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

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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Reaksi Pasar terhadap Peristiwa Politik 2019 di Indonesia

E-Jurnal Akuntansi ◽

10.24843/eja.2021.v31.i07.p11 ◽

2021 ◽

Vol 31 (7) ◽

pp. 1746

Author(s):

Ni Luh Dea Kemuning ◽

Ida Bagus Teddy Prianthara ◽

I Made Andika Pradnyana Wistawan

Keyword(s):

Hypothesis Testing ◽

Abnormal Return ◽

Trading Volume ◽

Abnormal Returns ◽

Vice President ◽

Volume Activity ◽

Security Return ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After

This study examines the information content in political events in 2019, namely the appointment of the president and vice president and the announcement of the Kabinet Indonesia Maju. Market reaction is measured by abnormal returns, security return variability, and trading volume activity. The observation period in this study was five days before and after the event, with a sample of 20 companies affiliated with the winner of the election and 25 companies at the announcement of the Indonesian Maju Cabinet. The results of hypothesis testing indicate that there is a difference in the average abnormal return in the event of the appointment of the elected president and vice president, but there is no difference in security return variability and trading volume activity. Furthermore, hypothesis testing shows that there is a significant difference in average trading volume activity before and after the announcement of the Kabinet Indonesia Maju, but there is no difference in abnormal return and security return variability. Keywords: Market Efficiency; Event Studies; Abnormal Returns; Security Return Variability; Trading Volume Activity.

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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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Study of Comparison of Stock Performance Before And After Doing Split Stock In Go Public Companies That Are Listing on The Idx Period 2013 – 2015

Aptisi Transactions On Technopreneurship (ATT) ◽

10.34306/att.v2i1.48 ◽

2019 ◽

Vol 2 (1) ◽

pp. 1-17

Author(s):

R.A. Norromadani Yuniati ◽

Latof Syeikhur Rabbani ◽

Mirza Safitri Agatha Putri

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Rank Test ◽

Volume Activity ◽

Security Return ◽

Significant Difference ◽

Stock Split ◽

Before And After ◽

The Difference

This study aims to determine the difference in abnormal return, trading volume activity, and security return variability before and after the stock split announcement on companies listed on the Indonesia Stock Exchange for the period 2013 - 2015. Testing the information content will be done by looking at differences in average abnormal return, average security return variability and average trading volume activity five days before and five days after the announcement of the stock split. The data analysis method that will be used is descriptive statistical analysis and different tests before and after the stock split announcement using the Wilcoxon signed rank test. The results of this study indicate that there are significant abnormal return differences before and after the stock split announcement, there is no significant difference in trading volume activity before and after the stock split announcement, and there is no significant difference in security return variability before and after the stock split announcement.

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REAKSI PASAR TERHADAP PENGUMUMAN CASH DIVIDEND PADA PERUSAHAAN YANG TERGABUNG DALAM INDEKS KOMPAS 100

E-Jurnal Manajemen Universitas Udayana ◽

10.24843/ejmunud.2020.v09.i03.p09 ◽

2020 ◽

Vol 9 (3) ◽

pp. 988

Author(s):

I Putu Agus Ary Raditya Juliana ◽

Ica Rika Candraningrat

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Participant Observation ◽

Abnormal Returns ◽

Public Information ◽

Rank Test ◽

Cash Dividend ◽

Volume Activity ◽

Before And After

The purpose of this study is to determine the market reaction to the announcement of cash dividends, by looking at differences in abnormal return and trading volume activity before and after the cash dividend announcement. Dividend announcement is an event that affects the market, because the company provides information to the public. Information provided by the company will influence investors' decision making and will act on that information. The sample of this study amounted to 33 of the 100 companies incorporated in the Kompas 100 index on the Indonesia Stock Exchange (IDX). The data collection method uses non-participant observation, which is document observation. The analysis technique used is Paired-Sample T Test and Wilcoxon-Signed Rank Test. The results showed that there were no differences in abnormal returns and trading volume activity before and after the distribution of cash dividends. Keywords: cash dividend, abnormal return, trading volume activity

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Analisis Perbandingan Reaksi Investor Sebelum Dan Sesudah Pengumuman Indonesia Sustainability Reporting Awards (ISRA)

Al-Buhuts ◽

10.30603/ab.v14i01.468 ◽

2018 ◽

Vol 14 (02) ◽

pp. 123-143

Author(s):

Dwi Yana Amalia Sari Fala ◽

Septy Indra Santoso ◽

Ariska Amanda

Keyword(s):

Hypothesis Testing ◽

Abnormal Return ◽

Trading Volume ◽

Sampling Method ◽

Abnormal Returns ◽

Sustainability Reporting ◽

Test Results ◽

Volume Activity ◽

Paired Sample ◽

Before And After

The purpose of this research to analyze the reaction of investors, as measuring by differences in abnormal returns and trading volume activity before and after the announcement of Indonesia sustainability reporting awards in 2016. Using purposive sampling method was obtained Sample of research 10 companies with observation for three days before and three days after announcement. The Hypothesis testing used paired sample t-test. Results of the first hypothesis testing show that happen differences abnormal return before and after the announcement of Indonesia sustainability reporting awards but not significant, testing the second hypothesis too shows that are differences in trading volume activity before and after the announcement of Indonesia sustainability reporting awards but not significant.

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Analisis Perbandingan Trading Volume Activity, Bid-Ask Spread dan Abnormal Return Sebelum dan Sesudah Adanya Pengumuman Stock Split pada Perusahaan yang Terdaftar di Bursa Efek Indonesia Periode Januari 2015-Oktober 2018

Telaah Bisnis ◽

10.35917/tb.v19i2.172 ◽

2020 ◽

Vol 19 (2) ◽

pp. 95

Author(s):

Anis Zakiyah ◽

Hari Nurweni

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Abnormal Returns ◽

Rank Test ◽

Volume Activity ◽

Bid Ask Spread ◽

Stock Split ◽

Before And After ◽

Signed Rank Test

This study aims to analyze the differences in trading volume activity, bid-ask spread, and abnormal returns before and after the announcement of a stock split in companies listed on the Indonesia Stock Exchange from January 2015 to October 2018. A sample of 39 companies announced a stock split during the period are selected based on certain criteria. The Wilcoxon Signed Rank test is used to analyze the differences in trading volume activity, bid-ask spread, and abnormal returns, five days before and after the announcement. The use of nonparametric statistical analysis was carried out because the data were not normally distributed. The results show that there is no difference in trading volume activity around the announcement of the stock split. On the other hand, the bid-ask spread and abnormal return are statistically different around the announcement of the stock split.

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The Reaction Of The Indonesian Capital Market When Indonesia Experiences Recession In 2020

Academia Open ◽

10.21070/acopen.5.2021.2210 ◽

2021 ◽

Vol 5 ◽

Author(s):

Rony Yulian Putra Santoso ◽

Heri Widodo

Keyword(s):

Capital Market ◽

Abnormal Return ◽

Trading Volume ◽

Quantitative Research ◽

Sampling Technique ◽

Rank Test ◽

Research Approach ◽

Volume Activity ◽

Security Return ◽

Before And After

This study aims to explain whether or not there is evidence of differences in abnormal return, trading volume activity, and security return variability of companies listed in the LQ45 index on the IDX before and after the November 2020 recession announcement. This study uses quantitative research approach. The LQ45 index is the research population used in this study. Meanwhile, to determine the research sample in this study using purposive sampling technique. The Wilcoxon Signed Rank Test is a data analysis technique used. Based on the results of the research, the abnormal return indicator gives a change with sig. 0.012. Trading volume activity changes with sig. 0.000. Security return variability provides changes with the value of sig. 0.026. So it can be concluded that in the event of an announcement of a recession there is a capital market reaction to companies listed in the LQ45 index.

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Pengumuman Perhitungan Baru Indeks LQ45 dan IDX30: Apakah Ada Reaksi pada Pasar Modal Indonesia?

Esensi Jurnal Bisnis dan Manajemen ◽

10.15408/ess.v9i1.10642 ◽

2019 ◽

Vol 9 (1) ◽

pp. 27-40

Author(s):

Rizal Agus Bimantara ◽

Ely Siswanto ◽

Yuli Soesetio

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Sampling Method ◽

Statistical Tests ◽

Abnormal Returns ◽

Rank Test ◽

Volume Activity ◽

Average Abnormal Return ◽

Before And After ◽

Wilcoxon Sign Rank

This study discusses whether there an influence from the announcement of the newcalculation of LQ45 and IDX30 index. This study uses indicators of abnormal return, cumulative abnormal return, and trading volume activity as a measure of market reaction. The population of this study is the companies incorporated in the IDX30 index. The sampling method uses purposive sampling method and obtained sample of 20 companies.The window period in this study is 11 days. Statistical tests using paired sample t-test and Wilcoxon sign rank test. The results of this study indicate there are no differences in the average abnormal return and trading volume activity before and after the event. There are differences in cumulative abnormal returns before and after events. This shows that investors have anticipated the news and the market has adjusted to a new balance before the announcement of the new LQ45 and IDX30 index calculations officially applied.

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Analisis Reaksi Pasar Modal Atas Pengumuman Kenaikan BI Rate Tanggal 12 November 2013

Jurnal Maksipreneur Manajemen Koperasi dan Entrepreneurship ◽

10.30588/jmp.v6i2.302 ◽

2017 ◽

Vol 6 (2) ◽

pp. 56

Author(s):

Dwi Cahyaningdyah ◽

Nidya Arum Cahyasani

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Market Reaction ◽

Abnormal Returns ◽

Sampling Technique ◽

Volume Activity ◽

Stock Market Reaction ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After

<p><span class="fontstyle0">The purpose of this study was to analyze differences in the market reaction, as measured by abnormal returns and trading volume activity in the period before and after the announcement of the increase in the BI Rate. This study uses event study research design, observation period were 10 days before and 10 days after the event. The populations in this study were all members of LQ45 companies. The study sample was taken by purposive sampling technique. The method of data collection is the documentation. The variables of this study are the abnormal return and trading volume activity. The analysis used in this study is different test paired sample t-test. Based on the research results, the stock market reaction test showed no significant difference between the average abnormal return before and after the announcement of the increase in the BI Rate. While testing the reaction by using the average trading volume activity indicators showed a significant difference between the periods before and after the announcement of the increase in the BI Rate.</span></p>

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

EkBis Jurnal Ekonomi dan Bisnis ◽

10.14421/ekbis.2020.4.1.1186 ◽

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.

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