scholarly journals CAPITAL MARKET REACTION BEFORE AND AFTER THE ANNOUNCEMENT OF THE FIRST CASE OF COVID-19 IN INDONESIA

2021 ◽  
Vol 2 (2) ◽  
pp. 301-312
Author(s):  
Sarlina Sari
Keyword(s):  
Abnormal Return ◽  
Quantitative Research ◽  
Stock Exchange ◽  
Comparative Method ◽  
Abnormal Returns ◽  
Market Capitalization ◽  
First Case ◽  
Significant Difference ◽  
Before And After ◽  
Sample Test

This study aims to determine the differences in abnormal return, frequency of trade, and market capitalization before and after the informations regarding the first reporting of COVID-19 in Indonesia on the Indonesia Stock Exchange. The research population is all companies that entered into Top Leadings in Market Capitalization companies on the Stock Exchange in the period Februari – April 2020, namely as many as 50 companies. The sample in this study was taken using the census method, meaning that the number of samples taken was equal to the number of members of the population. To test the hypothesis of this study using a paired sample test. The observation began 30 days before the event and 30 days after the event. This study uses quantitative research in the comparative method. The finding show that the information caused the market was approved. This is proven by the existence of significant results in daily tests on the indicators. The results were also significant in the combined abnormal return test and the combined market capitalization test. The trade comparison test results show a significant difference which means there was a market-panic towards trading activities after the event that caused some frequency differences, before and after the event in terms of trade transactions. So, the results of this study indicate that there are differences in abnormal returns, frequency of trade, and market capitalization before and after the announcement of the informations regarding the first reporting of COVID-19 in Indonesia.

scholarly journals REAKSI PASAR MODAL TERHADAP PERISTIWA VIRUS CORONA (COVID-19) PADA PERUSAHAAN MAKANAN DAN MINUMAN YANG TERDAFTAR DI BURSA EFEK INDONESIA

2020 ◽  
Vol 7 (2) ◽  
Author(s):  
Inri B. Sambuari ◽  
Ivonne S. Saerang ◽  
Joubert B. Maramis
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Virus Disease ◽  
Comparative Method ◽  
Market Capitalization ◽  
First Case ◽  
Significant Difference ◽  
Before And After ◽  
The Capital Market

The capital market is not only a funding facility for the companies but also means for investment activities. So many roles of the capital market in economic activities will have an impact on the sensitivity of the market reaction to events that occur. At the end of 2019, a new virus emerged in China, called the Corona Virus Disease 2019 or COVID-19. In Indonesia, the first case of COVID-19 was approved directly by President Joko Widodo on March 2020. The purpose of this research is to discover informations regarding the first reporting of COVID-19 in Indonesia, as well as abnormal return, frequency of trade, and market capitalization before and after the event. The observation began 30 days before the event and 30 days after the event. This study uses quantitative research in the comparative method. The sample uses judgment sampling with total of 22 food and beverage companies listed on the Indonesia Stock Exchange. The finding show did not contain information that caused the market to be disapproved. This is proven by the absence of significant results in daily tests on the indicators. The results were also not significant in the combined abnormal return test and the combined market capitalization test. The trade comparison test results show a significant difference which means there was a market-panic towards trading activities after the event that caused some frequency differences, before and after the event in terms of trade transactions.Keywords: Event Study, Abnormal Return, Trading Frequency, Market Capitalization

scholarly journals Indonesia stock exchange: Abnormal return amid pandemic

2021 ◽  
Vol 6 (01) ◽  
pp. 15-20
Author(s):  
Gunistiyo Gunistiyo ◽  
Jaka Waskito ◽  
Yuni Utami
Keyword(s):  
Abnormal Return ◽  
Time Window ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Investment Decisions ◽  
The Other ◽  
Market Reactions ◽  
First Case ◽  
Significant Difference ◽  
Before And After

This study aims to reveal the behavior of investors on the Indonesia Stock Exchange (IDX) before and during (early) the COVID-19 pandemic. This study is an extension of references to understand market reactions in response to future crises. This study is an event study with a time window of 76 trading days before and after the first case was officially announced by the authorities in Indonesia. Taking a sample of stocks included in the Liquid Index (LQ) 45, this study measures the abnormal return and transaction volume during the pre and post-first official announced cases and test the whole data by t-test. The results of data analysis indicate that there is no difference in abnormal returns, but there is a significant difference in transaction volume. These findings indicate that, in general, the Indonesian market is quite efficient, as evident from the absence of different abnormal returns. On the other hand, the market also appears to be cautious in making investment decisions amid uncertainty.

scholarly journals Dampak pandemi Covid-19 terhadap harga saham dan aktivitas volume perdagangan (Studi kasus saham LQ-45 di Bursa Efek Indonesia)

2020 ◽  
Vol 2 (2) ◽  
pp. 204
Author(s):  
Galuh Artika Febriyanti
Keyword(s):  
Stock Prices ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Company ◽  
First Case ◽  
Significant Difference ◽  
Before And After ◽  
Sample Test ◽  
The Impact

The purpose of this research to examine the impact of the Covid-19 on stock prices and trading volume activity on listed firms of Index LQ-45 on the Indonesia Stock Exchange. The first case of the Covid-19 in Indonesia was announced on March 2nd, 2020. This research is to find out whether there are average abnormal returns and transaction volume of the stock company listed in Index LQ-45 before and after of event the first case of the Covid-19 in Indonesia was announced on March 2nd, 2020. These data have been taken for 30 days before and 30 days after the first announcement of Covid-19 in Indonesia. The result of the paired sample test shows that there is a significant difference in the abnormal return of stock company listed in index LQ-45 between before and after the first announcement of the Covid-19 case in Indonesia. This is indicated by the significance value of 0,008 < 0,05 which the stock prices decreased after the first announcement of the Covid-19 case in Indonesia. The volume transaction also shows different significance. The transaction volume after the announcement of shares shows an increasing value.

scholarly journals Pengaruh Employee Stock Ownership Program Terhadap Average Abnormal Return Perusahaan Perbankan

2020 ◽  
Vol 1 (1) ◽  
pp. 47-55
Author(s):  
Agung Suprayogi ◽  
Abdul Basyith
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Ownership ◽  
Employee Stock Ownership ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Before And After

This research was conducted to see the effect of the implementation of the Employee Stock Ownership Program on average abnormal returns of banking companies before and after applying ESOP and trading volume. The aim is to find out the difference in average abnormal return before and after applying the ESOP. The variable used in this study is average abnormal return. The period of this research event is 20 days, 10 days, 5 days and 1 day which are divided before and days after the date of application. This study examines banking companies that apply the Employee Stock Ownership Program listed on the Indonesia Stock Exchange so that data is obtained from trading in the company's stock price. The sampling criteria used a purposive sampling method in order to obtain 9 samples. The hypothesis method used in the normally distributed data is Paired Samples T-test. The result is that all average abnormal return periods both on the first and the last date of the ESOP application have a significant value >0.05, which means that the entire event period of the variable is proven to have no significant difference both before and after the banking company applies the Employee Stock Ownership Program.

scholarly journals THE ANALYSIS OF ABNORMAL RETURN, LIQUIDITY AND STOCK RISK DIFFERENCE DURING PRE AND POST STOCK SPLIT IN IDX PERIOD 2010 – 2014

2017 ◽  
Vol 8 (1) ◽  
pp. 20
Author(s):  
Umi Mardiyati ◽  
Rachmattullah Rachmattullah ◽  
Gatot Nazir Ahmad
Keyword(s):  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Sampling Period ◽  
Risk Difference ◽  
Rank Test ◽  
Distribution Data ◽  
Significant Difference ◽  
Stock Split ◽  
Before And After

This study aimed to analyze the differences of abnormal return, liquidity and risk stock before and after the stock split on companies listed in Indonesia Stock Exchange 2010 - 2014. The sample are 29 companies selected by purposive sampling. Period of observations used in this study is 5 days before the stock split and 5 days after the stock split. The analysis technique used is the Kolmogorov-Smirnov test for normality test, paired sample t-test for normally distributed data and Wilcoxon signed rank test if distribution data is not normal. Results from the study showed that there is no significant difference in abnormal returns between before and after stock split period, there are differences in liquidity between the before and after stock split period and there is no difference in stock risk between before and after the stock split period.   Keywords : Stock Split, Abnormal Return, Liquidity, Stock Risk

scholarly journals DAMPAK COVID-19 TERHADAP ABNORMAL RETURN DAN VOLUME PERDAGANGAN SAHAM

2022 ◽  
Vol 18 (1) ◽  
pp. 160-181
Author(s):  
Elvina Cahya Suryadi ◽  
Nungky Viana Feranita
Keyword(s):  
Natural Disaster ◽  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Quantitative Research ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Before And After ◽  
Disaster Event

The COVID-19 pandemic is a non-natural disaster that has a huge impact around the world. This research is a quantitative research with event study method. The purpose of this research is to test the capital market reaction by looking at abnormal returns and trading volume activity before and after the COVID-19 non-natural disaster. The event day in this study was April 13rd, 2020 when the Presidential Decree was issued regarding the designation of COVID-19 as a national disaster. Using purposive sampling method, the sample of this study were 27 companies engaged in the hotel, restaurant, and tourism sub-sectors listed on the Indonesia Stock Exchange. The event period is 11 days, namely 5 days before the event, 1 day at the time of the event and 5 days after the event. Data analysis using t-test and wilxocon signed ranks test. The results of this study are: 1) there is no abnormal return during the event period, 2) there is no difference in the average abnormal return before and after the COVID-19 non-natural disaster event, 3) there is no difference in the average trading volume activity before and after the COVID-19 non-natural disaster event and after the COVID-19 non-natural disaster event. Keywords: Event Study, Abnormal Return, Trading Volume Activity, COVID-19.

scholarly journals ANALISIS REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA PELEDAKAN BOM BUNUH DIRI DI SURABAYA (Studi Kasus pada Perusahaan LQ 45 yang Terdaftar Di Bursa Efek Indonesia)

2019 ◽  
Vol 5 (2) ◽  
Author(s):  
Jumriaty Jusman
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Suicide Bombing ◽  
Market Reactions ◽  
Suicide Bombers ◽  
Significant Difference ◽  
Before And After ◽  
Adjusted Model

Abstract: This research is conducted on the basis of observations of events that occur in the country that can prevent security stability. One of the effects of these events is a market reaction. The purpose of this study was to determine whether the capital market reacted to the suicide bombings that occurred in Surabaya, by observing the Abnormal Return behavior obtained by investors and the difference in Avarage Abnormal Return on the Indonesia Stock Exchange (BEI) before and after the bombing. This research was conducted using the event study method with the Market Adjusted Model approach. The sample used is a company whose shares have been listed and included in the calculation of the LQ-45 index. Statistical test of Abnormal Return, Avarage Abnormal Return using paired sample t -test. The results of the first hypothesis testing are accepted, because there is a significant abnormal return for investors due to the explosion of Suicide Bombers in Surabaya. While the results of testing the second hypothesis were rejected, because there was no significant difference obtained by investors between Avarage Abnormal Return before and after the suicide bombing in Surabaya Keywords: Abnormal returns, Event Studies, Bombs in Surabaya, LQ-45, Market Adjusted Models, Market Reactions Abstrak: Penelitian ini dilukan atas dasar pengamatan terhadap peristiwa-peristiwa yang terjadi di dalam negeri yang dapat menggaggu stabilitas keamanan. Salah satu dampak dari peristiwa (event) tersebut yaitu terjadi reaksi pasar. Tujuan penelitian ini adalah untuk mengetahui apakah pasar modal bereaksi terhadap peristiwa Bom Bunuh diri yang terjadi di Surabaya, dengan mengamati perilaku Abnormal Return yang diperoleh oleh investor serta perbedaan Avarage Abnormal Return di Bursa Efek Indonesia (BEI) sebelum dan sesudah peristiwa Bom tersebut. Penelitian ini dilakukan dengan metode event study dengan pendekatan Market Adjusted Model. Sampel yang digunakan adalah perusahaan yang sahamnya telah tercatat dan masuk  dalam perhitungan indeks LQ-45. Uji statistik terhadap Abnormal Return , Avarage Abnormal Return menggunakan Uji t. Hasil pengujian hipotesis pertama diterima, karena terdapat Abnormal Return signifikan bagi investor yang diakibatkan peristiwa peledakan Bom Bunuh Diri di Surabaya.  Sedangkan hasil pengujian hipotesis kedua ditolak, karena tidak ada perbedaan signifikan yang diperoleh investor antara Avarage Abnormal Return sebelum dan sesudah peristiwa Bom bunuh diri di Surabaya Kata kunci : Abnormal return, Event Study , Bom di Surabaya, LQ-45, Market Adjusted Model, Reaksi Pasar

scholarly journals Analisis Komparatif Abnormal Return dan Trading Volume Activity Emiten Sektor Mining Berdasarkan Pengumuman Kasus Pasien Covid-19 Pertama di Indonesia

2021 ◽  
Vol 9 (3) ◽  
pp. 979-989
Author(s):  
Lailatul Akhadiyah ◽  
Yuyun Isbanah
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Quantitative Research ◽  
Comparative Method ◽  
Sampling Technique ◽  
Rank Test ◽  
Volume Activity ◽  
First Case ◽  
Before And After ◽  
Long Time

On March 2nd 2020, the first case of Covid-19 was found in Indonesia. The purpose of this research is to analyze the reaction of the Indonesian capital market to the first case of Covid-19 using average abnormal return (AAR), cumulative abnormal return (CAR), and trading volume activity (TVA) before and after the event. The observation began seven days before and seven days after that event. The population of this research uses the data of mining sector companies listed in February and March 2020 on the BEI. The sampling technique used is purposive sampling with a total of 41 mining companies. This study uses quantitative research and the comparative method the research testing by Wilcoxon Signes Rank Test. The result showed no differences in AAR, CAR, and TVA of mining sectors between before and after the announcement of the first cases of Covid-19. Investors are expected to be more careful in making investment decisions because this pandemic has occurred for a long time and around the world.

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 Kinerja Keuangan, Abnormal Return Sebelum dan Setelah Pengumuman Merger

2017 ◽  
Vol 1 (1) ◽  
pp. 73
Author(s):  
Farid Addy Sumantri
Keyword(s):  
Financial Performance ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Profit Margin ◽  
Current Ratio ◽  
Return On Equity ◽  
Net Profit ◽  
Before And After ◽  
Price Earnings Ratio

This study aims to examine the differences infinancial performance and abnormal returns in the period before and after the announcement of the merger of the companies listed on the Stock Exchange in the period 2004-2013. In this study the measurement of financial performance using four financial ratios which are the current ratio (CR), the net profit margin (NPM), return on equity(ROE) and price earnings ratio (PER), while the abnormal return is measured using the market return and the actual return. This study used purposive sampling in the sampling study. Company samples tested here are 8 companies from various different types of industries. Hypothesis testing is performed using paired sample t test with a confidence level of 5%. The test results of financial performance in the proxy with the current ratio (CR), the net profit margin (NPM), return on equity (ROE) and price earnings ratio (PER) its how sthe difference before and after the announcement of the merger on the companies listed on the Stock Exchange period 2004-2013.

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