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.

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

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

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 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 REAKSI PASAR ATAS PANDEMI VIRUS CORONA PADA PERUSAHAAN LQ45 DI BURSA EFEK INDONESIA

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

scholarly journals ANALISIS ABNORMAL RETURN DAN LIKUIDITAS SAHAM SEBELUM DAN SESUDAH STOCK SPLIT PERIODE 2008-2012

2015 ◽  
Vol 11 (1) ◽  
pp. 10
Author(s):  
Wening Asriningsih
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
T Test ◽  
Rank Test ◽  
Signed Rank ◽  
Significant Difference ◽  
Wilcoxon Signed Rank Test ◽  
Stock Split ◽  
Before And After ◽  
Signed Rank Test

Abstrak: Analisis Abnormal Return dan Likuiditas Saham Sebelum dan Sesudah Stock Split Periode 2008-2012. Penelitian ini bertujuan untuk mengetahui perbedaan abnormal return dan likuiditas saham sebelum dan sesudah stock split di perusahaan yang terdaftar di Bursa Efek Indonesia periode 2008-2012. Penelitian ini menggunakan desain event study, dimana dilakukan pengamatan 10 hari sebelum dan 10 hari sesudah peristiwa. Analisis data yang digunakan dalam penelitian ini adalah Uji Paired Sampel t-test dan Uji Wilcoxon Signed Rank test. Hasil penelitian menunjukkan bahwa tidak terdapat perbedaan abnormal return namun terdapat perbedaan likuiditas yang signifikan sebelum dan sesudah stock split periode 2008-2012. Hasil penelitian ini juga menunjukkan bahwa stock split mampu meningkatkan likuiditas.Kata kunci: stock split, abnormal return, likuiditas.Abstract: The Analysis of Abnormal Return and Liquidity Before and After Stock Split in 2008-2012. This study is aimed to find out the differences abnormal return and liquidity before and after stock split at the companies listed for the period of 2008 – 2012. This study is using event study, in which the writer observed within 10 days before and 10 days after the event date. Data analysis that is uses in this research is Paired Sample t-test and Wilcoxon Signed Rank test. The result of the study show that: there was no differences in abnormal return but there was a significant difference in liquidity before and after stock split. The result of this study indicate the stock split may improve liquidity.Key words: stock split, abnormal return, liquidity

scholarly journals Analisis Reaksi Investor Sebelum Pengumuman dan Setelah Pencabutan Suspensi Saham

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.

scholarly journals Capital Market Reaction Against Political Events (Event Study of Demonstration 212 Peaceful Action )

2018 ◽  
Author(s):  
Sri Utami Ady
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Capital Market ◽  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Share Price ◽  
Stock Trading ◽  
Significant Difference ◽  
Before And After

This study aimed to explain the reaction of the capital market (Event study) 212 demonstrations peaceful protest events against the share price of PT Nippon Indosari Corpindo Tbk on December 2016. The study was conducted at PT Nippon Indosari Corpindo Tbk. As one of the companies affected directly the event. The data used the daily closing stock price data, daily stock trading volume, and the number of outstanding shares obtained from the Indonesia Stock Exchange. By using a t test analysis, there were three hypotheses in this study, namely whether the investor obtain abnormal return to their events (H1), whether there was a difference of abnormal return before and after the event (H2), whether there were differences in the volume of stock trading before and after the event (H3). Results of tests made clear that investors did not earn abnormal return to their peaceful protest demonstration event 212, the results of tests performed also explained that there was no significant difference in abnormal stock returns and trading volume before and after the event. This was because the Indonesian people already familiar with the demonstrations that occurred in the country, so that market participants were more calm in dealing with the situation. The reaction of investors to the event in the Indonesian capital market was quite low indicates the level of efficiency of the Indonesian capital market was still weak

scholarly journals Reaksi Pasar Modal terhadap Peristiwa Ekstrim dan Radikalisme (Studi Pasca Serangan Teroris di Surabaya)

2019 ◽  
Vol 10 (1) ◽  
pp. 59
Author(s):  
Sari Octavera ◽  
Febri Rahadi
Keyword(s):  
Stock Returns ◽  
Abnormal Return ◽  
Statistical Tests ◽  
Investor Sentiment ◽  
Bad News ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Before And After ◽  
Bomb Attack ◽  
Attack Data

Abstrak Penelitian ini bertujuan untuk melihat efek dari peristiwa ekstrim serangan terorisme yaitu Bom Surabaya pada 13 Mei 2018. Analisis terhadap Abnormal Return dilakukan untuk memperbandingan reaksi yang terjadi pra dan paska peristiwa tersebut. Hasil uji statistik beda dua rata-rata menunjukkan bahwa terdapat sentimen positif paska kejadian. Hal ini mengiplikasikan bahwasanya investor tidak merasa bahwa serangan terorisme merupakan gangguan yang besar terhadap investasi mereka. Perbandingan antara hari-hari pra dan paska serangan bom menunjukkan bahwa AAR hari kedua pra kejadian memiliki perbedaan yang signifikan dengan AAR hari ke 4 paska kejadian menunjukkan bahwa peristiwa pengeboman tidak termasuk sebagai bad news bagi pelaku pasar modal. Reaksi investor terhadap peristiwa serangan bom dilakukan dengan melihat nilai Cumulative average abnormal return (CAAR) dari data paska terjadinya serangan bom dan menunjukkan bahwa return saham perusahaan manufaktur cenderung stabil, dengan peningkatan dan penurunan yang tidak signifikan pada t+1 hingga t+5, yang menandakan bahwasanya tidak terbukti terjadi overreaction paska kejadian. Kata kunci:  Sentimen investor; fundamental perusahaan; over reaksi.   Abstract This study aims to see the effects of the extreme events of terrorism attacks namely the Surabaya Bomb on May 13, 2018. Analysis of Abnormal Return is carried out to compare the reactions that occur before and after the event. The results of two different statistical tests on average indicate that there is positive post-event sentiment. This implies that investors do not feel that terrorist attacks are a significant disruption to their investment. Comparison between the pre and post-bomb days shows that the AAR of the second day of the pre-event had a significant difference with the AAR on the 4th day after the incident indicating that the bombing event not included as bad news for capital market players. The investor's reaction to the bomb attack was carried out by looking at the value of Cumulative average abnormal return (CAAR) from post-bomb attack data and showing that manufacturing stock returns tend to be stable, with insignificant increases and decreases at t + 1 to t+5, which indicates that there is no evidence of post-event overreaction. Keywords: Investor Sentiment; firm’s fundamental; overreaction

scholarly journals ANALISIS REAKSI PASAR TERHADAP PENGUMUMAN RIGHT ISSUE (STUDI KASUS PADA SAHAM YANG TERDAFTAR DI ISSI)

2020 ◽  
Vol 6 (6) ◽  
pp. 1101
Author(s):  
Moch. Ali Fudin Al Islami ◽  
Imron Mawardi
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
T Test ◽  
Stock Index ◽  
Volume Activity ◽  
Statistical Tool ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Before And After ◽  
The Right

This research aims to find out and explain market reactioncaused by existing action corporate advertisement which is the right issue done by the issuer who was listed in Indonesia Sharia Stock Index period 2014-2016.There are 20 issuers who become the research sample with the period of observation is 29 days. The approach used in this research is quantitative approach by using event study method which is the approach that is specialized to analyze a particular event that is believed to have an impact or reaction. The focus of the research is to see the reaction shown by the change of Average Abnormal Return and Trading Volume Activity using one sample t-test and paired sample t-test. Data processing used a statistical tool of Stata version 14 by determining level of significance of 5%.The results of the research show that there is a significant average abnormal return before and after the right issue and there is a significant difference in trading volume activity before and after the right issue.Keywords: Sharia Stock, Right Issue, Abnormal Return, Trading Volume Activity

scholarly journals DAMPAK PENGUMUMAN KEBIJAKAN BI 7 DAYS REPO RATE PADA SAHAM YANG TERDAFTAR DALAMJAKARTA ISLAMIC INDEX

2020 ◽  
Vol 6 (4) ◽  
pp. 687
Author(s):  
Tisof Amri Izar Aminulloh ◽  
Ari Prasetyo
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
T Test ◽  
Volume Activity ◽  
Statistical Tool ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Event Date ◽  
Repo Rate

This research aims to find out and explain Jakarta Islamic Index market reaction caused by BI 7 Days Repo Rate announcement by Bank Indonesia on April 15th , 2016. The approach used in this research is quantitative approach by using event study method which is the approach that is specialized to analyze a particular event that is believed to have an impact or reaction. Data used is secondary data including announcement data, stock price, trading volume during the period of observation and period of estimation. The object of the research is all the issuer that listed in Jakarta Islamic Index. Period of observation is 31 days started from 15 days before the event date to 15 days after the event date meanwhile the period of estimation is 55 days before period of observation. The focus of the research is to see the reaction shown by the change of Average Abnormal Return and Trading Volume Activity using one sample t-test and paired sample t-test. Data processing used a statistical tool of Stata version 14 by determining level of significance of 5%. The results of the research show that there is a significant average abnormal return around the date of announcement and there is a significant difference in trading volume activity before and after the right issue.Keywords: BI 7 Days Repo Rate, Sharia Stock, Event Study, Average Abnormal Return, Trading Volume Activity

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