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

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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THE PHENOMENON OF RATIFYING REVISION OF THE KPK LAW: HOW INVESTOR REACTED?

JURISMA : Jurnal Riset Bisnis & Manajemen ◽

10.34010/jurisma.v11i1.2871 ◽

2021 ◽

Vol 11 (1) ◽

pp. 51-63

Author(s):

Versiandika Yudha Pratama ◽

Happy Sista Devy

Keyword(s):

Event Study ◽

Stock Price ◽

Abnormal Return ◽

Abnormal Returns ◽

Secondary Data ◽

Sampling Technique ◽

T Test ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After

This research aimed to determine there are difference in average abnormal returns of companies in the Jakarta Islamic Index (JII) before and after phenomenon the revised Corruption Eradication Commission Act, which is on September 17th, 2019. This research use event study for method and the data in this study are secondary data in the form of stock price. Sampling technique uses purposive sampling method. Determined sampling technique, 27 companies were obtained as research samples. Tests conducted are one sample t-test and paired sample t-test. The result of the one sample t-test showed that the phenomenon of ratifying the revision of the KPK law becomes meaningful information to investors and investors show that reactions to these event. It showed by the result of significant and negative abnormal returns in the few day before and several days after phenomenon. The result of the second hypothesis testing indicate that there is no significant difference the average abnormal return before and after the ratification of revised Corruption Eradication Commission Act Keywords: Revision of KPK Law, Average Abnormal Return, Event Study

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

Jurnal Bisnis, Manajemen, dan Ekonomi ◽

10.47747/jbme.v1i2.13 ◽

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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Analisis Reaksi Investor Sebelum Pengumuman dan Setelah Pencabutan Suspensi Saham

JURNAL AKUNTANSI BERKELANJUTAN INDONESIA ◽

10.32493/jabi.v4i2.y2021.p156-169 ◽

2021 ◽

Vol 4 (2) ◽

pp. 156

Author(s):

Hamdani Arifulsyah Rangkuti ◽

Fifitri Ali ◽

Abdi Bhayangkara

Keyword(s):

Event Study ◽

Abnormal Return ◽

Trading Volume ◽

T Test ◽

Test Results ◽

Volume Activity ◽

Paired Sample ◽

Average Abnormal Return ◽

Significant Difference ◽

Stock Suspension

AbstractThe purpose of this research is to analyze descriptively qualitatively to test whether the abnormal return, trading Volume activity and Bid-Aks spread have a positive or negative value before the announcement suspension and after unsuspension. After that, testing with a different test (paired sample t-test). This research is an event study, using an estimated period of 5 days before the announcement of the suspension, and 5 days after the withdrawal of the suspension (unsuspension), within the period of observation in the year 2019. The sample in this study was 75 companies that announced the stock suspension. as well as announcing stock unsuspension in 2019. The results of this study show that the average abnormal return, trading Volume activity and Bid-Aks spread show a positive value both before the announcement of the stock suspension and after the stock unsuspension. Meanwhile, for the different test results (paired sample t-test), there is a significant difference before the announcement of stock suspension and after stock unsuspension for the abnormal return variable and the Bid-Aks spread, while the trading Volume activity must be excluded from the study because SPSS did not include it so the exclude variable category. Abstrak Riset ini bertujuan menganalisis secara deskriptif kualitatif apakah abnormal return, Trading Volume activity dan Bid-Aks spread memiliki nilai positif atau negatif pada saat sebelum pengumunan dan setelah pencabutan suspensi saham. Pengujian berikutnya adalah dengan melakukan uji beda berpasangan (paired sample t-test). Periode penelitian ini adalah 5 hari sebelum pengumuman suspensi saham, dan 5 hari setelah penarikan suspensi saham (unsuspensi), dalam rentang waktu pengamatan dari selama tahun 2019. Sebanyak 75 perusahaan yang mengumumkan suspensi dan unsuspensi saham selama tahun 2019. Hasil penelitian ini menunjukkan bahwa rata-rata Abnormal Return, Trading Volume Activity dan Bid-Aks Spread menunjukkan nilai yang positif baik sebelum pengumuman suspensi saham, maupun setelah unsuspensi saham. Sementara untuk hasil uji bedanya, beda yang cukup nyata sebelum pengumuman suspensi saham dan setelah unsuspensi saham untuk variabel Abnormal Return dan Bid-Aks Spread, sementara untuk variabel Trading Volume Activity dikeluarkan dari penelitian karena di SPSS termasuk kedalam kategori exclude variable.

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REAKSI PASAR MODAL INDONESIA TERHADAP PENGUMUMAN INDONESIA SEBAGAI NEGARA MAJU

POINT ◽

10.46918/point.v2i1.500 ◽

2020 ◽

Vol 2 (1) ◽

Author(s):

Ely Damayanti ◽

Rahayu Dwi Larasati ◽

Kharis Fadlullah Hana

Keyword(s):

Abnormal Return ◽

Sampling Method ◽

Stock Exchange ◽

Secondary Data ◽

Stock Index ◽

Developed Country ◽

Event Window ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After

The purpose of this tdudy is to analyze the differences in abnormal return before and after the announcement of Indonesia as a developed country on the LQ45 stock index. This study uses a purposive sampling method with a sample of 45 companies. The data used are secondary data taken from the official website of the Indonesia Stock Exchange, www.idx.co.id. Tests were carried out using paired sample t test with a 15 day event window period. That is, seven days before the event day and sevend days after the event day. The result of statistical analysys shows that there is no significant average abnormal return and after the announcement of Indonesia as a developed country. This means that the market reaction, is largely insignificant, result in a statistically significant difference in the average abnormal return on Indonesia’s announcement as a development country.

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ANALYZING ABNORMAL RETURN BEFORE AND AFTER THE ANNOUNCEMENT OF MERGER AND ACQUISITION IN 2018

Journal of Business and Behavioural Entrepreneurship ◽

10.21009/jobbe.001.2.02 ◽

2018 ◽

Vol 1 (2) ◽

pp. 14-22

Author(s):

Sonny Haryanto ◽

Umi Mardiyati ◽

Agung Dharmawan Buchdadi

Keyword(s):

Mergers And Acquisitions ◽

Stock Price ◽

Abnormal Return ◽

Abnormal Returns ◽

T Test ◽

Testing Hypotheses ◽

Paired Sample ◽

Minute Period ◽

Before And After ◽

Observation Period

This study aims to analyze the abnormal returns before and after the announcement of mergers and acquisitions in the companies listed on the IDX 2018. In this study the observation period taken was three days before and after the announcement of mergers and acquisitions with the number of samples observed were 9 companies. The method for calculating abnormal returns used is the market adjusted return by using an intraday stock price of 15 minutes. Based on testing hypotheses conducted by paired sample t-test, it was found that there were no significant differences in abnormal returns before and after the announcement of mergers and acquisitions in each 15 minute period.

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DAMPAK KERUSUHAN MAKO BRIMOB MEI 2018 TERHADAP ABNORMAL RETURN INDEKS LQ45 YANG TERDAFTAR DI BEI

MEDIA AKUNTANSI DAN PERPAJAKAN INDONESIA ◽

10.37715/mapi.v1i1.1172 ◽

2021 ◽

Vol 1 (1) ◽

pp. 1-14

Author(s):

Dewo Adhi Guminto ◽

Maria Assumpta Evi Marlina

Keyword(s):

Abnormal Return ◽

T Test ◽

P Value ◽

Paired Sample ◽

Normality Test ◽

Average Abnormal Return ◽

Before And After ◽

The Subject ◽

Corporate Actions ◽

Observation Period

This research is an event study that aims to determine the differencein the average Abnormal return (AR) before, during, and after the MakoBrimob riot. The subject of this study is the LQ45 index company that hasfulfilled the criteria. The company does not conduct corporate actions suchas the announcement of stock split, right issue, merger & acquisition, anddividend in the observation period, which is five days before the riot, oneday during the riot (May 9, 2018) and five days after the riot. The results ofthe data normality test found that the data in this study were normallydistributed. P-value shows the number 0.412. The results of the differenttests using independent Sample T-Test (H1) showed no difference in theaverage abnormal return before, and during the Mako Brimob riots (ρ =0.050). The results of different tests using independent Sample T-Test (H2)were no difference in the average abnormal return during and after the incidentof the Mako Brimob riots (ρ = 0.117). The results of different testsusing Paired Sample T-Test (H3) were no difference in the average abnormalreturn before and after the incident of the Mako Brimob riots (ρ = 0.77).

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

JURNAL AKUNTANSI : TRANSPARANSI DAN AKUNTABILITAS ◽

10.35508/jak.v8i2.3645 ◽

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.

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ANALISIS REAKSI PASAR ATAS KEBIJAKAN TAX AMNESTY: STUDI PADA BURSA EFEK INDONESIA

Jurnal Aplikasi Akuntansi ◽

10.29303/jaa.v1i2.4 ◽

2018 ◽

Vol 1 (2) ◽

pp. 97

Author(s):

Bq. Anggun Hilendri ◽

Eni Indriani ◽

Rento Dewi H

Keyword(s):

Stock Price ◽

Abnormal Return ◽

Stock Exchanges ◽

Test Results ◽

Market Participants ◽

Tax Amnesty ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After ◽

Return Value

Economic events frequently determine stock price fluctuations in stock exchanges. Sometimes, these economic events tend to get negative responses from market participants. This study uses event study analysis, where the event analyzed was the announcement of government policy in the fiscal sector, the tax amnesty. The announcement of the tax amnesty policy implementation is considered to provide information that elicits reaction in the capital market, which can be measured by the abnormal return on the stock before and after the announcement of tax amnesty policy. This event window of this study was 6 trading days i.e. t-3 to t + 3 since tax amnesty policy became published on July 14, 2016. The sample used in this study consisted of 45 companies listed in LQ-45 index during July 2016. Analysis of average abnormal return is performed based on paired sample t test on three days before and three days after the announcement of tax amnesty policy. The test results show that there is a significant difference in market reaction as indicated by abnormal return value. However, the result of abnormal return shows negative value. It means that tax amnesty policy provides negative information for investor, which is contrary to the objective of tax amnesty policy to increase investment.

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Pengujian Anomali January Effect Terhadap Saham Pada Perusahaan Yang Terdaftar Di Jakarta Islamic Index

Media Ekonomi ◽

10.30595/medek.v0i0.8543 ◽

2020 ◽

pp. 6

Author(s):

Ika Yustina Rahmawati ◽

Tiara Pandansari

Keyword(s):

Event Study ◽

Stock Price ◽

Abnormal Return ◽

T Test ◽

January Effect ◽

Paired Sample ◽

Price Data ◽

Closing Price

Tujuan dari penelitian ini adalah untuk untuk menguji perbedaan return dan abnormal return pada bulan Januari dan selain bulan Januari pada indeks JII. Sampel yang digunakan adalah saham perusahaan yang termasuk pada indeks JII, penelitian ini merupakan event study sehingga pada periode pengamatan akan melihat reaksi pada sebelum, saat, dan sesudah event. Pada penelitian ini, periode yang digunakan adalah H- 10 (sebelum event), H0 (saat event) dan H+10 (sesudah event). Sumber data diperoleh dari yahoo finance, sahamok.com dan IDX. Jenis data yang digunakan dalam penelitian ini adalah data sekunder, diantaranya adalah harga penutupan saham yang sudah disesuaikan (adjusted closing price) dan harga penutupan IHSG. Data berupa harga saham harian (daily stock price). Data-data tersebut kemudian dianalisis dengan menggunakan metode analisis paired sample t-test. Hasil penelitian menunjukkan bahwa jika dilihat return saham (Rit) pada tahun 2014 dan 2015 menunjukkan adanya perbedaan return dan memberikan adanya signal adanya January Effect sedangkan untuk tahun 2016 hasilnya berbeda dengan tahun sebelumnya karena hasilnya tidak menunjukkan perbedaan return dan dipastikan tidak ada indikasi January effect. Untuk abnormal return (AR) untuk semua tahun penelitian (2014, 2015, 2016) menunjukkan adanya perbedaan, yang menunjukkan adanya perbedaan AR dan memberikan signal adanya January Effect sehingga memengaruhi para pelaku pasar dalam mengambil keputusan.

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