Lydia Angela Natasya_Abstract_1732013

KANDUNGAN INFORMASI PENGUMUMAN SAHAM BONUS:
STUDI EMPIRIS DI BURSA EFEK INDONESIA
  
Lydia Angela Natasya
Tarsisius Renald Suganda
Fakultas Ekonomi dan Bisnis Universitas Ma Chung Malang
Villa Puncak Tidar N-01, Malang, 65151.

Korespondensi dengan Penulis:
Tarsisius Renald Suganda: Telp. + 62 341 550 171;  Fax. +62  341 550 175
E-mail:renald.suganda@machung.ac.id

Abstract
The aim of this paper was to investigate the market reaction of bonus share announcement in Indonesia Stock Exchange. Bonus share was the signal given by company to public or stockholders. If bonus shares announcement consisted of the information, it would be reacted by the market. There were pro’s and con’s about the finding of bonus share’s announcement. The Standard of event study method had been used for the purpose of studying the bonus share issues announcement reaction. The proxies of market reaction were abnormal return and trading volume activity. In this study, the researcher found a significant negative abnormal return and it meant that the announcement of bonus share had negative information content. This finding probably meant that most companies had liquidity problem. The study also found that the average of trading volume activity was insignificantly decreased after bonus share announcement. This empirical study showed that bonus share indicated a bad signal for the Indonesia market.

 Keywords: abnormal return, bonus share, information content, trading volume activity  

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Makaryanawati_abstract_1622012

REAKSI INVESTOR ATAS CORPORATE GOVERNANCE
PERCEPTION INDEX (CGPI) 2011
 
 Makaryanawati
Fakultas Ekonomi Universitas Negeri Malang
Jl. Semarang No.5 Malang, 65145.

Korespondensi dengan Penulis:
Makaryanawati: Telp. +62 341 585 914, Fax. +62 341 552 888
E-mail: makaryanawati@gmail.com

 Abstract

The objective of this study was to determine the capital market reaction on the announcement of Corporate Governance Perception Index (CGPI) 2011. The variables used in this study were stock prices over the closing price and trading volume of shares. The type of analysis was comparative descriptive study which compared the stock price and trading volume before and after the CGPI 2011 award-winning announcement for the companies listed in IDX. Observations were made during the period of 10 trading days; five days before and five days after the CGPI 2011 announcement. The data analysis instrument used in this study was the Wilcoxon Signed Ranks Test with significance level α = 5%. The results showed that there was no difference between stock prices before and after the announcement of CGPI 2011, there were differences in the trading volume activity before and after announcement of CGPI 2011 at the companies of CGPI 2011 winners that were listed in IDX. Based on these results, it could be concluded that stock price of the sample companies could not be affected by the information content of CGPI 2011 because the sample companies were fundamentally strong companies. The award announcement could affect the shares trading volume in the capital market.

 

Keywords: corporate governance perception index, stock price, trading volume.

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Yanuar Bachtiar_abstract_1332009

DAY OF THE WEEK EFFECT TERHADAP RETURN DAN VOLUME PERDAGANGAN  SAHAM LQ45 DAN NON LQ45
 
 Yanuar Bachtiar
Jurusan Manajemen Sekolah Tinggi Ilmu Ekonomi Indonesia
(STIE Indonesia) Banjarmasin
Jln. H. Hasan Basry no. 9-11 Banjarmasin 70123

Korespondensi dengan Penulis:
Yanuar Bachtiar: Telp. +62 511 330 4652, Fax. + 62 511 330 5238
E-mail: yanuarbachtiar@yahoo.co.id

Abstract :
This research aimed to know: first, day of the week effect that influence the return of LQ45 and non LQ45 stocks. Second, to know day of the week effect that influenced the volume of commerce of LQ45 and non LQ45 stocks. The taken samples were a property stock and real estate stocks including 2 stocks that was part of LQ45 and 2 other stocks in non LQ45 at Jakarta Stock Exchange (JSX) in January up to December 2006 (242 trade days) by fulfilling samples which were already valid. Analysis model used in this research was linear regression model. The result of this research showed that the lowest return found on Monday trade days and the lighest return was on Friday trade day. However, day of the week effect only proved significant at stock non LQ45 group. The trial on trade volume did not find any significant result.

 Key words: day of the week effect, return, volume trade stock

Suryo Luhur_abstract_1422010

REAKSI PASAR MODAL INDONESIA SEPUTAR
PEMILIHAN UMUM 8 JULI 2009 PADA SAHAM LQ-45

Suryo Luhur
Jurusan Manajemen Fakultas Ekonomi UPN “Veteran” Yogyakarta
Jl. Lingkar Utara (SWK)  No. 104 Condong Catur, Sleman, Yogyakarta-55283

Korespondensi dengan Penulis:
Suryo Luhur: Telp. + 62 274  486 372
E-mail : karno_upn@yahoo.co.id

Abstract
This research used event study methodology to investigate the stock price reaction to domestic political events, Indonesian presidential and vice election on July 8th, 2009 on stock of LQ-45 category listed in BEI. Data analysis used one sample t-test and paired samples t-test. The result of the analysis revealed that abnormal returns were:  (1) not significantly different before and after presidential election announcement, (2) Significantly negative on day t-10, t-5, t-4, t0, and t+7 and significantly positive  on t-10 and t+7 3, (3)  Not Significantly different on day 0  Trading Volume Activity before and after presidential election announcement. This results reported here indicated that Indonesian Capital Market was little sensitive to political events.

Key words: event study, domestic political events, abnormal return, trading volume activity.

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Dyah Ani Pangastuti_abstract_1422010

ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY
PADA PERISTIWA AMBRUKNYA FANNIE MAE DAN
FREDDIE MAC

Dyah Ani Pangastuti
Program Studi Akuntansi Fakultas Ekonomi Universitas Merdeka Malang
Jl. Terusan Raya Dieng 62-64 Malang

Korespondensi dengan Penulis:
Dyah Ani Pangastuti: Telp. + 62 341 717 092
E-mail: pangastuti.dyah@yahoo.co.id

Abstract
The global economic crisis was a disaster for all nations in the world due to its impact once seemed to hamper the economy of a nation. This research studied the events that would see if there was an effect of global economic crisis preceded by the U.S. Financial crisis was triggered by the collapse of Fannie Mae and Freddie Mac in the property business (subprime mortgages) on September 7th, 2008. This study used samples that had been publicly traded company listed on the Indonesia Stock Exchange and entered into the sequence of LQ-45 in the year of 2008. Hypothesis testing used was t-test on the average abnormal return and average trading volume of activity. Test results for the average abnormal return showed there were no significant differences before and after the Subprime Mortgage. The test results for the average trading volume of activity indicated the presence of a significant difference before and after the Subprime Mortgage.

Key words: event study, abnormal return, the average abnormal return, trading volume of activity and average trading volume of activity

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Lailatul Mubarokah_abstract_1512011

TRADING VOLUME ACTIVITY AND BID-ASK SPREAD BEFORE AND AFTER THE MERGER ANNOUNCEMENT OF SSX INTO JSX

Lailatul Mubarokah
Agus Sucipto
Fakultas Ekonomi Universitas Islam Negeri Maulana Malik Ibrahim
Jl. Gajayana No.50 Malang

Telp. +62 341 551 354; Fax. +62 341 572 533
E-mail: suga_cipto@yahoo.co.id

Abstract
Jakarta stock exchange (JSX) and Surabaya Stock exchange (SSX) were the organizers of capital market in Indonesia. Thus, to srengthen the capital market in Indonesia SSX merged into JSX on  November 30th, 2007. New information coming into market would influence the trading activities, including trading volume activity (TVA), and bid-ask spread. While, merger also influenced the total issuer of listed companies in Indonesia stock exchange (IDX). This research included an event study with quantitative method about the analysis of total issuer differences, TVA and bid-ask spread before and after the merger announcement of SSX into JSX. It used t-test method and autoregressive distribution lag test. The result of research analysis showed the difference, significance and insignificance. Based on t-test, the total issuer, TVA, and bid-ask spread were not significant before and after the merger announcement of SSX into JSX shown by the higher value of sig.2 tailed than level of significance and value of standard deviation before the merger announcement of SSX into JSX from each variable. Based on autoregressive distribution lag test, it showed significant response by high trading volume of TVA and bid-ask spread and also high volume of buy-offer investor did on several days of windows period before and after the merger announcement of SSX into JSX.

Key words:  merger announcement, trading volume activity, issuer, bid-ask spread

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