scholarly journals The Effect of Put Option Issuing on Risk Adjusted Return

2016 ◽  
Vol 8 (4) ◽  
pp. 11
Author(s):  
Seyed Jalal Sadeqi Sharif ◽  
Ebrahim Joshan ◽  
Marjan Orouji
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Significant Relation ◽  
Stock Liquidity ◽  
Company Stock ◽  
Put Option ◽  
Event Study Method ◽  
Option Volume

<p>This research investigates the relation between put option issuing and risk adjusted return in Iran capital market for the period 2002-2016. Because data were not available before 2002, data from the period 2002 to 2016 were studied. All data gathered from Tehran Stock Exchange database the sample include 36 issuing events. The Event Study method was implied for 5 days. The empirical result shows that there is a significant relation between issuing options and abnormal return for the company stock, furthermore there is an approved relation between that abnormal return and stock liquidity, but the relation between option volume and that rerun was not approved.</p>

scholarly journals Investor’s Mood at ASIAN Games Event

2019 ◽  
Vol 7 (2) ◽  
pp. 177
Author(s):  
Happy Sista Devy ◽  
Bahrain Pasha Irawan
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Purposive Sampling ◽  
Event Study Method ◽  
Before And After ◽  
Wait And See ◽  
The Many ◽  
Observation Period

<p>Goals of the research to analyze whether occurred abnormal return of ASIAN Games phenomena and see how investors react to the big ASIAN Games 2018 event in Indonesia. . This reseach uses a sample of companies included in the hotel, restaurant and tourism sub-sector on the Indonesia Stock Exchange (IDX) during the observation period, based on the purposive sampling method which obtained 22 companies and used the event study method. There is a significant abnormal return but not on the phenomenon of the Asian Games 2018. This shows that investors still wait and see to the organization of the Asian Games in 2018. No difference of abnormal return before and after the Asian Games 2018. This is because, as investors look to the many tourists who have started to flock to Indonesia before the Asian Games in 2018 took place.<em></em></p><p><strong><em></em></strong><em><br /></em></p>

scholarly journals Reaksi Pasar Terhadap Pengumuman Pergantian CEO di Bursa Efek Indonesia

2018 ◽  
pp. 2430
Author(s):  
I Kadek Diky Agusnawan ◽  
Dewa Gede Wirama
Keyword(s):  
Event Study ◽  
Chief Executive Officer ◽  
Capital Market ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
Chief Executive ◽  
Ceo Turnover ◽  
Company Performance ◽  
Cumulative Abnormal Return ◽  
Event Study Method

Announcement of CEO turnover indicates a change in company management in order to improve company performance. The purpose of this study is to test whether the capital market reacts to CEO turnover announcements. This study uses event study method and the sample was selected purposively. The research sample consisted of 79 companies listed in the IDX. Based on the results of the analysis it is found that there are no abnormal returns around the CEO turnover announcement. The results shows that there is no information content in the CEO turnover announcement. The results of this study is consistent with the research of Warner et al., (1998) and Setiawan (2008). The results of the study is not consistent with the research of Weisbach (1988), Kang and Shivdasani (1996), Derment-Ferere and Renneboog (2000), Bahtera (2017). Keywords: Chief executive officer, cumulative abnormal return, market reaction

scholarly journals EFISIENSI PASAR SAHAM SYARIAH DI INDONESIA BERDASARKAN PENGUMUMAN PERUBAHAN KOMPOSISI SAHAMDI JAKARTA ISLAMIC INDEX (JII)

2015 ◽  
Vol 2 (1) ◽  
pp. 95
Author(s):  
Mas Nur Mukmin ◽  
Hermi Hermi
Keyword(s):  
Market Efficiency ◽  
Information Content ◽  
Event Study ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Strong Form ◽  
Research Use ◽  
Composition Change ◽  
Efficient Market ◽  
Event Study Method

<p><em>This research is aim to figure out the information content and market efficiency of syariah stock exchange in Indonesia based on the announcement of the change of stock composition in Jakarta Islamic Index (JII). This research is addressed to the included and excluded stocks. This research use event study method. The window event last for seven days (t-3 to t+3).The result support signalling theory. There’s no abnormal return around the window event for the included stocks. Negative abnormal return exist for the excluded stocks. The result also showed that JII is an efficient market in a semi-strong form based on the announcement of the JII stock composition change.</em></p>

scholarly journals Reaksi Pasar atas Pengumuman Dividen: Sebuah Tinjauan Ulang

Performance ◽  
2020 ◽  
Vol 27 (2) ◽  
pp. 23
Author(s):  
Fransisca Astuti Mutiara ◽  
Leo Indra Wardhana
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Statistical Tests ◽  
T Test ◽  
The Other ◽  
Market Reactions ◽  
Dividend Payment ◽  
Event Study Method ◽  
Dividend Announcements

This study revisits the market reactions on the dividend payment events, cum-dividend date and payment date, using the event study method. The sample of this study includes all dividend announcements from 2017 to 2018 in the Indonesia Stock Exchange. This study performs various robust statistical tests proposed by Harrington and Shrider (2007), who point out that standard classical t-test is not enough to ensure abnormal return on an event because of the bias due to volatility caused by an event. Using various statistical tests for testing the abnormal return, this study shows that the market indeed reacts to the cum-dividend date and dividend payment date, as well as showing that the classical t-test showing the same conclusion as the other tests.    

scholarly journals Dampak Devaluasi Yuan Pada 11 Agustus 2015 Terhadap Abnormal Return Dan Abnormal Trading Volume Activity Saham Yang Tercatat Di Jakarta Islamic Index JII)

2017 ◽  
Vol 3 (2) ◽  
pp. 127
Author(s):  
Windiya Saputri ◽  
Leo Herlambang
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Abnormal Return ◽  
Trading Volume ◽  
T Test ◽  
Volume Activity ◽  
Paired Sample ◽  
Study Results ◽  
Event Study Method ◽  
Abnormal Trading Volume

Government-related announcement is one of the determinants that potentially affect capital market. This research aims to see the reaction of stock market to Yuan Devaluation on August, 11 2015. The market reaction in this study is indicated by the presence of abnormal retun and abnormal trading volume activty. The approach taken in this research is the quantitative approach with event study method by using one sample t-test and paired sample t-test analysist. The variables in this research are Yuan Devaluation, AAR, and AATVA. The issuers observed in this research are stock listed on JII during the period of study. Results showed that stock listed on JII reacted to Yuan Devaluation, that is showed by significant results both in the AAR and AATVA, which means Yuan Devaluation bears valuable information for investor.

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 CAN RAINMAKERS JUSTIFY THEIR PAY? THE ROLE OF INVESTMENT BANKS IN REIT M&AS

2021 ◽  
Vol 25 (4) ◽  
pp. 254-266
Author(s):  
Weiwei Zhang ◽  
Tiezhu Sun ◽  
Patrick Han Lin Goh ◽  
Zilong Wang ◽  
Nick Mansley
Keyword(s):  
Event Study ◽  
Value Creation ◽  
Abnormal Return ◽  
Prima Facie ◽  
Investment Banks ◽  
Cumulative Abnormal Return ◽  
Event Study Method ◽  
Contemporary Practice ◽  
The Prestige

This study explicitly rejects the prima facie proposition that the top-tier investment banks are capable of delivering supernormal value creation to the shareholders of a REIT acquirer in a corporate acquisition. Using the event study method, we find that REIT acquirers advised by market-leading investment banks suffer an average cumulative abnormal return of −4.41% following the M&A announcement, whereas REIT acquirers advised by non-top-tier investment banks only suffer an average cumulative abnormal return of −1.49%. The evidence shows that the contemporary practice of employing investment banks based on the prestige of the advisory firms could potentially result in value-destroying M&As for the REIT acquirers.

scholarly journals Abnormal Return dan Trading Volume Activity Saham-Saham LQ45 pada Peristiwa Pengumuman Kebijakan Quantitative Easing oleh Bank Sentral Amerika Serikat

2016 ◽  
Vol 1 (1) ◽  
pp. 11-21
Author(s):  
Muhammad Falih Ariyanto
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Quantitative Easing ◽  
Volume Activity ◽  
Long Run ◽  
Positive Abnormal Return ◽  
International Event ◽  
Market Test

This research is an empirical study to analyze international event and its impacts on Indonesian capital market. The international event in this study is expansionary monetary policy issued by the Federal Reserve in the form of quantitative easing policies that were announced in three stages, on 26 November 2008, 4 November 2010, and 14 September 2012 (Indonesia Stock Exchange trading day). The study analyzed the abnormal return and trading volume activity occured at each event period. Observation period in this study used 120-day estimation period and 11-day event period at each stage of the quatitative easing announcement. The event study was done in Indonesian capital market represented by 127 shares that are catagorized as LQ45 index and actively traded in each event period. The assumption that Indonesian capital market is co-integrated with international capital market can make the announcement of quantitative easing policy as positive information for investors in Indonesia. The analysis results show that a significant positive abnormal return around the event date and a significant increase in the intensity trading activities after the quantitative easing announcement, occured. The market test results show that Indonesian capital market has efficient information in a semi-strong form, so that the investors cannot use the published information to get profits (positive abnormal return) in a long run (around the date of the event only).   Abstrak Penelitian ini merupakan studi empiris untuk menganalisis peristiwa internasional dan dampaknya terhadap pasar modal Indonesia. Peristiwa internasional yang diteliti adalah pengumuman kebijakan moneter ekspansif yang dikeluarkan oleh Bank Sentral Amerika Serikat, yaitu quantitative easing yang dilakukan dalam tiga tahapan pengumuman pada tanggal 26 November 2008, 4 November 2010 dan 14 September 2012 (hari perdagangan bursa di Indonesia). Penelitian dilakukan dengan menganalisis abnormal return dan trading volume activity yang terjadi disetiap periode peristiwa. Penelitian ini menggunakan periode pengamatan yang terdiri dari 120 hari periode estimasi dan 11 hari periode peristiwa disetiap tahapan pengumuman quantitative easing. Analisis studi peristiwa dilakukan pada pasar modal Indonesia yang diwakili oleh 127 saham yang pernah masuk dalam kategori indeks LQ45 dan secara aktif diperdagangkan disetiap periode peristiwa. Asumsi bahwa pasar modal Indonesia terkointegrasi dengan pasar modal internasional menyebabkan pengumuman kebijakan quantitative easing dapat menjadi informasi yang positif bagi pemodal di Indonesia. Hasil analisis menunjukkan bahwa terjadi abnormal return positif yang signifikan di sekitar tanggal peristiwa dan peningkatan intensitas perdagangan yang signifikan setelah peristiwa pengumuman kebijakan quantitative easing. Hasil pengujian efisiensi pasar menunjukkan bahwa pasar modal Indonesia efisien secara informasi dalam bentuk setengah kuat sehingga pemodal tidak dapat menggunakan informasi yang dipublikasikan untuk mendapatkan keuntungan (abnormal return positif) dalam jangka waktu yang lama (hanya di sekitar tanggal peristiwa).

scholarly journals Reaksi Pasar Atas Pengumuman Corporate Governance Perception Index

2019 ◽  
pp. 2432 ◽  
Author(s):  
I Gede Krisna Dharma Putra ◽  
I Gusti Ayu Eka Damayanthi
Keyword(s):  
Corporate Governance ◽  
Capital Market ◽  
Abnormal Return ◽  
Sampling Method ◽  
Market Reaction ◽  
Stock Exchange ◽  
Stock Trading ◽  
Announcement Date ◽  
Analysis Technique ◽  
The One

CGPI is the result of research from the Indonesian Institute for Corporate Governance (IICG) in collaboration with SWA magazine. This study aims to determine the reaction of the capital market on the CGPI announcement. The research was conducted at the company surveyed by CGPI for the period 2013-2016 by accessing the Indonesia Stock Exchange, IICG, Yahoo finance and SWA magazines. The population in this study were the companies surveyed by the Corporate Governance Perception Index (CGPI) for the period 2013-2016. The number of samples taken was 61 using the purposive sampling method. The data analysis technique used is the one sample t-test. Based on the results of the analysis, it was found that during the seven days of stock trading around the announcement of the Corporate Governance Perception Index (CGPI) without involving the comfounding effect (other announcements) there was no market reaction around the CGPI announcement date. Keywords: Corporate Governance Perception Index (CGPI), abnormal return, market reaction

scholarly journals An Empirical Analysis for Abnormal Returns from Initial Public Offerings (IPOs): evidence of Iranian oil and chemical industries

2013 ◽  
Vol 3 (1) ◽  
pp. 143 ◽  
Author(s):  
Mahdi Filsaraei ◽  
Alireza Azarberahman ◽  
Jalal Azarberahman
Keyword(s):  
Initial Public Offerings ◽  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Going Public ◽  
Significance Level ◽  
Public Offerings ◽  
Positive Abnormal Return ◽  
Chemical Companies

Purpose: The core purpose of this paper empirically study of the initial public offerings (IPOs) of companies accepted in oil and chemical industries. The paper attempts to answer the question of is there any abnormal return from IPOs in listed companies in Tehran Stock Exchange (TSE).Design/methodology/approach: This research is an applied research, and its design is empirical, which is done by the method of post-event (past information). For the purpose of the study the t-statistic, regression and variance analyses are applied to examine the hypotheses. We use in the analyses a sample of 29 newly accepted Iranian oil and chemical companies listed on TSE for the period of 2001 to 2012. This paper has studied abnormal return and three abnormal phenomena have been considered in capital market. These phenomena consist: (1) underpricing or overpricing of the firm's stock, (2) lower or higher stock return of the firms and (3) Particular period in market for stock transactions volume.Findings: The results support the hypothesis that there is a positive abnormal return to investing in the newly accepted oil and chemical firms for stockholders. It also shown the firm size is the only factor that can affect the stock abnormal return. With considering significance level, investors have to give attention sequentially to other variables such as stock ownership centralization, going public time and stock offering volume.

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