The Analysis of Abnormal Stock Returns in LQ-45 Index during Covid-19 Pandemic

This research aimed: (1) to identify the average distinction of abnormal stock-return in LQ-45 during Covid-19 Pandemic around January-May 2020 in Indonesia, and (2) to identify the highest average abnormal stock-return during Covid-19 Pandemic around January-May 2020. The research sample used LQ-45 Share through purposive sampling method. Abnormal return denotes to the indicator used to measure the market reaction due to the particular event. Kolmogorov Smirnov and Kruskal Wallis test are used to assess the normality data and examine whether there was average distinction of abnormal stock-return in LQ-45 during Covid-19 Pandemic around January-May 2020 in Indonesia. The research finding represents that there is an average distinction of abnormal stock-return in LQ-45 during Covid-19 Pandemic in Indonesia. The most significant distinction shown on March 2020 which the average abnormal return value is 71.93, decreasing from February 2020 in average value of 102.43. Based on the data analysis, it is identified 17 companies with positive abnormal return whose highest average abnormal return during the pandemic around January-May 2020 is Barito Pacific Tbk (BRPT) company in value of 0.11399140.

The Phenomenon of Dividend Announcement on Stock Abnormal Return (Case in ASEAN Countries)

Research aims: to examine the existence of stock’s abnormal return after dividend announcement activity.Design/methodology/approach: event study with 1.330 samples of dividend announcement in ASEAN countries during 2018. The research period was 21 days around the dividend announcement’s date.Research findings: this analysis's results agreed with the dividend signaling theory hypotheses, where the increase, decrease, or constant dividends could be an informative aspect for investors. Theoritical contribution/originality: it was shown by the presence of a positive abnormal return between an increase and a constant dividend, while a negative abnormal return between decrease dividends.Practitioner/policy implication: in the ASEAN capital market, it could be concluded that the change of dividend nominal would signal the firm’s prospect.Research limitation/implication: this research used the earliest dividend announcement before revision. Suggestions for further research are to pay attention to announcements of changes in dividend distribution dates and nominal revision, whether they contain information for investors, which will affect stock price movements.

Stock Dividend Ex-Day Abnormal Return

This study examines the impact of the ex-day of stock dividend on stock return and volume on Borsa Istanbul stock exchange. The data covers 1,220 stock dividends associated with 305 companies over the period 1997-2018. A positive abnormal return and volume is seen around the ex-day of stock dividend. The cumulative average excess return over market return starts to significantly rise ten days before ex-day and reaches its highest level on the ex-day before falling back in the days following. Our findings show that abnormal return around ex-day is strongly associated with stock dividend pay-out ratio, asset size and a company’s market value. The share of listed companies with higher stock dividend pay-out ratio or lower asset size or lower market capitalization, can generate respectively 5.97%, 6.08% and 5.88% abnormal return over market index return.

Stock Market Reaction to Indonesia Presidential and Legislative Election

The research investigated the reaction to Jakarta Islamic Index (JII) stocks around the Indonesia Presidential and Legislative Election in 2019. It was the first time that the election of the president and legislative assembly was held on the same day in Indonesia. The sample used was 30 stocks of JII. The event study methodology was conducted on this issue. The results show a significant positive abnormal return on the tenth day before the event and the seventh day after the event. From the liquidity, it is found that this event has a strong effect on Trading Volume Activity (TVA) of JII stocks surrounding the event. Additionally, another liquidity proxy, namely bid-ask spread, has the same result by experiencing a significant positive difference before and after the event. These results indicate that the information on the event is sufficient to influence the price, TVA, and size of the bid-ask spread of JII stock.

Investor Sentiment and Cross-Sectional Return after Share Issuance: Evidence from Seasonal Equity Offering in China Market

Our research on private placement of equity on China capital market reveals that firms prefer to equity financing when their stock price is overvalued and investor sentiment is high, following the market timing hypothesis. However, after private issuance, we document a significant positive abnormal return within three years. We believe firms choose to polish their financial statement before the exit of institutional investors and controlling shareholders. Through manipulation of discretional accruals, firms improve the profitability and market valuation, and help institutional investors and controlling shareholders obtain the abnormal return after private placement of equity. Nevertheless, such manipulation cannot be sustained and will do harm to other investors in the long-term.

Analisis Reaksi Pasar Atas Pengumuman Stock Split

This study reexamines market reaction on stock split announcement. The reexamination was triggered by the increase in the number of investors and occurrence of stock splits recently. The study was conducted in the Indonesia Stock Exchange with the number of samples taken using the non-participant observation method with a purposive sampling technique of 56 companies. Data was collected from the Indonesia Stock Exchange and Yahoo Finance websites. This study uses a 7-day event window. Expected return iscalculated by the market- adjusted model. The analysis technique used is one sample t-test on the cumulative abnormal return. Based on the results of the analysis it is found that there is a positive abnormal return around the announcement of stock split. It shows that stock split has information content.Keywords: Stock split, market reaction, abnormal return.

Finding Superior Returns in Green Portfolios: Evidence from Singapore REITs

We measure the proportion of green real estate in the asset portfolios of publicly traded real estate investments trusts (REITs) in Singapore (SREITs) using the Green Mark certification. We find that the portfolio greenness of SREITs increased from 3% in 2005 to 34% in 2017. The percentage of SREITs that have at least one property in their portfolio that is Green Mark certified had risen to 81% by end 2017. On the question of whether it is worthwhile for REITs to invest in green portfolio, we find that there is a significant relation between the “greenness” of the portfolio and its operating performance. Specifically, REITs with more green assets registered higher return on assets and operating margin. However, we did not observe any positive abnormal return (alpha) associated with portfolio greenness.

PENGARUH PENGUMUMAN PERUBAHAN PERINGKAT OBLIGASI TERHADAP PERILAKU INVESTOR PADA PERUSAHAAN ASING DAN DOMESTIK

The objective of this research is to examine differences behavior investors to bond rating changes in foreign and domestic companies. The event date is the time when PT Pefindo as a rating agency in Indonesia announce the changes of bond rating during 2002-2011. Event study method is used to analyze investor reaction to bond rating changes announcement. The samples are taken by purposive sampling method and the results are 89 observation, 51 upgrade and 7 downgrade for foreign companies, 15 upgrade and 16 downgrade for domestic companies. Market model used to calculate whether there is any abnormal return. Event windows are 21 days which 10 days before the rating announcement, the day of rating announcement, and 10 days after the rating announcement. The variables is average abnormal return. Generally, the were positive abnormal return at bond rating upgrade announcement and there were negative abnormal return at bond rating downgrade announcement. The result is Indonesian Capital Market, especially Indonesian Stock Exchange significantly react to bond rating upgrade and downgrade, for both categories of foreign and domestic companies. This results indicates that investors react positively to the announcement of the change of bond rating companies foreign and domestic. This research also find different response from investors, where the reaction of investors to changes of bond rating from domestic companies higher than to changes of bond rating from foreign companies

TRANSFER INFORMASI INTRA INDUSTRI ATAS PENGUMUMAN RIGHTS ISSUE DI BURSA EFEK JAKARTA

The objective of this study is to examine the existence of intra-industry information transfer of the announcement of rights issue. This research has three tests. First, it is the information content test of the announcement of rights issue by issuers firm (event study standard). Second, it is an intra-industry information transfer test that examines information content of the announcement of rights issue by non-issuers firm. Two-first tests verify the significance of abnormal return obtained by issuers firm and non-issuers firm through t-test. Third, it is a regression test, which is to examine the influence of variable of bid-ask spread and variable of relative size of rights issue – as independent variables to variable of non-issuers firm’s abnormal return – as dependent variable. The samples of this study consist of 32 issuers firm and 149 non-issuers firm. All of them are the members of manufacturing firm listed in Jakarta Stock Exchange (JSX) in the period of 1997-2002. This study uses purposive sampling method. The window period is ten days surrounding of the announcement of rights issue (-5, 0, +5). The event date is the listing date of rights issue in JSX.The results of this study are as follows. First, there is information content for the announcement of rights issue that is shown with the existence of marginally significant negative abnormal return obtained by issuers on t-1. This result confirms Marsden (2000). Second, there is an evidence about intra-industry information transfer – there is a significantly positive abnormal return on t-3 and a significantly negative abnormal retun on t+4. Both of them show the existence of contagion effect because the direction of issuers firms and non-issuers firm’s abnormal return on t-3 and t+4 (when the intra-industry information transfer exists significantly) is equal. It shows that commonality industrial factors have the role in this research. The negative intra-indutry information transfer confirms Szewczyk (1992). Third, there is not a significantly influence for variable of bid-ask spread and variable of relative size of rights issue to variable of non-issuers firm’s abnormal return.

Performance of Exchange Traded Funds during the Brexit Referendum: An Event Study

In today’s interrelated economies, financial information travel at speed of light to reach investors around the globe. Global financial markets experience regular shocks that transmit negative waves to other equity markets and different asset classes. Given the unique characteristics of exchange-traded funds (ETFs), this paper examines how different ETFs that are traded on London Financial center reacted to the Brexit event in 23 June 2016. The unexpected referendum result the day after is viewed as the next significant financial event since 2008. The paper employs an event study market model on daily and abnormal returns of the selected ETFs with respect to FTSE 250 around the event date. Contrary to what is expected, the world equities fund experienced significant positive abnormal return on the event day. Emerging markets again proved to be a preferred investment destination in times of financial turmoil; the emerging equities fund gained 3% while enjoying an 11.5% positive significant abnormal returns. The US T-Bond fund recorded a 9% return with a significant 7.2% abnormal return. The gold fund soared as much as 4% as investors seeks refuge from Brexit, and the oil fund retraced 1% amid concerns of slowing global demand.