ANALISIS DAMPAK DEVALUASI MATA UANG YUAN CHINA TERHADAP HARGA SAHAM PERUSAHAAN PERBANKAN YANG LISTING DI BURSA EFEK INDONESIA

Devaluation Yuan affect the global economy, this can be seen with the decline in currency exchange rates and falling stock prices in many countries. Based on this background, the authors do research event study. The selected time period is 11 days of exchange as the event period separated to 5 days before the event day (11 August 2015 as event day) and 5 days after the event day. The results showed that (1) by calculating the average abnormal return (AAR) is known to have a positive abnormal return during the event period; (2) different test results with paired sample test there is no significant difference of average abnormal return between before and after devaluation of Chinese Yuan currency; And (3) with different test using paired sample test there is no significant difference of average trading volume activity between before and after devaluation of Yuan Chinese currency.

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PENGUJIAN REAKSI INVESTOR TERHADAP PENGUMUMAN KABINET INDONESIA MAJU

Jurnal Bina Akuntansi ◽

10.52859/jba.v7i1.72 ◽

2020 ◽

Vol 7 (1) ◽

pp. 21-40

Author(s):

Rexza Bramesta

Keyword(s):

Stock Prices ◽

Abnormal Return ◽

Trading Volume ◽

Market Reaction ◽

T Test ◽

Volume Activity ◽

Political Event ◽

Paired Sample ◽

Significant Difference ◽

Before And After

Capital markets are relevantly influenced by political event. This research aimed to analyze the market reaction on the announcement of cabinet of Indonesia Maju on October, 23 2019. Market reaction is measured by abnormal return and trading volume activity. This study used 44 companies from LQ45 group’s stock prices as population and used event study method to identify market reaction. The window event is 11 day long (t-5 – t+5). The statistical test used to test the hypotheses is simple t-test and paired sample test. The result of the statistical calculation of simple t-test showed there are no significant abnormal return around the date of the event. It means that investors do not respond to the event of newly cabinet announcement. The result of paired sample t-test showed there are no significant difference between the average abnormal return and trading volume activity obtained by sample companies listed in LQ45 index before and after the announcement of cabinet of Indonesia Maju.

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Analisis Harga Saham dan Rata-Rata Abnormal Return Sebelum dan Sesudah Ex-Dividend Date (Studi pada Emiten Indeks Kompas-100)

TRIKONOMIKA ◽

10.23969/trikonomika.v13i1.488 ◽

2014 ◽

Vol 13 (1) ◽

pp. 101

Author(s):

Alvin Mulya Hidayati

Keyword(s):

Stock Prices ◽

Abnormal Return ◽

Expected Return ◽

Paired Sample ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After ◽

Dividend Distribution ◽

The Difference ◽

Adjusted Model

The research is aimed at finding out the stock prices before and after the disclosure of dividend distribution and the difference in abnormal return before and after the disclosure of dividend distribution. The research object is companies consistent in the Index Kompas-100 from February 2009 to January 2014. The type of this research is comparative descriptive. The sample used is 54 issuers obtained by conducting purposive sampling. The research periods are 31 days consisting of 15 days before the disclosure of dividend distribution, 1 day at the disclosure of dividend distribution, and 15 days after the disclosure of dividend distribution. This research uses market adjusted model to obtain the value of expected return. While paired sample t-test is used in hypothesis testing. The result of this research shows that there is no significant difference in stock prices as well as in average abnormal return between 15 days before the disclosure of dividend distribution and 15 days after the disclosure of dividend distribution.

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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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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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REAKSI PASAR ATAS PANDEMI VIRUS CORONA PADA PERUSAHAAN LQ45 DI BURSA EFEK INDONESIA

Jurnal Bisnis Terapan ◽

10.24123/jbt.v5i1.4029 ◽

2021 ◽

Vol 5 (1) ◽

pp. 125-138

Author(s):

Nabiell Ghibran ◽

Lukman Effendy ◽

Indria Puspitasari Lenap

Keyword(s):

Event Study ◽

Abnormal Return ◽

Trading Volume ◽

T Test ◽

Volume Activity ◽

Paired Sample ◽

A Value ◽

Corona Virus ◽

Significant Difference ◽

Before And After

Abstract The study was intended to analyze the reactions of Indonesia's capital markets on events Indonesia tested positive for the corona virus pandemic. The study adopted an 11-day period of event study analysis. The population in this study is the entire company listed on the LQ45 index at the Indonesian stock exchange in February - June 2020. Sampling taken in this study uses an impressive sampling technique. Samples obtained by criteria on this research account number 42 companies. Variables used in this study are abnormal return and trading volume of activity. The study used paired sample t-test analysis methods. The research indicates that there was no significant difference between average abnormal return before and after the Indonesia announcement was positive the corona virus pandemic. This is indicated by the results of the significant paired sample t-test that have a value of 0.924 > 0.05. Additionally, this study indicates that there was no significant difference in average trading volume activity before and after the events of the Indonesian announcement was positive that the corona virus pandemic. This is indicated by the results of the significant paired sample t-test that have a value of 0.936 > 0.05. Keywords : Event Study, Corona Virus Pandemic, Abnormal Return, Trading Volume Activity

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REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA BENCANA ALAM TSUNAMI DI ACEH TANGGAL 26 DESEMBER 2004

Majalah Ilmiah DIAN ILMU ◽

10.37849/midi.v13i2.38 ◽

2018 ◽

Vol 13 (2) ◽

Author(s):

Nungky Viana Feranita

Keyword(s):

Natural Disaster ◽

Capital Market ◽

Stock Prices ◽

Abnormal Return ◽

Trading Volume ◽

Economic Environment ◽

Volume Activity ◽

Average Abnormal Return ◽

Before And After ◽

Disaster Event

As one of an instrument of economy, capital market can not be separated from influence that amend in its environment, either occur in macro economic, micro economic or non-economic environment. This research is one of the event study which examined in how the reaction of Indonesian capital market toward event that occur in an non-economic environment which is tsunami natural disaster in Aceh, December 26th, 2004.The purpose of this research is to examine stock prices reaction and trading volume activities in Jakarta Stock Exchange (JSX) toward tsunami natural disaster event in Aceh, also to examine whether there are any differences in average abnormal return and average trading volume activity before and after tsunami natural disaster event in Aceh. The samples are generated from stocks that have the biggest market capitalization in JSX which are often listed in LQ45 in period August, 2003 until January, 2008.The result of test using SPSS with 95% confidence level shows that JSX was not responded toward tsunami natural disaster event in Aceh. This is shown by no abnormal return during event period, no difference of average abnormal return before and after event, and no difference of average trading volume activity before and after tsunami natural disaster event in Aceh.

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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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Efek Hari Libur Lebaran Pada Emiten Yang Terdaftar Dalam ISSI Periode 2011-2013

Jurnal Ekonomi Syariah Teori dan Terapan ◽

10.20473/vol2iss20155pp372-386 ◽

2015 ◽

Vol 2 (5) ◽

pp. 372

Author(s):

Venny Julia Utomo ◽

Leo Herlambang

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Volume Activity ◽

Stock Trading ◽

Market Reactions ◽

Average Abnormal Return ◽

Before And After ◽

Sample Test ◽

Abnormal Trading Volume ◽

The Difference

This research aims to analyze the market reactions of Eid Mubarak Holiday which is indicated by the presence of average abnormal return and average abnormal trading volume activity on issuers in ISSI list within 2011-2013 period, and especially for the issuers which engaged in the field of food and drinking product industries, also retail industries as well.The method used in this research is event study which will analyze the alteration of price movements and volume of stock trading before and after Eid Mubarak Holiday. The hypothesis of this research is the presence of trading reaction that indicated by average normal return and the difference of average abnormal trading volume activity before and after Eid Mubarak Holiday. This research testing uses one sample-test to seek if there are any average normal returns around Eid Mubarak Holiday, while paired sample-test is used to test the difference of average normal trading volume activity before and after Eid Mubarak Holiday. The writer did the research within 41 days, divided into two periods. 30 days before Eid Mubarak Holiday and 10 days after Eid Mubarak Holiday. The amount of sample in this research is 31 issuers which have met the sampling criteria using purposive sampling.The result of the first hypothesis indicates that there is insignificant average abnormal return, while the second hypothesis indicates the difference of significant average abnormal trading volume activity.

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REAKSI PASAR MODAL TERHADAP PENGUMUMAN PAKET KEBIJAKAN EKONOMI XVI (Studi Empiris Pada Saham Perusahaan Yang Masuk Dalam Indeks LQ 45)

JURNAL AKUNTANSI DAN KEUANGAN DAERAH ◽

10.52062/jakd.v14i2.1458 ◽

2020 ◽

Vol 14 (2) ◽

Author(s):

Tirsa Rante ◽

Syaikhul Falah ◽

Bill J.C Pangayow

Keyword(s):

Economic Policy ◽

Stock Prices ◽

Trading Volume ◽

Stock Exchange ◽

Abnormal Returns ◽

Study Data ◽

Volume Activity ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After

This study aims to analyze whether there are significant differences in abnormal returns before and after the announcement of economic policy XVI and trading volume activity before and after the announcement of XVI economic policy on November 16, 2018. This study uses event study, where observations of the average abnormal return are carried out. and the average trading volume activityduring the 11 day observation period. In this study data was obtained from the Indonesia Stock Exchange. The data used in this study include daily closing stock prices (closing price), daily stock trading volume, and the number of shares outstanding. The sample used amounted to 45 LQ45 index companies. The results of this study indicate (1) there is no significant difference in abnormal returns before and after the announcement of economic policy XVI (2) on the trading volume activity indicator there are significant differences before and after the announcement of XVI economic policy.

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INDONESIAN CAPITAL MARKET REACTION TO COVID-19 AS A GLOBAL PANDEMIC

SAR (Soedirman Accounting Review) Journal of Accounting and Business ◽

10.20884/1.sar.2020.5.2.3507 ◽

2020 ◽

Vol 5 (2) ◽

pp. 120

Author(s):

Novi Syaifatun Kamala ◽

Muhammad Andryzal Fajar

Keyword(s):

Capital Market ◽

Abnormal Return ◽

Trading Volume ◽

World Health ◽

Rank Test ◽

Bid Ask Spread ◽

Global Pandemic ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After

This study aims to obtain empirical evidence of the absence of an average abnormal return, average volume trading activity, and bid-ask spread of stocks in the period around the event of the COVID-19 announcement as a global pandemic. The statement of the COVID-19 as the global pandemic of the World Health Organization (WHO) made the Indonesian capital market touch the lowest point at the level of 4,929.56. This study used the event study with the windows period for 11 days, which was five days before the announcement, the day of the announcement, and five days after the announcement. This type of research was a quantitative research using secondary data of the stock daily data obtained from the official website of the Indonesia Stock Exchange at www.idx.co.id and also some other sites that support such as Yahoo Finance. Sampling techniques used were purposive sampling and as many as 44 companies that meet data completeness criteria. The data analysis technique used was a non-parametric t-test using the Wilcoxon Signed-Rank test. The results of this study show that there is a difference in Average Abnormal Return in the period t-5 & t+5, t-4 & t+4, t-2 & t+2, and t-1 & t+1. The Average Trading Volume Activity indicates there is no significant difference in all periods of observation between before and after the announcement. Meanwhile, the Bid-Ask Spread shows a significant difference before and after the announcement in all periods for 11 days of observation.

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