiris pada penelitian ini menunjukkan bahwa perbedaan dari keuntungan tidak normal dari stock split tidak ada perbedaan signifikan, hasil yang sama didapatkan pada aktivitas volume perdagangan saham yang menunjukkan hasil tidak ada perbedaan atas stock split yang dilakukan perusahaan

scholarly journals ANALISIS INDIKASI FREE-RIDING PADA REAKSI PASAR SUATU SAHAM DALAM HUBUNGANNYA DENGAN PENGUMUMAN LAPORAN KEUANGAN PERUSAHAAN LAIN (EVENT STUDY PADA INDEKS LQ45)

IQTISHODUNA ◽  
2016 ◽  
Vol 1 (1) ◽  
pp. 45-52
Author(s):  
Trisetia Wijijayanti ◽  
Ruly Wiliandri
Keyword(s):  
Data Analysis ◽  
Event Study ◽  
Capital Market ◽  
Sampling Method ◽  
Market Reaction ◽  
Free Riding ◽  
Research Data ◽  
T Test ◽  
Financial Data ◽  
Financial Report

This research was purposed to examine whether there was free-riding on market reaction of a sharein correlation with the announcement of other companies’ financial report. The sample of this research wereindex LQ45 emiten who announced audited financial report in 2011 period of February–July 2012. By applyingpurposive sampling method, it was obtained 30 companies to be the objects of this research. Data used in thisresearch were LQ45 emiten who announced financial report period February–July 2012, financial data weretaken from Indonesian Capital Market Directory, and other supporting data resources. The analytical toolused in this research was t test. From the result of data analysis and discussion, it could be concluded thatthere was free-riding indication on market reaction of a share in correlation with the announcement of othercompanies’ financial report (event study on Index LQ45). It could be proven by number of t calculation (-1,599) t table (-1,316).

scholarly journals Event Study Return Saham Sebelum Dan Sesudah Ex �Dividend Date

INOVATOR ◽  
2019 ◽  
Vol 8 (1) ◽  
pp. 38
Author(s):  
Renea Shinta Aminda ◽  
Fitria Fissamawaty
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
T Test ◽  
Expected Return ◽  
Event Date

<p>Penelitian ini bertujuan untuk menganalisis pengaruh pengumuman <em>ex-dividend date</em> PT Alam sentosa Reality Tbk, dengan mengambil sampel saham ASRI. Periode Penelitian selama 131 hari yang dibagi menjadi dua periode yaitu periode estimasi selama 100 hari dan periode peristiwa selama 30 hari termasuk 15 hari sebelum dan sesudah<em> event</em>. Metode yang digunakan dalam Penelitian ini adalah event study yang akan mengamati perubahan harga saham PT Alam Sentosa Reality sebelum dan sesudah <em>exdevident date</em>. Untuk menguji adanya reaksi harga dilakukan tes abnormal return selama periode peristiwa dengan analisis perhitungan berdasarkan konsep model-model <em>expected return,</em> <em>abnormal return</em> dan uji statiskal T test dengan melakukan pengujian <em>abnormal return </em>terhadap dividen pada saat <em>ex-dividend date</em>. Hasil Penelitian menunjukkan bahwa pada tingkat signifikansi 5% ada 26 hari kerja yang masih menghasilkan <em>abnormal return</em> yang signifikan, yaitu hari ke 2 sebelum event date sebesar - 0,00700 atau sekitar 0,7% , kemudian pada hakri ke1 sebelum event date masih menghasilkan abnormal return negatif� - 0.01600 atau sekitar 0,16% dan pada hari ke 3 setelah <em>event date</em> sebesar - 0,01500 atau sekitar 0,15%.. Dari hasil Penelitian disimpulkan bahwa harga saham bereaksi negatif terhadap informasi pengumuman dividen� pada saat <em>ex-dividen date</em><em>.</em></p>

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)

The Determinants of Merger Withdrawals’ Abnormal Returns in The Australian Market

2015 ◽  
pp. 89-110 ◽  
Author(s):  
Thuy Nguyen Thu ◽  
Giang Dao Thi Thu ◽  
Hoang Truong Huy
Keyword(s):  
Financial Crisis ◽  
Event Study ◽  
Abnormal Returns ◽  
Market Response ◽  
Crisis Period ◽  
Valuation Effects ◽  
Event Study Method ◽  
Private And Public ◽  
Method Of Payment ◽  
The Impact

This paper examines the abnormal returns in merger withdrawals in Australia, especially distinguishing the market response between private and public targets. We also study the determinants of those abnormal returns, including the method of payment and the impact of financial crisis periods. Using the event study method, we document that in the Australian context, the announced withdrawal of mergers involving private targets creates significantly negative valuation effects in comparison with the valuation effects in withdrawal of mergers involving public targets. We also find that a financial crisis period strongly affects abnormal returns of merger withdrawals. However, the method of payment does not have any impact on the abnormal returns.

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