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

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.

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Analisis Buyback Saham Tanpa Rapat Umum Pemegang Saham di PT. Aneka Tambang (Studi Pada Surat Edaran Nomor 3/SEOJK.04/2020)

AKUNTABILITAS Jurnal Ilmiah Ilmu-Ilmu Ekonomi ◽

10.35457/akuntabilitas.v14i1.1429 ◽

2021 ◽

Vol 14 (1) ◽

pp. 9-21

Author(s):

M. Boy Singgih Gitayuda

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Secondary Data ◽

Data Types ◽

Volume Activity ◽

Stock Trading ◽

Significant Difference ◽

Before And After ◽

Stock Buyback ◽

Descriptive Approach

In early 2020, stock trading in Indonesia was under significant pressure, as indicated by the decline in the IHSG. This is due to the pressure and global economic slowdown due to the Covid-19 pandemic and weakening world oil prices. The purpose of this study was to find out how the effect of share buyback announcements without the RUPS on the response to the market at PT. Aneka Tambang Tbk. based on Surat Edaran OJK Nomor 3/SEOJK.04/2020. This research is structured with a quantitative method with a descriptive approach using secondary data types obtained from finance.yahoo.com and other relevant sources. This study will assess whether a significant difference is found before the announcement of the stock buyback and afterwards on the return, abnormal return, and trading volume activity of the stock. The results of the study stated that there was no significant difference before and after the announcement of the stock buyback on the return and abnormal return at PT. Aneka Tambang Tbk. However, a significant difference was found in the trading volume activity (TVA) before the announcement of the share buyback at PT. Aneka Tambang Tbk. and after.

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

Current: Jurnal Kajian Akuntansi dan Bisnis Terkini ◽

10.31258/jc.1.1.106-116 ◽

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

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Pengaruh Political Connection terhadap Cumulative Abnormal Return dan Trading Volume Activity pada Pemilihan Presiden 2019

Jurnal Studi Pemerintahan dan Akuntabilitas ◽

10.35912/jastaka.v1i1.290 ◽

2021 ◽

Vol 1 (1) ◽

pp. 83-95

Author(s):

Eldam Pradana ◽

◽

Sudrajat Sudrajat ◽

Pigo Nauli ◽

Yuliansyah Yuliansyah ◽

...

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Quantitative Methods ◽

General Election ◽

Political Connection ◽

Cumulative Abnormal Return ◽

Volume Activity ◽

Significant Difference ◽

Before And After ◽

The Impact

Abstract Purpose: This study aimed to identify the impact of Political Connection on Cumulative Abnormal Return (CAR) and Trading Volume Activity (TVA) for companies that associate with political figures in the presidential election of 2019. Research methodology: This study used quantitative methods, with a population of 25 companies on the Indonesian stock exchange, through daily stock prices. Result: This investigation showed no significant difference in the Cumulative Abnormal Return between before and after the announcement of the Constitutional Court. Then, there was no significance value on Trading Volume Activity and Cumulative Abnormal Return between before and after the announcement of General Election Commissions. Limitations: In this study, the limitation is observation time which is only 36 days. The number of samples is limited, which only 25 companies with the scope of research of companies that have affiliations with the winners of the 2019 general election. Contribution: This research implicates companies affiliated with politics. This is in the 2019 general election against the winners of the general election in 2019.

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ANALISIS PERBEDAAN ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SEBELUM DAN SESUDAH PERISTIWA PENETAPAN UNDANG-UNDANG TAX AMNESTY

JMM UNRAM - MASTER OF MANAGEMENT JOURNAL ◽

10.29303/jmm.v10i3.661 ◽

2021 ◽

Vol 10 (3) ◽

pp. 186-198

Author(s):

I Komang Wisnu Wardhana ◽

Hermanto Hermanto ◽

I Nyoman Nugraha AP

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Secondary Data ◽

Volume Activity ◽

Analytical Technique ◽

Tax Amnesty ◽

Average Abnormal Return ◽

Before And After ◽

The Difference

The purpose of this study was to determine the difference in the average abnormal return and trading volume activity before and after the enactment of the tax amnesty law on the LQ-45 index. The type of data used in this study is secondary data with data collection techniques using the documentation method. Determination of the sample in this study using purposive sampling method with certain criteria so as to obtain 45 samples. The analytical technique used in this research is paired sample t-test with an observation period of 10 days. The results of this study indicate that: (1) There is no difference in the average abnormal return before and after the enactment of the tax amnesty law. (2) There is no difference in the average trading volume activity before and after the enactment of the tax amnesty law.

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ANALISIS PERBEDAAN ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SAHAM SEBELUM DAN SESUDAH PERISTIWA GEMPA DI YOGYAKARTA TANGGAL 27 MEI 2006 (Sudi Kasus pada Perusahaan Asuransi Terdaftar di Bursa Efek Jakarta)

IQTISHODUNA ◽

10.18860/iq.v2i2.227 ◽

2011 ◽

Vol 2 (2) ◽

Author(s):

Lulu Nurul Istanti, SE., MM.,

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Mean Value ◽

Volume Activity ◽

Significant Difference ◽

Before And After ◽

Insurance Firms ◽

The Mean ◽

Difference Test

This research presents an empirical analysis of difference between abnormal return and trading volume activity before and after earths-quake, in Yogyakarta at May 27, 2006. And examine its statistical properties. This research argues that there was difference between abnormal return and trading volume activity before and after quake. For this purpose, the mean difference test, using t-test, was applied to compare the mean value of abnormal return and trading volume activity before and after quake. The sample of this research consists of the insurance firms listed at the Jakarta Stock Exchange. Investigation on the sample firms involved periods of ten days before quake and ten days after quake. The results of this research indicate that there was no significant difference between the abnormal return and trading volume activity before and after quake. This evidence confirms that even did not positively influence abnormal return and trading volume activity as suggested theoretically.

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REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA PENGESAHAN UU CIPTA KERJA 2020 (STUDI KASUS PERUSAHAAN YANG TERDAFTAR PADA LQ45)

Jurnal Bina Akuntansi ◽

10.52859/jba.v8i2.174 ◽

2021 ◽

Vol 8 (2) ◽

pp. 168-188

Author(s):

Rya Indriani ◽

Mariana Mariana

Keyword(s):

Hypothesis Testing ◽

Abnormal Return ◽

Trading Volume ◽

Abnormal Returns ◽

Job Creation ◽

Rank Test ◽

Volume Activity ◽

Security Return ◽

Significant Difference ◽

Before And After

This study aims to analyze reaction of the Indonesian capital market about difference of average abnormal returns, trading volume activity, and security return variability between before and after the legalization of the Job Creation Act on October 5, 2020. This study used quantitative research with event study approach. The research sample is stocks registered in LQ45 with certain criteria determined used the purposing sampling method. Hypothesis testing used paired sample t-test and wilcoxon signed rank test. The results of the hypothesis testing show that: (1) There’s a significant difference in the average abnormal return between the period before and after the Job Creation Act legalization. (2) There’s no significant difference in the average trading volume activity between the periodsbefore and after the Job Creation Act legalization. (3) There’s a significant difference in the average security return variability between the period before and after the Job Creation Act legalization.Keywords: The Job Creation Act, Abnormal Return; Trading Volume Activity; SecurityReturn Variability

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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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PEMILU SERENTAK DALAM KAITANNYA TERHADAP REAKSI PASAR MODAL DI INDONESIA

Jurnal Akuntansi dan Keuangan ◽

10.23960/jak.v25i1.240 ◽

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

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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

Jurnal Ekonomi Syariah Teori dan Terapan ◽

10.20473/vol6iss201912pp2512-2526 ◽

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

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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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