scholarly journals MENGGUNAKAN MD&A UNTUK MENINGKATKAN PERKIRAAN PENDAPATAN DAN REAKSI INVESTOR (STUDI EMPIRIS PERUSAHAAN GO PUBLIC DI INDEKS SAHAM SYARIAH INDONESIA)

2020 ◽  
Vol 4 (2) ◽  
pp. 309-332
Author(s):  
Mila Alim Bahri
Keyword(s):  
Corporate Governance ◽  
Stock Returns ◽  
Trading Volume ◽  
Stock Return ◽  
Annual Report ◽  
Market Reaction ◽  
T Test ◽  
Stock Index ◽  
Volume Activity ◽  
Purposive Sampling

Abstract This study aims to provide empirical evidence of investors' reactions to disclosure management discussion and analysis (MD&A) and Trading Volume Activity (TVA) in companies listed on the Indonesia Stock Exchange from 2013 to 2018. The motivation for this research is that there are not many studies in Indonesia. which investigated the effects of MD&A on investor decisions which are illustrated by the market reaction to stock returns and volume of trading activity (TVA). This research is a quantitative study using secondary data as a source of data collection with the population of companies registered in ISSI for the 2013-2018 period. With the purposive sampling technique, 30 companies were obtained based on the highest average daily transaction value in the regular market listed in the JII (Jakarta Islamic Index). The final data used in this study are those obtained from the Annual Report of companies listed on the Indonesian Sharia Stock Index (ISSI) and JII, the Corporate Governance Perception Index (CGPI) data from the survey results of The Indonesian Institute of Corporate Governance (IICG) for the period 2013-2018. Yahoo Finance Historical Prices list for the period 2013-2018, and SWA Magazine for the period 2013-2018. Then, hypothesis testing is carried out using multiple linear regression tests and partial non-parametric correlation. The results show that (1) there is a significant positive relationship of MD&A disclosure on stock returns and (2) there is a disclosure of a significant positive effect of MD&A on trading volume activities (TVA). This study also adds a paired sample t-test to find out the difference before and after the stock price and TVA. Keywords: Management's Discussion and Analysis (MD&A), Market Reaction, Stock Return, Trading Volume Activity.   Abstrak Penelitian ini bertujuan untuk memberikan bukti empiris dari reaksi investor terhadap pengungkapan manajemen diskusi dan analisis (MD&A) dan Trading Volume Activity (TVA) pada perusahaan yang terdaftar di Bursa Efek Indonesia pada tahun 2013 sampai dengan 2018. Motivasi penelitian ini adalah belum banyaknya studi di Indonesia yang menyelidiki efek MD&A pada keputusan investor yang diilustrasikan oleh reaksi pasar terhadap pengembalian saham dan volume aktivitas perdagangan (TVA). Penelitian ini merupakan penelitian kuantitatif dengan menggunakan data sekunder sebagai sumber pengumpulan data dengan populasi perusahaan yang terdaftar di ISSI periode 2013-2018. Dengan teknik Purposive Sampling sehingga diperoleh 30 perusahaan berdasarkan rata-rata nilai transaksi harian di pasar regular tertinggi yang terdaftar dalam JII (Jakarta Islamic Indeks). Data akhir yang digunakan dalam penelitian ini adalah yang diperoleh dari Annual Report perusahaan yang terdaftar di Indeks Saham Syariah Indonesia (ISSI) dan JII, data Corporate Governance Perception Index (CGPI) hasil survei The Indonesian Institute of Corporate Governance (IICG) periode 2013-2018, daftar Historical Prices Yahoo Finance periode 2013-2018, dan Majalah SWA periode 2013-2018. Kemudian, pengujian hipotesis dilakukan dengan menggunakan beberapa uji regresi linear dan korelasi non-parametrik parsial. Hasilnya menunjukkan bahwa (1) ada hubungan positif yang signifikan dari pengungkapan MD&A pada pengembalian saham dan (2) ada pengungkapan efek positif yang signifikan dari MD&A pada aktivitas volume perdagangan (TVA). Studi ini juga menambahkan pairedsampel t-test untuk mengetahui perbedaan sebelum dan sesudah harga saham dan TVA. Kata kunci: Management's Discussion and Analysis (MD&A), Market Reaction, Stock Return, Trading Volume Activity.

scholarly journals REAKSI PASAR MODAL INDONESIA TERHADAP PENERBITAN SUKUK KORPORASI

2020 ◽  
Vol 7 (11) ◽  
pp. 2221
Author(s):  
Dian Ayu Firtanasari ◽  
Muhammad Nafik Hadi Ryandono
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Positive Response ◽  
Abnormal Returns ◽  
T Test ◽  
Volume Activity ◽  
Paired Sample ◽  
Purposive Sampling

ABSTRAKPenelitian ini bertujuan untuk mengetahui reaksi pasar terhadap pengumuman penerbitan sukuk yang diukur dengan average abnoramal return dan average trading volume activity. Penelitian ini menggunakan pendekatan kuantitatif dengan menggunakan jenis penelitian event study. Populasi dalam penelitian ini adalah seluruh pengumuman penerbitan sukuk korporasi yang terdaftar di Bursa Efek Indonesia periode 2017-2020. Teknik pengambilan sampel dalam penelitian ini adalah purposive sampling yang kemudian diperoleh 17 tanggal pengumuman dari 8 perusahaan penerbit sukuk korporasi. Metode analisis yang digunakan dalam penelitian ini adalah one sample t-test dan paired sample t-test. Hasil penelitian ini adalah terdapat abnormal return negatif signifikan pada t-4 yang berarti terdapat reaksi pasar namun terdapat respon negatif dari investor, kemudian pada t-1,t-2,t-5,t+1,t+2,t+4, dan t+5 menunjukkan hasil negatif tidak signifikan yang berarti tidak terdapat reaksi pasar dan tidak ada respon baik dari investor. Pada t-3,t-0,t+2 dan t+3 yang menunjukkan hasil positif tidak signifikan yang berarti tidak terdapat reaksi pasar tetapi terdapat respon positif dari investor. Namun tidak terdapat perbedaan average abnormal return sebelum maupun sesudah penerbitan sukuk. Hasil juga menunjukkan terdapat trading volume activity positif signifikan pada t-2,t-3,t-4,t-5 dan t+2,t+3,t+4,t+5. Hal itu menandakan bahwa terdapat transaksi pembelian saham disekitar tanggal pengumuman penerbitan sukuk yang berarti terdapat respon positif dari para investor. Namun tidak terdapat perbedaan average trading volume activity sebelum maupun sesudah pengumuman penerbitan sukuk. Kata kunci: Reaksi Pasar, Event Study, Abnormal Return, Trading Volume Activity ABSTRACTThis study aims to determine the market reaction to the announcement of Sukuk issuance as measured by abnormal returns and trading volume activities. This research used a quantitative approach by using the type of event study research. The populations in this study were all announcements published on the Indonesia Stock Exchange for the 2017-2020 period. The sampling technique in this study was purposive sampling then obtained 17 of announcement dates from 8 corporate Sukuk issuing companies. The analytical method used in this study was a One-Sample t-test and Paired Sample t-test. The results of this study are there are significant negative abnormal returns on t-4, which means there is a market reaction but there is a negative response from investors, then at t-1, t-2, t-5, t+1, t+2, t+4, and t+5 show insignificant negative results, which means there is no market reaction and there is no good response from investors. Positive responses occur at t-3, t + 2, and t+3, which show insignificant positive results which means there is no market reaction but there is a positive response from investors. But there is no difference in the average abnormal returns before or after the Sukuk issuance. The results also show there is a significant positive trading volume activity on t-2, t-3, t-4, t-5 and t + 2, t + 3, t + 4, t + 5. This indicates that there were stock purchase transactions around the date of the announcement of the Sukuk issuance, which means there is a positive response from investors. But there is no difference in average trading volume activity before or after the announcement of the Sukuk issuance.  Keywords: Market Reaction, Event Study, Abnormal Return, Trading Volume Activity

scholarly journals Management discussion and analysis, corporate governance perception index and market reaction

2017 ◽  
Vol 14 (4) ◽  
pp. 165-175
Author(s):  
Lindrianasari Lindrianasari ◽  
Sondang Berliana Gultom ◽  
Liza Alvia
Keyword(s):  
Corporate Governance ◽  
Stock Returns ◽  
Capital Market ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Exchange ◽  
Volume Activity ◽  
Stock Trading ◽  
Market Participants ◽  
Investor Reaction

This research generally aims to provide empirical evidence on investor reaction to the disclosure of Management’s Discussion and Analysis of the companies listed on the Indonesia Stock Exchange in the period of 2011-2013. The motivation of this study is that there is no study in Indonesia concerning the presentation of the Management’s Discussion and Analysis that affect investors’ decision to invest in an enterprise, which is illustrated by the market reaction to stock returns and trading volume activity. There are 827 samples in this study in the period of 2011-2013. This study found that Indonesian capital market is responding to the disclosure of Management’s Discussion and Analysis provided by the company. The more complete disclosure of the information in the Management’s Discussion and Analysis, the better the market response. Corporate Governance Perception Index also responded positively and significantly to the stock trading volume. These findings indicate that the disclosure of information contained in Management’s Discussion and Analysis and Corporate Governance Perception Index utilised for market participants in Indonesia in decision-making.

scholarly journals REAKSI PASAR MODAL SYARIAH TERHADAP PENGUMUMAN DEFISIT NERACA PERDAGANGAN

2020 ◽  
Vol 7 (9) ◽  
pp. 1646
Author(s):  
Ichwan Abdillah ◽  
Puji Sucia Sukmaningrum
Keyword(s):  
Trade Balance ◽  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Index ◽  
Volume Activity ◽  
Purposive Sampling ◽  
Before And After ◽  
Adjusted Model ◽  
Balance Deficit

ABSTRAKTujuan dari penelitian ini yakni untuk menganalisis reaksi pasar dari investor sebelum dan sesudah pengumuman defisit neraca perdagangan terhadap abnormal return (AR) dan trading volume activity (TVA). Model yang digunakan untuk menghitung AR adalah Market-Adjusted Model yang didapat dari return indeks pasar yakni return pasar indeks harga saham gabungan (IHSG). Periode yang digunakan adalah 3 hari sebelum dan 3 hari sesudah pengumuman defisit neraca perdagangan. TVA digunakan untuk memperkirakan harga saham yang akan datang. Sampel dalam penelitian ini adalah saham yang tedaftar di BEI yang terrindeks di indeks saham syariah Indonesia (ISSI) menggunakan purposive sampling. Hasil menunjukkan tidak ada perbedaan yang signifikan pada AAR dan ATVA sebelum dan sesudah pengumuman defisit neraca perdagangan.Kata Kunci: reaksi pasar, study peristiwa, abnormal return, trading volume activity ABSTRACTThe purpose of this study is to analyze the market reaction of investors before and after the announcement of a trade balance deficit to abnormal return (AR) and trading volume activity (TVA). The model used to calculate the abnormal return is the Market-Adjusted Model obtained from market index returns, namely the market return of the composite stock price index. The periods used is 3 days before and 3 days after the announcement of a trade balance deficit. TVA is used to estimate future stock prices. The sample in this study is shares listed in the IDX that are indexed in the Indonesian Islamic stock index (ISSI) using purposive sampling. The results showed no significant differences in AAR and ATVA before and after the announcement of a trade balance deficit.Keywords: market reaction, event study, abnormal return, trading volume activity

scholarly journals ANALISIS PENGARUH VOLUME PERDAGANGAN SAHAM TERHADAP RETURN SAHAM PADA PERUSAHAAN PERAIH PENGHARGAAN ANNUAL REPORTING AWARD (ARA)TAHUN 2014

2016 ◽  
Vol 1 (01) ◽  
Author(s):  
Hamdan Firmansyah ◽  
Sri Hadijono
Keyword(s):  
Corporate Governance ◽  
Stock Returns ◽  
Trading Volume ◽  
Stock Return ◽  
Annual Report ◽  
Stock Exchange ◽  
Stock Trading ◽  
Good Corporate Governance ◽  
Award Winning ◽  
Before And After

Participation in the Annual Report Award 2014 is a manifestation of Good Corporate Governance and can be a means for companies to obtain input from various sources on how well the annual report and at the same time strengthen the company's presence in the industrial communities. The purpose of this study was to determine the effect of the volume of stock trading on stock return on the award-winning Annual Report Award (ARA) companies in 2014. It also determined empirically whether there were differences in the volume of stock trading and stock returns before and after the announcement of the Annual Report Award ( ARA) in 2014. The approach and type of this research was quantitative descriptive. The population in this study were the companies that became the winner of the award Annual Report Award (ARA) year 2014. The sample was the company went public listed on the Indonesia Stock Exchange (BEI) award recipient Annual Report Award (ARA) in 2014, as many as 11 companies. Data used by the author was secondary data, where the data was taken in the form of the annual closing price of those companies. As the announcement of ARA held on October 16, 2014, the period of this study conducted over 10 days, five days before the announcement (D - 5), and 5 days after the announcement (D + 5). The results showed that the t test for variable stock trading volume on stock returns had t count of -1.229 with a significant level of 0.222 where the sig value is greater than 0.05 (0.222> 0.05), it can be concluded that there is no significant effect on the correlation between the volume of stock trading on stock returns of the companies. The average mean trading volume of shares of the companies prior to the announcement was 0.0003782 compared to 0.0003703, after the announcement. It showed a decreasing of 0.00000795. It can be concluded that there were differences in the volume of stock trading company's award-winning Annual Report Award (ARA) in 2014 before and after the date announcement. The average stock return prior to the announcement was 0.0006284 and the average stock return after the announcement was 0.0044502. It increased by 0.0038218. It was concluded that there were no differences in stock returns of ARA award-winning companies in 2014 before and after the date of announcementKeywords: Good Corporate Governance, Annual Report Award, the volume of stock trading, stock returns

PENGARUH PENGUMUMAN DIVIDEN TUNAI TERHADAP ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY PADA PERUSAHAAN KEUANGAN YANG TERDAFTAR DI BURSA EFEK INDONESIA

2021 ◽  
pp. 42-48
Author(s):  
Evelin R.R Silalahi ◽  
Robasa Inriani Sianturi
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
T Test ◽  
Volume Activity ◽  
Paired Sample ◽  
Purposive Sampling

Penelitian ini bertujuan untuk menganalisis pengaruh pengumuman dividen tunai terhadap abnormal return saham dan trading volume activity sebelum dan sesudah pengumuman dividen. Populasi penelitian ini adalah semua perusahaan keuangan yang terdaftar di BEI di tahun 2016-2019. Sampel pada penelitian ini didapatkan dengan cara purposive sampling, dengan jumlah sampel 20 perusahaan. Teknik pengumpulan data menggunakan teknik dokumentasi. Metode analisis yang digunakan adalah uji paired sample t-test dengan menggunakan program SPSS 24. Hasil penelitian ini menunjukkan bahwa: (1) Pengumuman dividen tunai tidak berpengaruh terhadap abnormal return, hal ini dibuktikan dengan hasil uji paired sample t-test dengan tingkat signifikansi 0,948 (0,948>0,05) yang berarti tidak terdapat perbedaan rata-rata abnormal return yang signifikan antara sebelum dan sesudah pengumuman dividen tunai. (2) Pengumuman dividen tunai tidak berpengaruh terhadap trading volume activity, hal ini dibuktikan dengan hasil uji paired sample t- test dengan tingkat signifikasi 0,607 (0,607>0,05) yang berarti tidak terdapat perbedaan rata-rata trading volume activity yang signifikan antara sebelum dan sesudah pengumuman dividen saham. Kata kunci: Dividen tunai, Abnormal Return, dan Trading Volume Activity.

scholarly journals Analisis Volume untuk Perbandingan Minat Investor Disekitar Ex-Dividend Date pada Emiten Kategori LQ-45 Tahun 2017

2019 ◽  
pp. 175
Author(s):  
Byantoro Istahargyo ◽  
Made Gede Wirakusuma
Keyword(s):  
Trading Volume ◽  
T Test ◽  
Volume Activity ◽  
Paired Sample ◽  
Purposive Sampling ◽  
Tax Preference ◽  
Wilcoxon Sign Rank

Terdapat dua pendekatan yang menggambarkan keinginan investor yakni Bird in The Hand dan Tax Preference. Penelitian ini bertujuan untuk melihat pendekatan apa yang cenderung lebih di minati oleh investor Indonesia. Penelitian ini dilakukan pada volume saham perusahaan yang terdaftar dalam indeks LQ-45 yang terdaftar di Bursa Efek Indonesia (BEI) pada tahun 2017. Perusahaan yang dijadikan sampel dipilih menggunakan metode purposive sampling sehingga diperoleh sampel sebanyak 46 perusahaan. Volume perdagangan saham diukur dengan Trading Volume Activity (TVA). Teknik analisis yang digunakan dalam penelitian ini adalah uji statistik deskriptif, uji normalitas, paired sample t test dan wilcoxon sign rank test.Berdasakan hasil pengujian dapat disimpulkan bahwa terdapat perbedaan yang signifikan antara volume perdagangan saham sebelum dan sesudah ex-dividend date. Hal ini menunjukkan bahwa peristiwa ex-dividend date mempengaruhi aktivitas volume perdagangan saham dan direspon oleh investor. Kata kunci : TVA, Volume Perdagangan Saham , Ex-Dividend Date.

scholarly journals Market Reaction Analysis of Annual Report Award Announcement: An Event Study Using Abnormal Return, Trading Volume Activity, and Stock Price

2020 ◽  
Vol 4 (1) ◽  
pp. 340
Author(s):  
Fitri Astuti ◽  
Anggi Setya Prayoga
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Annual Report ◽  
Market Reaction ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Event Window ◽  
Before And After

This study intends to examine the differences in market reaction around the announcement of the Annual Report Award which is not only measured by abnormal return but is also measured using trading volume activity and stock prices. The data used are quantitative data in the form of a list of companies that received the Annual Report Award for the 2015-2018 period, the daily closing price of the ARA-winning company in the event window, the composite stock price index, the number of shares traded, and the number of shares outstanding. The event window is selected for 11 days because the long window period will blend with the effects of other events or confounding effects. The results of the study concluded that the market reacted around the announcement of the Annual Report Award for the 2015-2018 period measured using abnormal returns, trading volume activity, and stock prices. There is no difference in abnormal returns before and after the announcement of the 2013-2016 Annual Report Award period. Instead there are differences in trading volume activity and stock prices before and after the announcement of the Annual Report Award for the 2015-2018 period.

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.  

scholarly journals Reaksi Pasar Modal Atas Kenaikan The Federal Funds Rate Pada Tanggal 26 September 2018

2019 ◽  
Vol 29 (2) ◽  
pp. 854
Author(s):  
Anak Agung Gede Agung Indrayuda ◽  
I Made Sukartha
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Abnormal Returns ◽  
T Test ◽  
Stock Index ◽  
External Information ◽  
Volume Activity ◽  
Federal Funds ◽  
Federal Funds Rate

In the modern economic system, the role of the capital market is very important as a place where emiten and investors meet. Internal information and external information are needed by investors as a basis for consideration in investment decision making. By looking at the presence or absence of average abnormal returns and average trading volume activity around the event period, this study aims to examine the market reaction to the Federal Funds Rate increase on September 26, 2018. LQ45 is a stock index used as a sample in this study using a purposive sampling technique as a method in sample selection. This study uses one sample t-test, paired sample t-test, and Wilcoxon signed rank test as data analysis techniques. The finding of the significance of average trading volume activity around the event period indicates that the market reacted to the FFR increase on September 26, 2018. However, the results of the study showed no significance of average abnormal return around the event period. Keywords: event study, abnormal return, trading volume activity. Keywords : Event Study; Abnormal Return; Trading Volume Activity.

scholarly journals PENGUJIAN REAKSI INVESTOR TERHADAP PENGUMUMAN KABINET INDONESIA MAJU

2020 ◽  
Vol 7 (1) ◽  
pp. 21-40
Author(s):  
Rexza Bramesta
Keyword(s):  
Stock Prices ◽  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
T Test ◽  
Volume Activity ◽  
Political Event ◽  
Paired Sample ◽  
Significant Difference ◽  
Before And After

Capital markets are relevantly influenced by political event. This research aimed to analyze the market reaction on the announcement of cabinet of Indonesia Maju on October, 23 2019. Market reaction is measured by abnormal return and trading volume activity. This study used 44 companies from LQ45 group’s stock prices as population and used event study method to identify market reaction. The window event is 11 day long (t-5 – t+5). The statistical test used to test the hypotheses is simple t-test and paired sample test. The result of the statistical calculation of simple t-test showed there are no significant abnormal return around the date of the event. It means that investors do not respond to the event of newly cabinet announcement. The result of paired sample t-test showed there are no significant difference between the average abnormal return and trading volume activity obtained by sample companies listed in LQ45 index before and after the announcement of cabinet of Indonesia Maju.

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