PERBEDAAN ABNORMAL RETURN DAN VOLUME PERDAGANGAN SAHAM SEBELUM DAN SESUDAH PENGUMUMAN SUSTAINABILITY REPORTING AWARD (SRA) TAHUN 2017

SIMAK ◽  
2018 ◽  
Vol 16 (01) ◽  
pp. 62-78
Author(s):  
Alpius Ada ◽  
Robert Jao ◽  
Beauty Beauty
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Secondary Data ◽  
Sustainability Reporting ◽  
Before And After ◽  
Wilcoxon Sign Rank ◽  
Adjusted Model ◽  
Observation Period

This study aims to prove empirically the differences of abnormal return and tradingvolume that occurred before and after the announcement of Sustainability ReportingAward (SRA) in 2016. The number of samples used in this study were 9 companiesconsisting of listed companies in Indonesia Stock Exchange which won the SRA 2016award by using sustainability reporting as indicators based on GRI G-4. The data usedare secondary data in the form of daily closing stock price, composite stock price index(IHSG), and daily stock trading volume obtained from www.idx.co.id andwww.finance.yahoo.com with 11 days observation period. Calculation of abnormalreturn using market-adjusted model while for trading volume of stock using tradingvolume activity (TVA). Hypothesis testing is done by using Wilcoxon Sign Rank test.The results showed that there was no difference in abnormal return and stock tradingvolume before and after thevannouncement of Sustaianability Reporting Award (SRA)in 2016.

Abnormal Return, Volume Activity Trading, and Their Signification of Indonesia Stock Exchange Index Share Prices Before and After the Ex-Dividend Date

2019 ◽  
Vol 2 (2) ◽  
pp. 61-69
Author(s):  
Andini Nurwulandari
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Critical Role ◽  
Secondary Data ◽  
Business Community ◽  
Stock Index ◽  
Primary Data ◽  
Before And After

The stock market plays a critical role as a means of finance for the business community as an agency that promotes the execution of national growth. On the other hand, a capital market is also a place of investment for the community, including medium and small investors. This research uses a qualitative research type. Stock values, irregular returns, and trading volume behavior in members of the Indonesia Stock Exchange Index are the focus of this study. Primary data from the IDX was used as the database. Secondary data are used in this analysis. Closing values, the Indonesia Stock Exchange stock index, daily stock trading volume, and the number of outstanding shares were among the data sources used in this analysis. A paired sample t-test was used to test hypotheses. The results indicate a significant increase in overall stock price and market volume before and after the ex-dividend period, but no difference in the average abnormal return.

scholarly journals PERBANDINGAN ABNORMAL RETURN DAN VOLUME PERDAGANGAN SAHAM PADA PERUSAHAAN YANG MENGIKUTI INDONESIAN SUSTAINABILITY REPORTING AWARD (ISRA)

2020 ◽  
Vol 1 (1) ◽  
pp. 106-116
Author(s):  
Putri Rahmatul Umi ◽  
Yeasy Damayanti ◽  
Wahidi
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Secondary Data ◽  
Sustainability Reporting ◽  
Research Data ◽  
Before And After ◽  
The Impact ◽  
Observation Period ◽  
Research Studies

This research studies the impact of Indonesian Sustainability Reporting Award (ISRA) 2011- 2015 announcement to abnormal return and trading value activity. The impact of award publication is whether there are some differences between abnormal return and trading value activity before and after ISRA announcement. The research samples are 42 companies accepted the appreciation of ISRA 2011-2015 period. The research data used is secondary data consists of daily stock closing prices and daily trading volume with the observation period seven days before and seven days after the announcement. The model used for the measurement of abnormal return is market-adjusted models. The hypothesis tested by Wilcoxon Signed Ranks Test. The results of this research proved that there is a difference of abnormal return before and after the announcement of ISRA 2011-2015. While the trading value activity there was no difference before and after the announcement of ISRA 2011-2015

scholarly journals 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 ◽  
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.

scholarly journals ABNORMAL RETURN DAN LIKUIDITAS SAHAM ATAS PENGUMUMAN AKUISISI

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.

scholarly journals ANALISIS PERBEDAAAN AVERAGE ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SEBELUM DAN SESUDAH PERISTIWA DIVIDEN TUNAI PADA PERUSAHAAN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX (JII) PERIODE 2014 – 2017

2020 ◽  
Vol 6 (12) ◽  
pp. 2512
Author(s):  
Azyyati Yusrina ◽  
Puji Sucia Sukmaningrum
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Rank Test ◽  
Volume Activity ◽  
Wilcoxon Sign Rank Test ◽  
Average Abnormal Return ◽  
Before And After ◽  
Wilcoxon Sign Rank ◽  
Sign Rank Test ◽  
Observation Period

This study aims to find out and explain the market reaction caused by the corporate action announcement in the form of dividend cash made by issuers registered in the Jakarta Islamic Index for the period of 2014 to 2017. The object of research is issuers who carry out activities on the announcement of Cash Devidend in the period of observation that are registered in the Jakarta Islamist Index which has been determined based on certain criteria (purposive sampling). There are 17 issuers with a total of 91 being the research sample. The observation period consists of 60 days estimated period, 10 days before the cume date and 10 days after the cume date. The focus of the research is to see the reaction shown by changes in Average Abnormal Return and Trading Volume Activity by using paired sample t-test for trading volume activity variables and Wilcoxon sign-rank test for abnormal return variables. Processing data using Stata ver statistical tools 14 by setting a significant level of 5%. The results showed that there were significant differences in Average Abnormal Return before and after the announcement and there were no differences in the Trading Volume Activity before and after the announcement.Keywords: event study, cash deviden, Average Abnormal Return, Trading Volume Activity

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

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.

scholarly journals Pengaruh Employee Stock Ownership Program Terhadap Average Abnormal Return Perusahaan Perbankan

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.

scholarly journals REAKSI PASAR MODAL DARI DAMPAK PERISTIWA HARI BESAR AGAMA ISLAM TERHADAP ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SAHAM PERUSAHAAN INDEKS JII YANG TERDAFTAR DI BURSA EFEK INDONESIA

2020 ◽  
Vol 15 (1) ◽  
pp. 59-69
Author(s):  
Septiana Endang Subekti ◽  
Ika Yustina Rahmawati
Keyword(s):  
Stock Returns ◽  
Abnormal Return ◽  
Trading Volume ◽  
Secondary Data ◽  
Volume Activity ◽  
Significant Difference ◽  
Before And After ◽  
Abnormal Stock Returns ◽  
The Impact ◽  
Observation Period

   The purpose of this study is to analyze the capital market reaction from the impact of religious holidays which will be indicated by the presence or absence of abnormal return and trading volume activity. The sample used is the Jakarta Islamic Index (JII). This type of research is event study so that the observation period is used to see reactions before and after the event occurs. The events used in this study were the Birthday of the Prophet Muhammad, Isra Mi'raj, Eid al-Fitr, Eid al-Adha and Islamic New Year. The observation period used is from 2014 to 2017. The research period used was 7 days before the event and 7 days after the event. Data sources are obtained from Yahoo Finance, Sahamok.com and IDX. The data used in this study are secondary data, such as stock closing prices, IHSG closing prices and stock trading volume. The analytical tool used to test the hypothesis in this study is a paired t-test. The results showed that Eid al-Adha holidays had a significant difference to the abnormal return and trading volume activity before and after holidays. There were no significant differences in the abnormal return and trading volume activity before and after the Miraj Isra holiday. While the birthday of the Prophet Muhammad SAW, Eid holidays and Islamic New Year holidays there is no significant difference between abnormal stock returns and there are differences in trading volume activity before and after holidays.

scholarly journals Perbedaan Reaksi Pasar pada Perusahaan Pemenang Indonesia Sustainability Reporting Award (Isra) ( Studi Kasus pada Perusahaan Pemenang ISRA periode 2009-2011)

Telaah Bisnis ◽  
2016 ◽  
Vol 15 (1) ◽  
Author(s):  
Randika Bagus Linuwih ◽  
Yeterina Widi Nugrahanti
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Exchange ◽  
Sustainability Reporting ◽  
Sign Test ◽  
Volume Activity ◽  
Market Models ◽  
Before And After ◽  
Research Show

ABSTRACTThe purpose of this study is to examine the change ofmarket reaction arround the date of Indonesia Sustainability Reporting Award (ISRA announcement. The market reaction is measured byabnormal return dan trading volume activity.The sample of the study consist of 25 companies listed on the Indonesian Stock Exchange which accept the appreciation of ISRA in 2009-2011. Data that used in this study consist of share’s daily closing priceand daily trading volume. The estimation period is 30 days and event period is 11 days by using Market Models. Technique of analyzed for examining the hypothesis is Wilcoxon Sign Test at level significant of 10%.The results of this research show that ISRAannouncementdid not get any response from the investors, because there were no significant changes to the abnormal return before and after the announcement.The examination of trading volume activity proves that there are any significant differences in trading volume activity especially on fifth day and second day before the announcement, and the first day and second day after ISRA 2009-2011 announcement.

scholarly journals DIFFERENT TEST OF ABNORMAL RETURN AND TVA BEFORE AND AFTER STOCK SPLIT ANNOUNCEMENT

ACCRUALS ◽  
2019 ◽  
Vol 3 (2) ◽  
pp. 205-211
Author(s):  
Ayu Putri Kukuh Pangesti
Keyword(s):  
Hypothesis Testing ◽  
Abnormal Return ◽  
Trading Volume ◽  
Sampling Method ◽  
Stock Exchange ◽  
Economic Value ◽  
Secondary Data ◽  
Normality Test ◽  
Stock Split ◽  
Before And After

This study aims to determine whether there are differences in abnormal return (AR) and trading volume activity (TVA) between before and after the announcement of a stock split. The data used in this study are secondary data from the Indonesia Stock Exchange (IDX). Sampling in this study used a purposive sampling method. With certain criteria obtained a sample of 30 companies. This study uses event studies to determine the information content contained in an event. Hypothesis testing conducted in this study uses the normality test and paired sample t-test. The results of testing the first hypothesis in this study indicate that there is no difference in AR between before and after the announcement of a stock split. This happens because investors consider the stock split announcement have no economic value and prefer to allocate their funds to companies that are truly able to provide a return. While in the second hypothesis testing found the same thing that there is no significant TVA difference between before and after the announcement of the stock split.k split.

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