Market Overreaction at the Beginning of Covid-19 Pandemic Periods in Indonesia Stock Exchange

2021 ◽  
Vol 12 (1) ◽  
pp. 122-122
Author(s):  
Ferikawita M. Sembiring ◽  
V. Santi Paramita
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
External Condition ◽  
International Economy ◽  
Contrarian Strategy ◽  
External Conditions ◽  
The One ◽  
In The Beginning ◽  
Return Reversal

This study aims to determine whether the markets overreaction occurred in Indonesian capital market in the beginning of Covid-19 pandemic periods, especially in Indonesia Stock Exchange. This market overreaction is the one of anomalies in capital market and is opposite the efficient market hypotheses. Bad or good information is a trigger for investors reactions that cause anomalies such as this market overreaction. The information can be sourced from internal and external conditions of the company. The external condition that is currently affecting the national and international economy are the Corona pandemic (Covid-19) which has spread around the end of 2019. Based on the phenomenon occurs, the purposes of this study are to test: (a) Did market overreaction occur in Indonesian capital market in the beginning of Covid-19 pandemic periods? (b) Is a contrarian strategy relevant to be implemented? (c) Does the market risk factor based on the CAPM will affect the abnormal return? Keywords: CAPM; Market Overreaction; Return Reversal

scholarly journals Reaksi Pasar Atas Pengumuman Corporate Governance Perception Index

2019 ◽  
pp. 2432 ◽  
Author(s):  
I Gede Krisna Dharma Putra ◽  
I Gusti Ayu Eka Damayanthi
Keyword(s):  
Corporate Governance ◽  
Capital Market ◽  
Abnormal Return ◽  
Sampling Method ◽  
Market Reaction ◽  
Stock Exchange ◽  
Stock Trading ◽  
Announcement Date ◽  
Analysis Technique ◽  
The One

CGPI is the result of research from the Indonesian Institute for Corporate Governance (IICG) in collaboration with SWA magazine. This study aims to determine the reaction of the capital market on the CGPI announcement. The research was conducted at the company surveyed by CGPI for the period 2013-2016 by accessing the Indonesia Stock Exchange, IICG, Yahoo finance and SWA magazines. The population in this study were the companies surveyed by the Corporate Governance Perception Index (CGPI) for the period 2013-2016. The number of samples taken was 61 using the purposive sampling method. The data analysis technique used is the one sample t-test. Based on the results of the analysis, it was found that during the seven days of stock trading around the announcement of the Corporate Governance Perception Index (CGPI) without involving the comfounding effect (other announcements) there was no market reaction around the CGPI announcement date. Keywords: Corporate Governance Perception Index (CGPI), abnormal return, market reaction

scholarly journals Market reaction to the rights issue announcement on the Indonesia stock exchange

2019 ◽  
Vol 6 (6) ◽  
pp. 264-269
Author(s):  
Ni Putu Linsia Dewi ◽  
Ica Rika Candraningrat
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
Analysis Technique ◽  
Before And After ◽  
Parametric Statistical Test ◽  
The Right ◽  
Rights Issue

Rights issue or the issuance of pre-emptive rights are the rights granted by an issuer company made to its existing shareholders to buy new shares issued within a predetermined period of time. This study aims to empirically explain the differences in abnormal returns before and after the announcement of the rights issue and to determine the form of capital market efficiency in Indonesia. Data are collected from 27 listed companies in the Indonesia Stock Exchange (IDX) that conducted a rights issue in 2014-2018. The data analysis technique used is the Kolmogorov-Smirnov Normality Test and the Parametric Statistical Test with a paired sample t-test. Based on the results of hypothesis testing not found differences in abnormal returns both before and after the announcement date indicating the market does not react to the right issue event. The results of statistical tests show a downward trend of abnormal return which is proxied in the Cumulative Abnormal Return (CAR), implying a market tends to react negatively to the announcement of the rights issue. Rights issue information causes a new equilibrium price adjustment in the market, thus making the form of efficiency of the Indonesian capital market a semi-strong form.

scholarly journals Abnormal Return dan Trading Volume Activity Saham-Saham LQ45 pada Peristiwa Pengumuman Kebijakan Quantitative Easing oleh Bank Sentral Amerika Serikat

2016 ◽  
Vol 1 (1) ◽  
pp. 11-21
Author(s):  
Muhammad Falih Ariyanto
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Quantitative Easing ◽  
Volume Activity ◽  
Long Run ◽  
Positive Abnormal Return ◽  
International Event ◽  
Market Test

This research is an empirical study to analyze international event and its impacts on Indonesian capital market. The international event in this study is expansionary monetary policy issued by the Federal Reserve in the form of quantitative easing policies that were announced in three stages, on 26 November 2008, 4 November 2010, and 14 September 2012 (Indonesia Stock Exchange trading day). The study analyzed the abnormal return and trading volume activity occured at each event period. Observation period in this study used 120-day estimation period and 11-day event period at each stage of the quatitative easing announcement. The event study was done in Indonesian capital market represented by 127 shares that are catagorized as LQ45 index and actively traded in each event period. The assumption that Indonesian capital market is co-integrated with international capital market can make the announcement of quantitative easing policy as positive information for investors in Indonesia. The analysis results show that a significant positive abnormal return around the event date and a significant increase in the intensity trading activities after the quantitative easing announcement, occured. The market test results show that Indonesian capital market has efficient information in a semi-strong form, so that the investors cannot use the published information to get profits (positive abnormal return) in a long run (around the date of the event only).   Abstrak Penelitian ini merupakan studi empiris untuk menganalisis peristiwa internasional dan dampaknya terhadap pasar modal Indonesia. Peristiwa internasional yang diteliti adalah pengumuman kebijakan moneter ekspansif yang dikeluarkan oleh Bank Sentral Amerika Serikat, yaitu quantitative easing yang dilakukan dalam tiga tahapan pengumuman pada tanggal 26 November 2008, 4 November 2010 dan 14 September 2012 (hari perdagangan bursa di Indonesia). Penelitian dilakukan dengan menganalisis abnormal return dan trading volume activity yang terjadi disetiap periode peristiwa. Penelitian ini menggunakan periode pengamatan yang terdiri dari 120 hari periode estimasi dan 11 hari periode peristiwa disetiap tahapan pengumuman quantitative easing. Analisis studi peristiwa dilakukan pada pasar modal Indonesia yang diwakili oleh 127 saham yang pernah masuk dalam kategori indeks LQ45 dan secara aktif diperdagangkan disetiap periode peristiwa. Asumsi bahwa pasar modal Indonesia terkointegrasi dengan pasar modal internasional menyebabkan pengumuman kebijakan quantitative easing dapat menjadi informasi yang positif bagi pemodal di Indonesia. Hasil analisis menunjukkan bahwa terjadi abnormal return positif yang signifikan di sekitar tanggal peristiwa dan peningkatan intensitas perdagangan yang signifikan setelah peristiwa pengumuman kebijakan quantitative easing. Hasil pengujian efisiensi pasar menunjukkan bahwa pasar modal Indonesia efisien secara informasi dalam bentuk setengah kuat sehingga pemodal tidak dapat menggunakan informasi yang dipublikasikan untuk mendapatkan keuntungan (abnormal return positif) dalam jangka waktu yang lama (hanya di sekitar tanggal peristiwa).

scholarly journals An Empirical Analysis for Abnormal Returns from Initial Public Offerings (IPOs): evidence of Iranian oil and chemical industries

2013 ◽  
Vol 3 (1) ◽  
pp. 143 ◽  
Author(s):  
Mahdi Filsaraei ◽  
Alireza Azarberahman ◽  
Jalal Azarberahman
Keyword(s):  
Initial Public Offerings ◽  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Going Public ◽  
Significance Level ◽  
Public Offerings ◽  
Positive Abnormal Return ◽  
Chemical Companies

Purpose: The core purpose of this paper empirically study of the initial public offerings (IPOs) of companies accepted in oil and chemical industries. The paper attempts to answer the question of is there any abnormal return from IPOs in listed companies in Tehran Stock Exchange (TSE).Design/methodology/approach: This research is an applied research, and its design is empirical, which is done by the method of post-event (past information). For the purpose of the study the t-statistic, regression and variance analyses are applied to examine the hypotheses. We use in the analyses a sample of 29 newly accepted Iranian oil and chemical companies listed on TSE for the period of 2001 to 2012. This paper has studied abnormal return and three abnormal phenomena have been considered in capital market. These phenomena consist: (1) underpricing or overpricing of the firm's stock, (2) lower or higher stock return of the firms and (3) Particular period in market for stock transactions volume.Findings: The results support the hypothesis that there is a positive abnormal return to investing in the newly accepted oil and chemical firms for stockholders. It also shown the firm size is the only factor that can affect the stock abnormal return. With considering significance level, investors have to give attention sequentially to other variables such as stock ownership centralization, going public time and stock offering volume.

scholarly journals PEMILU SERENTAK DALAM KAITANNYA TERHADAP REAKSI PASAR MODAL DI INDONESIA

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

scholarly journals ANALISIS PENGARUH PENGUMUMAN DIVIDEN TERHADAP PERUBAHAN HARGA SAHAM (RETURN) SEBELUM DAN SESUDAH EX-DIVIDEND DATE DI BURSA EFEK JAKARTA (BEJ)

2019 ◽  
Vol 1 (2) ◽  
pp. 73
Author(s):  
Wibowo Wibowo ◽  
Melati Adorini
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Stock Return ◽  
Stock Exchange ◽  
Paired Sample ◽  
Before And After ◽  
Independent Variable ◽  
Return Difference ◽  
The Impact ◽  
Observation Period

<p><em>The objective of this research was to analyze the impact of ex-dividend date announcement in Jakarta Stock Exchange (JSX) on stock return during the period of 2000- 2004. This research takes 25 corporation samples which are divided into two groups, namely increasing dividend group and decreasing dividend group. The method used in this research is event study that observed the stock return movement in capital market. The observation period was during 15 days before and 15 days after ex-dividend date. In order to examine the existence of price reaction, the abnormal return was conducted during the event period towards the increasing dividend group and decreasing dividend group. The independent variable used was dividend declaration (increasing dividend and decreasing dividend) and dependent variable used was stock return. The calculation of this research using paired sample t test, was to prove if there is any stock return differences between before and after ex-dividend date announcement with<br /> the presence of increasing dividend declaration and decreasing dividend declaration in Jakarta Stock Exchange (JSX). The result of this research had shown two conclutions that for the increasing dividend group, there were no stock return (abnormal return) diffrerence between before and after ex-dividend date due to the increasing dividend declaration in Jakarta Stock Exchange (JSX) and for the decresing dividend group there was stock return (abnormal<br /> return) difference between before and after ex-dividend date due to decresing dividend declaration in Jakarta Stock Exchange (JSX).</em></p>

scholarly journals PENGUJIAN ANOMALI PASAR (JANUARY EFFECT) DI BURSA EFEK INDONESIA

2019 ◽  
Vol 8 (9) ◽  
pp. 5571
Author(s):  
Ni Kadek Ema Yunita ◽  
Henny Rahyuda
Keyword(s):  
Stock Returns ◽  
Capital Market ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Secondary Data ◽  
January Effect ◽  
Test Results ◽  
Average Return ◽  
Abnormal Stock Returns

The January effect is a phenomenon of deviation from the form of efficient capital markets, where the average return in January is higher than in other months. The purpose of this research is to find out whether there is a January effect on the IDX30 index group companies on the Indonesia Stock Exchange in the period February 2013 to January 2018. This study uses secondary data in the form of monthly stock price data used closing price on the Indonesia Stock Exchange. The sample used was 17 companies. The test results using the SPSS program is a t-test which shows that there is no difference in abnormal stock returns in January with months other than January. So, it can be concluded that the phenomenon of the January Effect does not occur in the Indonesian capital market. Keywords: january Effect, abnormal return, IDX30 Index

scholarly journals Efek Waktu Pasar dan Kebijakan Investasi terhadap Struktur Modal

2014 ◽  
Vol 5 (2) ◽  
Author(s):  
Winston Pontoh
Keyword(s):  
Capital Structure ◽  
Capital Market ◽  
Stock Exchange ◽  
Market Timing ◽  
External Condition ◽  
Investment Policy ◽  
External Financing ◽  
Pecking Order ◽  
Internal Financing ◽  
Using Data

The capital structure policy by an entity is still a question specially in the context of investment policy and if related to market timing. The question is still exist because the entity faced by two options of financing which are internal financing (capital) and external financing (debt). This study is using data from the samples of 241 entities listed in Indonesia Stock Exchange in period of 2009 till 2012 making the total of observed data are 964. Conducting multiple regression analysis, this study conclude that, the effect of pecking order, trade off and market timing are not absolute for all conditions of entities, because the entities will take decision for capital structure policy based on its conditions such as internally or externally. In this case, the external condition is referring to capital market.

scholarly journals Comparative Analysis of Abnormal Returns of Stocks and UBS Gold Before and After the Announcement of the Covid-19 Pandemic

2021 ◽  
Vol 5 (1) ◽  
pp. 64-70
Author(s):  
Qamaral Shabrina Agfah ◽  
Muhammad Azhari
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Pure Gold ◽  
Normality Test ◽  
Before And After ◽  
Using Data ◽  
Exchange Data

Currently, the economy and capital market in Indonesia are experiencing a decline in performance due to the COVID-19 pandemic. This research was conducted to analyze whether there is a difference in the return of shares in the transportation sub-sector and UBS gold to the current COVID-19 pandemic, by looking at changes in prices 7 days before and 7 days after the announcement of the COVID- 19 Pandemic announced by President Joko Widodo on March 2, 2020. The phenomena contained in this study were carried out by the event study with the abnormal return technique. This study using data in the form of secondary data and data taken by time series. The sample used in this research is data on the closing price of 7 days of 1-gram UBS pure gold before and after the COVID-19 pandemic and 23 shares of the transportation sub-sector listed on the Indonesia Stock Exchange. Data analysis used abnormal return, normality test, and paired sample t-test using IBM SPSS. This study found that there was no difference in the abnormal return of shares in the transportation sub-sector and UBS Gold at the time of the announcement of the COVID-19 pandemic in Indonesia by Joko Widodo.

scholarly journals Performance of stock portfolio based on contrarian strategy in indonesia stock exchange

2019 ◽  
Vol 6 (6) ◽  
pp. 220-228
Author(s):  
I Gede Wira Pratama ◽  
Henny Rahyuda
Keyword(s):  
Abnormal Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Test Period ◽  
Portfolio Performance ◽  
Overreaction Hypothesis ◽  
The Difference ◽  
Stock Portfolio ◽  
Return Reversal

This study aims to determine the differences in the performance of high abnormal stock portfolio during the test period compared with the performance of the stock portfolio in the formation period, the difference in the performance of the low abnormal return of the test period compared to the portfolio performance of the stock formation period, as well as the difference in the performance of the high abnormal return stock portfolio (winner) compared with a low abnormal return (loser) test period. The sample consists of shares included in the Kompas 100 index which are listed on the Indonesia Stock Exchange. The sampling method used in this study is a tiered sampling method that is analyzed by means of the two different test. The results showed that within a period of 12 months, there was a positive difference of 10.59% in the loser stock portfolio against the winner stock portfolio in the next period. Stocks that initially had low abnormal returns (losers) experienced a greater return reversal than the winner stock portfolio return in the next period, indicating a market anomaly associated with the overreaction hypothesis.

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