scholarly journals Transformasi PPKM Terhadap Abnormal Return Sub Industri Farmasi

2021 ◽  
Vol 1 (11) ◽  
Author(s):  
Dani Usmar
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Purposive Sampling ◽  
Average Abnormal Return ◽  
Level 3

Latar belakang: Isu global baik langsung maupun tidak langsung akan memengaruhi isu nasional. Tujuan penelitian: Tujuan penelitian ini adalah mengetahui perbedaan abnormal return menggunakan hasil perhitungan Average Abnormal Return (AAR) pada saat pengumuman Transformasi PPKM dari Pemberlakuan Pembatasan Kegiatan Masyarakat (PPKM) Darurat Jawa Bali menjadi Pemberlakuan Pembatasan Kegiatan Masyarakat (PPKM) level 3 dan 4 tanggal 21 Juli 2021. Metode penelitian: Pendekatan penelitian ini menggunakan metode Event Study yang mengukur tingkat abnormal return. Penelitian ini menggunakan data sekunder berupa indeks saham gabungan dan data perdagangan saham harian. Pemilihan dan penetapan sampel dilakukan dengan metode purposive sampling. Jumlah anggota sampel yang ditetapkan terdiri dari 13 (tiga belas) emiten sub industri farmasi. Hasil penelitian: Hasil penelitian ini menunjukkan terdapat perbedaan average abnormal return yang signifikan sebelum dan setelah tanggal peristiwa. Kesimpulan: Penelitian ini dapat disimpulkan bahwa dalam periode penelitian (event) terjadi abnormal return untuk emiten anggota sub industri farmasi pada Bursa Efek Indonesia yaitu pada Tmin8, Tnol, Tplus1 dan Tplus6 dengan nilai uji di bawah tingkat signifikansi 0,05. Artinnya, kejadian pengumuman transformasi PPKM dari Pemberlakuan Pembatasan Kegiatan Masyarakat (PPKM) Darurat Jawa Bali menjadi Pemberlakuan Pembatasan Kegiatan Masyarakat (PPKM) level 3 dan 4 tanggal 21 Juli 2021 telah memicu terdapatnya abnormal return yang signifikan bagi emiten anggota sub industri farmasi pada Bursa Efek Indonesia dalam periode event. Terdapat perbedaan average abnormal return yang signifikan bagi perusahaan sub industri farmasi, pada saat sebelum dan sesudah pengumuman pengumuman transformasi PPKM tanggal 21 Juli 2021.

scholarly journals PENGARUH PENGUMUMAN STOCK BUYBACK TERHADAP REAKSI PASAR PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) PERIODE 2016-2019

2020 ◽  
Vol 8 (2) ◽  
pp. 145-153
Author(s):  
Qonita Zein ◽  
Taufiq Akbar
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
T Test ◽  
Volume Activity ◽  
Paired Sample ◽  
Purposive Sampling ◽  
Average Abnormal Return ◽  
Stock Buyback

ABSTRAK Penelitian ini bertujuan untuk menganalisis pengaruh pengumuman pembelian kembali (buyback) saham terhadap reaksi pasar pada perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) tahun 2016-2019. Penelitian ini terdiri dari 32 sampel perusahaan dari seluruh sektor yang terdaftar di Bursa Efek Indonesia (BEI) dan melakukan pengumuman pembelian kembali (buyback) saham. Data yang digunakan dalam penelitian ini adalah data sekunder berupa harga saham dan volume perdagangan saham dan metode pemilihan sampel menggunakan metode purposive sampling. Metode analisis yang digunakan dalam penelitian ini yaitu event study. Teknik analisis data yang digunakan untuk penelitian ini adalah uji normalitas yaitu Kolmogrov-Smirnov, dilanjutkan dengan uji paired sample t-test untuk hipotesis 1 dan hipotesis 2 dengan tingkat signifikansi 0,05. Hasil penelitian ini menunjukkan bahwa terdapat pengaruh signifikan terhadap variabel average abnormal return, namun tidak terdapat pengaruh signifikan terhadap variabel average trading volume activity sebelum dan setelah pengumuman pembelian kembali (buyback) saham. Kata kunci: Buyback, Abnormal Return, Trading Volume Activity.  

Reaksi Investor Saham Syariah dan Konvensional terhadap Pengumuman Pembentukan Kabinet Indonesia Maju 2019

2020 ◽  
Vol 5 (1) ◽  
Author(s):  
Ananta Hagabean Nasution ◽  
Alyta Shabrina Zusryn
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Average Abnormal Return

Ketidakpastian politik sering menjadi peristiwa khusus yang berpengaruh terhadap return portofolio saham. Tujuan dari penelitian ini adalah untuk menguji pengaruh pengumuman pembentukan kabinet Indonesia Maju 2019-2024 terhadap harga saham yang terdaftar pada Indeks Syariah (ISSI) dan Indeks Harga Saham Gabungan (IHSG). Penelitian ini menggunakan metode event study untuk melihat adanya reaksi pasar yang dapat dilihat dari adanya abnormal return pada saham. Indikator yang digunakan adalah nilai average abnormal return (AAR) dan cumulative average abnormal return (CAAR). Hasil pada penelitian ini menunjukkan bahwa terdapat nilai AAR yang negatif dan signifikan pada sehari sebelum (t-1) dan setelah (t+1) pengumuman menteri pada indeks syariah dan pasar. Selain itu, terdapat perbedaan yang signifikan nilai cumulative average abnormal return (CAAR) sebelum dan sesudah pengumuman menteri pada t (-7,7) untuk portofolio ISSI dan t (-10,10) untuk portofolio IHSG. Adanya reaksi negatif invetor mengindikasikan terdapat kebingungan investor saham syariah terhadap menteri yang terpilih pada kabinet Indonesia Maju. Peristiwa ini diharapkan dapat membantu investor atau manajer investasi dalam menentukan strategi investasi pada saat terjadi ketidakpastian politik.

scholarly journals Investor’s Mood at ASIAN Games Event

2019 ◽  
Vol 7 (2) ◽  
pp. 177
Author(s):  
Happy Sista Devy ◽  
Bahrain Pasha Irawan
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Purposive Sampling ◽  
Event Study Method ◽  
Before And After ◽  
Wait And See ◽  
The Many ◽  
Observation Period

<p>Goals of the research to analyze whether occurred abnormal return of ASIAN Games phenomena and see how investors react to the big ASIAN Games 2018 event in Indonesia. . This reseach uses a sample of companies included in the hotel, restaurant and tourism sub-sector on the Indonesia Stock Exchange (IDX) during the observation period, based on the purposive sampling method which obtained 22 companies and used the event study method. There is a significant abnormal return but not on the phenomenon of the Asian Games 2018. This shows that investors still wait and see to the organization of the Asian Games in 2018. No difference of abnormal return before and after the Asian Games 2018. This is because, as investors look to the many tourists who have started to flock to Indonesia before the Asian Games in 2018 took place.<em></em></p><p><strong><em></em></strong><em><br /></em></p>

scholarly journals The Announcement of Sharia Bank’s Conditional Merger Agreement. How Investor Reacted?

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.

scholarly journals Reaksi Pasar Atas Right Issue

2019 ◽  
pp. 285
Author(s):  
Jacqueline Immanuele Firstiany ◽  
Dewa Gede Wirama
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
T Test ◽  
Purposive Sampling ◽  
Corporate Action ◽  
Adjusted Model

Right issue merupakan salah satu corporate action yang dapat memengaruhi jumlah dan harga saham yang berada di pasar. Kandungan informasi dari pengumuman right issue menjadi penting, karena dapat membuat pasar bereaksi terhadap pengumuman tersebut. Penelitian ini bertujuan untuk menguji kandungan informasi pada peristiwa pengumuman right issue di Bursa Efek Indonesia dengan periode penelitian selama 10 tahun yaitu dari tahun 2008 sampai dengan 2017. Pengujian kandungan informasi suatu peristiwa seperti peristiwa pengumuman right issue umumnya menggunakan event study. Jendela peristiwa yang digunakan dalam penelitian ini adalah selama 5 hari dengan menggunakan market-adjusted model dalam menghitung abnormal return. Sampel penelitian ini berjumlah 146 perusahaan yang ditentukan dengan metode purposive sampling. Berbeda dari yang dihipotesiskan, hasil pengujian one sample t-test menunjukkan bahwa pasar tidak bereaksi atas pengumuman right issue. Kata Kunci: Right issue, reaksi pasar, event study, market-adjusted model, abnormal return

scholarly journals RENT EXTRACTION PADA PERUSAHAAN DENGAN STRUKTUR KEPEMILIKAN TERKONSENTRASI DI BURSA EFEK INDONESIA

2020 ◽  
Vol 9 (4) ◽  
pp. 404
Author(s):  
Ni Ketut Surasni ◽  
Hermanto Hermanto ◽  
Hermanto Hermanto
Keyword(s):  
Event Study ◽  
Ownership Structure ◽  
Abnormal Return ◽  
Market Reaction ◽  
Rent Extraction ◽  
Concentrated Ownership ◽  
Average Abnormal Return ◽  
The Difference ◽  
Difference Test

This study aims to examine the existence of rent extraction by examining the market reaction to the increase and decrease in dividends. For this purpose, the method used is an event study. Market reaction is measured using cumulative average abnormal return (CAAR). If CAAR is high> CAAR is low. hence rent extraction is proven, dividends are proven to relieve conflict between majority and minority. By using the difference test, it was not proven that high CAAR> low CAAR. These results indicate that investors do not react to increases or decreases in dividends. In companies with a concentrated ownership structure, dividends do not function as a reliever for conflicts between majority and minority. Kata kunci: Concentrated ownership structure, rent extraction, dividends.

scholarly journals Reaksi Pasar Terhadap Peristiwa Politik Terkait Jokowi di Bursa Efek Indonesia

2015 ◽  
Vol 2 (3) ◽  
pp. 325-343
Author(s):  
Anis Sundiyah ◽  
I Made Sudana
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Abnormal Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Presidential Candidate ◽  
Analysis Model ◽  
Stock Market Reaction ◽  
Political Events ◽  
Average Abnormal Return

This research examines stock market reaction to the political events related of Jokowi in the Indonesia Stock Exchange. Variables used in this research are average abnormal return (AAR) and cumulative average abnormal return (CAAR) which measured using a statistical test one sample t-test. In this research, there are 230 sampel in the announcement Jokowi as a presidential candidate, 316 sampelin the announcement of results of presidential election quick count and 339 sampel in the announcement of work cabinet. Analysis model in this research is event study during the test period of 11 days exchange trading. Consistency of the stock market reaction was compared descriptively based on the analysis of AAR and CAAR. Testresults of AAR and CAAR showed that stock market consistently reacted positively to the announcement Jokowi as a presidential candidate and the announcement of the work cabinet and inconsistent with the announcement of the results of quick count because stock market reacted negatively. keywords: event study, political events of Jokowi, AAR, CAAR, consistency reaction.

scholarly journals Impacts of Unusual Market Activity Announcement on Stock Return: Evidence from The Ace Market in Malaysia

2019 ◽  
Vol 11 (2) ◽  
pp. 169
Author(s):  
Dylan Siong-Yain Chen ◽  
Venus Khim-Sen Liew
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Stock Return ◽  
Cumulative Abnormal Return ◽  
Market Activity ◽  
Average Abnormal Return ◽  
Study Methodology ◽  
Event Study Methodology

This study examines the effect of Unusual Market Activity (UMA) announcement on stock return in Malaysian market with a sample of 62 companies listed on the ACE market at Bursa Malaysia for the period of 2007-2015. This study employs event study methodology to show that there were few days in which the average abnormal return (AAR) and cumulative average abnormal return (CAAR) are statistically significant. In addition, this study also further investigates the abnormal return (AR) and cumulative abnormal return (CAR) for individual companies. It was found that majority of the stocks returns fell significantly 30 days after the UMA announcement. The magnitude of the fall in returns ranges from 4% to 234%. Hence, it is not advisable for investors to buy stock after UMA announcement.

scholarly journals Analisis Reaksi Pasar Atas Peristiwa Pilkada Serentak Tahun 2018

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

scholarly journals Pengaruh Penerbitan Obligasi Syariah Terhadap Return Saham (Studi Kasus Pada Perusahaan Yang Menerbitkan Obligasi Syariah dan Terdaftar Pada Bursa Efek Indonesia (BEI)

2020 ◽  
Vol 1 (2) ◽  
pp. 1-10
Author(s):  
Mutia Dwiana
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Abnormal Return ◽  
Sampling Technique ◽  
Observation Time ◽  
T Test ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Event Study Method ◽  
Before And After

This type of research is quantitative, this research is conducted on companies that issue Islamic bonds and are listed at the Bursa Efek Indonesia (BEI). The method used is the event study method to show whether there is an effect of the issuance of Islamic bonds on stock returns in the event period of the issuance of Islamic bonds (sukuk), with a length of observation time of 15 days before and 15 days after the issuance event. The population used is companies that issue Islamic bonds that are still circulating as of February 2020. The sample was determined by purposive sampling technique and a sample of 15 incidents of Islamic bond issuance was obtained from 8 companies. Then the data is processed using t-test and paried sample t-test. The results showed that there was a significant Average Abnormal Return around the Islamic bond issuance period, which means that the issuance of Islamic bonds (sukuk) had an effect on stock returns. And there is also a significant difference in stock returns between before and after the issuance of Islamic bonds.

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