Abnormal Returns

Abstract. Introduction. Backgrounds. Hypothesis development. Data. Event study analysis. Test of Hypothesis. Decision. Test of Hypothesis. Conclusions.

By using the event study method authors use over all 51 shares which are listed on Indonesian Stock Exchange (IDX).By examinading all of these shares coming up with capital market reaction and the t test method the main aspect which authors wanted to analyze was :

What the authors find out was that :

However,the authors didn‘t find out was that :

First of all , by this analysis says this is the first study to examine Eid al Fitr and Christmas impact to the capital market and that what authors wanted to show you by deviding in two different periods by using the Single Index Market Model to compare between the current numbers of shares traded in a particular company and a particular time, with the total number of share listed. The purpose is to conclude whether the capital market reacts to the information content or not, and whether the market is in semistrong form efficiency.

Although , previous studies on the topic focused on the impact of dividend announcement tests though several stock markets this one is only focused on Eid al Fitr and Christmas events that have different characteristics and their influence to the capital market.

Okey so if we are talking about the Christmas every year its shifted by 9 or 10 days from previous years but its always at the same day December the 25th.By taking this Christmas example the authors wanted to examine is :

Firstly, the non – economic factors do not have a direct relationship with capital market performance.The capital market response is estimated by detecting the availability of abnormal return during the date, and significant change in trading volume activity.By the event study methodology authors used to test the efficiency of the market: if is it a semi strong form efficiency or weak.

All of the following examples used the same event study method and all of them had different conclusions at the end.

Yakubu in 2014 examined the market’s reaction to dividend in Gana Stock Exchange to cauculate abnormal returns by event study method and at the end it showed that initiation announcements are greeted positively by investors;

Sharma, R. (2011) investigated the impact of annual dividend announcements on stock price behavior in India.By the event window was 12 day before and after jis analysis showed that dividend announcements didn‘t non random behavior in the stock return series and that Indian stock markets are efficient in its semi strong form efficiency;

Ganguli, S.K. (2011) wanted to find out if the investors in stock can earn positive earnings by turnaround companies based on publicly available information at the micro level as well as with reference to macro variables of the economy.By 49 samples he find out that on announcment date the abnormal returm was 2.12% and also upcoming 9,31% of profit in all next eight consecutive days in total .

Danuparata and Wahyoto (2008) his studies about examined the market reaction to bomb explosion at JW Marriot showed there is no significant abnormal return on the days around the event. And for Luhur, S. (2009) event of Indonesian president election 2004 showed the significant abnormal returns days around the event.