Abnormal Return, Volume Activity Trading, and Their Signification of Indonesia Stock Exchange Index Share Prices Before and After the Ex-Dividend Date

2019 ◽  
Vol 2 (2) ◽  
pp. 61-69
Author(s):  
Andini Nurwulandari
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Critical Role ◽  
Secondary Data ◽  
Business Community ◽  
Stock Index ◽  
Primary Data ◽  
Before And After

The stock market plays a critical role as a means of finance for the business community as an agency that promotes the execution of national growth. On the other hand, a capital market is also a place of investment for the community, including medium and small investors. This research uses a qualitative research type. Stock values, irregular returns, and trading volume behavior in members of the Indonesia Stock Exchange Index are the focus of this study. Primary data from the IDX was used as the database. Secondary data are used in this analysis. Closing values, the Indonesia Stock Exchange stock index, daily stock trading volume, and the number of outstanding shares were among the data sources used in this analysis. A paired sample t-test was used to test hypotheses. The results indicate a significant increase in overall stock price and market volume before and after the ex-dividend period, but no difference in the average abnormal return.

PERBEDAAN ABNORMAL RETURN DAN VOLUME PERDAGANGAN SAHAM SEBELUM DAN SESUDAH PENGUMUMAN SUSTAINABILITY REPORTING AWARD (SRA) TAHUN 2017

SIMAK ◽  
2018 ◽  
Vol 16 (01) ◽  
pp. 62-78
Author(s):  
Alpius Ada ◽  
Robert Jao ◽  
Beauty Beauty
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Secondary Data ◽  
Sustainability Reporting ◽  
Before And After ◽  
Wilcoxon Sign Rank ◽  
Adjusted Model ◽  
Observation Period

This study aims to prove empirically the differences of abnormal return and tradingvolume that occurred before and after the announcement of Sustainability ReportingAward (SRA) in 2016. The number of samples used in this study were 9 companiesconsisting of listed companies in Indonesia Stock Exchange which won the SRA 2016award by using sustainability reporting as indicators based on GRI G-4. The data usedare secondary data in the form of daily closing stock price, composite stock price index(IHSG), and daily stock trading volume obtained from www.idx.co.id andwww.finance.yahoo.com with 11 days observation period. Calculation of abnormalreturn using market-adjusted model while for trading volume of stock using tradingvolume activity (TVA). Hypothesis testing is done by using Wilcoxon Sign Rank test.The results showed that there was no difference in abnormal return and stock tradingvolume before and after thevannouncement of Sustaianability Reporting Award (SRA)in 2016.

scholarly journals Analisis Reaksi Investor di Bursa Efek Indonesia pada Pelantikan Joko Widodo

2020 ◽  
Vol 12 (1) ◽  
pp. 50
Author(s):  
Komang Lia Karina ◽  
I Nyoman Sujana ◽  
M. Rudi Irwansyah
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Wilcoxon Test ◽  
Stock Index ◽  
Stock Trading ◽  
Significance Level ◽  
Significant Difference ◽  
Before And After

This study aimed to analyze the reaction of investors on Indonesia Stock Exchange to the inauguration of the 8th President by observing whether there were any significant differences in abnormal returns and stock trading volume activities before and after the event. The observation period used in this study was 10 days, with details of each 5 days before and after the President's inauguration event that occurred on 20 October 2019. This research was quantitative research and used daily transaction data on the market capital as a secondary data source. The samples used were companies that were included in the LQ45 stock index for the period August 2019 - January 2020. A non-parametric test in the form of Wilcoxon test was used to test the hypothesis. The results of this study showed that there were no significant difference in abnormal return and stock trading volume activity in the period before and after the event. This was evidenced by the probability value above the significance level of 5%. Thus, the results of this study were stated that there was no reaction from the investor related to the event of the inauguration of the 8th President in Indonesia.

scholarly journals Analisis Efek Ramadhan Terhadap Abnormal Return dan Trading Volume Activity pada Perusahaan Yang Masuk dalam Jakarta Islamic Index (JII) di Bursa Efek Indonesia Periode 2014-2018

AL-TIJARY ◽  
2019 ◽  
Vol 5 (1) ◽  
pp. 37-47
Author(s):  
Ahmad Faih ◽  
Rohmatun Nafiah
Keyword(s):  
Significant Influence ◽  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Price Index ◽  
Stock Exchange ◽  
Secondary Data ◽  
T Test ◽  
Volume Activity ◽  
Stock Price Index

This study is a study of events aimed at knowing the effects of Ramadhan, to companies listed on the Jakarta Islamic Index on the Indonesia Stock Exchange period 2014-2018, using abnormal return and trading volume activity indicators. This study uses secondary data in the form of daily stock price index for the period 2014-2018 , Composite Stock Price Index (IHSG) and trading volume, with the population of companies entering the Jakarta Islamic Index on The Indonesian Stock Exchange , The statistical test used to test the hypothesis is the normality test, and the paired sample t-test. Result of T-test on Abnormal Return between year 2014-2018 know that there is no significant influence between Ramadhan month to abnormal return from year 2014 until 2018. While for T-test on trading volume activity between year 2014 until 2018 know that only in 2014, 2015, and 2017, 2018 there are significant influence which means the market responds to the event. The result of the test of Ramadhan event has the information even though it does not happen in every year of the research period, this is because Ramadhan is a routine event occuring in Indonesia so investors have been able to predict how the stock movemonts in Indonesia Stock Exchange.

scholarly journals Reaksi Abnormal Return Dan Trading Volume Activity Sebelum dan Sesudah Ramadhan Effect

2020 ◽  
Vol 1 (1) ◽  
pp. 48-58
Author(s):  
Nina Atrina Kudusia ◽  
Nilawaty Yusuf ◽  
Muliyani Mahmud
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Research Method ◽  
Stock Exchange ◽  
Secondary Data ◽  
Sampling Technique ◽  
Volume Activity ◽  
Before And After ◽  
The Difference

This Research aims to find out the difference between the average of abnormal return and trading volume activity of the transportation companies’ stocks listed in Indonesia Stock Exchange, a period 2014-2018 before and after Ramadhan. The research method is a quantitative method. Th kind of data used is secondary data. The sample is 11 transportation companies listed ini Indonesia Stock Exchange during the period of 2014-2018, while the sampling technique applies purposive sampling. The findings show that there is no difference on the average of abnormal return before and after Ramdahan, and there is no difference on the average of trading volume activity in 2015 and 2018, whereas in 2014, 2016, and 2017 there is a difference on the average of trading volume activity. Meanwhile, the abnormal return and trading volume activity simultaneously influence toward Ramadhan effect with the result of the coefficient determination of 50%, it means that 50% of Ramadhan effect variable is explained by return and trading volume activity.

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 DIFFERENT TEST OF ABNORMAL RETURN AND TVA BEFORE AND AFTER STOCK SPLIT ANNOUNCEMENT

ACCRUALS ◽  
2019 ◽  
Vol 3 (2) ◽  
pp. 205-211
Author(s):  
Ayu Putri Kukuh Pangesti
Keyword(s):  
Hypothesis Testing ◽  
Abnormal Return ◽  
Trading Volume ◽  
Sampling Method ◽  
Stock Exchange ◽  
Economic Value ◽  
Secondary Data ◽  
Normality Test ◽  
Stock Split ◽  
Before And After

This study aims to determine whether there are differences in abnormal return (AR) and trading volume activity (TVA) between before and after the announcement of a stock split. The data used in this study are secondary data from the Indonesia Stock Exchange (IDX). Sampling in this study used a purposive sampling method. With certain criteria obtained a sample of 30 companies. This study uses event studies to determine the information content contained in an event. Hypothesis testing conducted in this study uses the normality test and paired sample t-test. The results of testing the first hypothesis in this study indicate that there is no difference in AR between before and after the announcement of a stock split. This happens because investors consider the stock split announcement have no economic value and prefer to allocate their funds to companies that are truly able to provide a return. While in the second hypothesis testing found the same thing that there is no significant TVA difference between before and after the announcement of the stock split.k split.

scholarly journals REAKSI PASAR MODAL INDONESIA TERHADAP PENGUMUMAN INDONESIA SEBAGAI NEGARA MAJU

POINT ◽  
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.

Uji Komparasi Abnormal Return, Trading Volume, Trading Frequency, Dan Bid-Ask Spread Sebelum Dan Sesudah Share Split

2016 ◽  
Vol 8 (2) ◽  
pp. 24-45
Author(s):  
Tania Hayu Safira ◽  
Febryanti Simon
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Distributed Data ◽  
Trading Frequency ◽  
Bid Ask Spread ◽  
Analysis Technique ◽  
Before And After ◽  
Test Of Hypothesis ◽  
Kolmogorov Smirnov

This study is event study that was conduct to examine the differences of abnormal return, trading volume, trading frequency and bid-ask spread before and after the events of share split. The object of this research is the companies that did share split and listed in Indonesia Stock Exchange in 2008 - 2015. The samples are 30 companies chosen by purposive sampling method. The criteria are the company did not do corporate action right issue, pre-emptive rights, a share dividend and bonus shares in the same year with share split. Event window used in this study was 30 days consisting of 15 days before and 15 days after the share split. Data analysis technique begins with a test of normality using Kolmogorov – Smirnov and transform for unnormally distributed data. Then, test of hypothesis using Paired t – test to compare the differences before and after share split. The results of this study showed that volume trading activity and trading frequency had significant differences before and after the share split. While, variable abnormal return and bid-ask spread had not significant differences before and after the share split. Keywords: Abnormal return, bid-ask spread, share split, trading frequency, trading volume.

scholarly journals Analisis Reaksi Pasar Terhadap Pengumuman Merger dan Akuisisi Pada Perusahaan Akuisitor yang Terdaftar di BEI

2018 ◽  
pp. 1870
Author(s):  
Ika Putri Adnyani ◽  
Gayatri Gayatri
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Sampling Method ◽  
Stock Exchange ◽  
Cumulative Abnormal Return ◽  
Test Results ◽  
Volume Activity ◽  
Paired Sample ◽  
Analysis Technique ◽  
Before And After

This research is conducted on all acquisition companies that conduct acquisitions listed on Indonesia Stock Exchange 2011-2016 period. Sampling method using purposive sampling. The number of samples of this research is 50 companies. The market reaction in this study used abnormal return and trading volume activity. The testing of information content will be done by looking at differences in cumulative abnormal return and the average trading volume of shares five days before and five days after the announcement of the acquisition. Data analysis technique used is paired sample t-test. Based on the test results, found there are significant differences in the abnormal return of the acquirer company before and after the announcement of the acquisition. However, there is no difference in trading volume activity of the acquirer's stock before and after the acquisition announcement   Keywords: acquisitions, stock market, abnormal return, trading volume activity

scholarly journals ANALISIS PERBEDAAN ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SEBELUM DAN SESUDAH PERISTIWA PENETAPAN UNDANG-UNDANG TAX AMNESTY

2021 ◽  
Vol 10 (3) ◽  
pp. 186-198
Author(s):  
I Komang Wisnu Wardhana ◽  
Hermanto Hermanto ◽  
I Nyoman Nugraha AP
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Secondary Data ◽  
Volume Activity ◽  
Analytical Technique ◽  
Tax Amnesty ◽  
Average Abnormal Return ◽  
Before And After ◽  
The Difference

The purpose of this study was to determine the difference in the average abnormal return and trading volume activity before and after the enactment of the tax amnesty law on the LQ-45 index. The type of data used in this study is secondary data with data collection techniques using the documentation method. Determination of the sample in this study using purposive sampling method with certain criteria so as to obtain 45 samples. The analytical technique used in this research is paired sample t-test with an observation period of 10 days. The results of this study indicate that: (1) There is no difference in the average abnormal return before and after the enactment of the tax amnesty law. (2) There is no difference in the average trading volume activity before and after the enactment of the tax amnesty law. 

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