The Impact Of Daftar Efek Syariah (DES) Announcement To The Asii’s Abnormal Returns And Trading Volume
DOI:
https://doi.org/10.32534/jv.v19i3.6043Abstract
DES announcement can be an important information for investors in making investment decisions. Islamic investors have to sell their stock when their stocks are excluded from DES. On the other hand, investors who want to invest in Islamic stocks will buy stocks that are included in the DES. The purpose of this study is to examine the impact of ASII stock reentry and exit from and into DES to the abnormal return and trading volume activity. This study uses secondary data obtained from investing.com. The data used in this study are daily stock closing prices, IHSG index and daily stock trading volume. This study follows event study methods. The first event window used in this study is 7 days before November,23,2020 and 7 days after. The second event window used is 7 days before May 24, 2023 and 7 days after. Descriptive statistic and Wilxocon sign ranks is used to analysis the data. The results showed that there was no significant difference in abnormal returns both at the time of ASII exit and reentry. However, trading volume of ASII stock significant difference before and after exit announcement. But when ASII stock reentry to the DES there was no significant difference.
Keywords:
Abnormal Return, Trading Volume Activity, DES, ASIIReferences
Alam, M. N., Alam, Md. S., & Chavali, K. (2020). Stock Market Response during COVID-19 Lockdown Period in India: An Event Study. The Journal of Asian Finance, Economics and Business, 7(7).
Alexander, & Amin Kadafi, M. (2018). Analisis Abnormal Return dan Trading Volume Activity Sebelum dan Sesudah Stock Split Pada Perusahaan yang Terdaftar di Bursa Efek Indonesia. Jurnal Manajemen, 10(1), 2018–2019.
Al-Khazali, O., Lean, H. H., & Samet, A. (2014). Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach. Pacific Basin Finance Journal, 28, 29–46. https://doi.org/10.1016/j.pacfin.2013.09.003
Bae, S. M., Masud, Md. A. K., & Kim, J. D. (2018). A Cross-Country Investigation of Corporate Governance and Corporate Sustainability Disclosure: A Signaling Theory Perspective. Sustainability, 10(8), 2611. https://doi.org/10.3390/su10082611
Baskara, G. P., Suyanto, S., & Rahayu, S. R. (2020). Pengaruh Volume Perdagangan Dan Simple Moving Average Terhadap Harga Saham. Jurnal Akuntansi AKTIVA, 1(1), 1–16. https://doi.org/10.24127/akuntansi.v1i1.41
Bouoiyour, J., Selmi, R., & Wohar, M. E. (2018). Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis. Finance Research Letters, 26, 100–105. https://doi.org/10.1016/j.frl.2017.12.008
Boya, C. M. (2019). From efficient markets to adaptive markets: Evidence from the French stock exchange. Research in International Business and Finance, 49, 156–165. https://doi.org/10.1016/j.ribaf.2019.03.005
Brown, S. J., & J.B. Warner. (1985). Using Daily Stock Returns: The case of Event Studies. Journal of Financial Economics , 14, 3–31.
Chavali, K., Alam, M., & Rosario, S. (2020). Stock Market Response to Elections: An Event Study Method. The Journal of Asian Finance, Economics and Business, 7(5), 9–18. https://doi.org/10.13106/jafeb.2020.vol7.no5.009
Connelly, B. L., Certo, S. T., Ireland, R. D., & Reutzel, C. R. (2011). Signaling Theory: A Review and Assessment. Journal of Management, 37(1), 39–67. https://doi.org/10.1177/0149206310388419
Dempsey, S. J., & Sheng, H. (2023). Dividend change announcements, ROE, and the cost of equity capital. International Review of Financial Analysis, 86, 102506. https://doi.org/10.1016/j.irfa.2023.102506
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383. https://doi.org/10.2307/2325486
Gemilang, B., & Mukhibad, H. (2021). Pengaruh Pengumuman Penerbitan Saham Syariah Terhadap Return Saham Bursa Efek Indonesia. ACCOUNTHINK :Journal of Accounting and Finance , 6(1).
Indrawati, S. (2021). Reaksi Pasar Atas Saham Yang Masuk Dan Keluar Indeks LQ 45. Competence : Journal of Management Studies, 15(1), 109–123. https://doi.org/10.21107/kompetensi.v15i1.10564
Karaman, A. S., Kilic, M., & Uyar, A. (2020). Green logistics performance and sustainability reporting practices of the logistics sector: The moderating effect of corporate governance. Journal of Cleaner Production, 258, 120718. https://doi.org/10.1016/j.jclepro.2020.120718
Kassim, N. S., Ramlee, R., & Kassim, S. (2017). Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach. International Journal of Economics and Financial Issues, 7(2), 40–51.
Li, K. (2020). Does Information Asymmetry Impede Market Efficiency? Evidence from Analyst Coverage. Journal of Banking & Finance, 118, 105856. https://doi.org/10.1016/j.jbankfin.2020.105856
López-Santamaría, M., Amaya, N., Grueso Hinestroza, M. P., & Cuero, Y. A. (2021). Sustainability disclosure practices as seen through the lens of the signaling theory: A study of companies listed on the Colombian Stock Exchange. Journal of Cleaner Production, 317, 128416. https://doi.org/10.1016/j.jclepro.2021.128416
Luthfi, F., Aya, S. A., Arminingsih, D., Mubaraq, A., Iman, M., & Achmad, T. (2022). Analisis Prediksi Perkembangan Pasar Modal Syariah Di Indonesia Menggunakan Model Autoregressive Integrated Moving Average (ARIMA). Prosiding Seminar Nasional Seminar Akademik Tahunan Ilmu Ekonomi Dan Studi Pembangunan.
Madani, M. N., Iskandar, R., & Azis, M. (2020). Capital Market Reaction in Indonesia Stock Exchange to Stock Split Events Reviewed From Abnormal Returns, Trading Volume and Bid-Ask Spreads in Growing and Good Speaking Companies. Saudi Journal of Business and Management Studies, 5(7), 428–437. https://doi.org/10.36348/sjbms.2020.v05i07.007
Mat Nor, F., Shaharuddin, A., Marzuki, A., & Ramli, N. A. (2019). Revised Malaysian Shariah Screening: Its Impact on Islamic Capital Market. Research in World Economy, 10(1), 17. https://doi.org/10.5430/rwe.v10n1p17
Mohd Jaapar, A., Ramadili Mohd, S. M., & Mohd Rasid, M. E. S. (2020). Is Shari’ah Index Membership Risky? The Case of Malaysia Shari’ah Blue-Chip Index. The Journal of Muamalat and Islamic Finance Research, 75–101. https://doi.org/10.33102/jmifr.v17i2.295
Muchori, S., Tibbs, C., & Ondiek Alala, B. (2017). Annual Earnings Announcements and Stock Returns: A Test of Semi-Strong Form of Efficiency of the Banking Sector of the Nairobi Securities Exchange. International Journal of Management and Commerce Innovations, 5, 397–407.
Munthe, K. (2016). Perbandingan Abnormal Return Dan Likuditas Saham Sebelum Dan Sedudah Stock Split: Studi Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia. Universitas Tarumanagara Journal of Accounting, 20(2).
Nie, J., & Yin, L. (2022). Do dividends signal safety? Evidence from China. International Review of Financial Analysis, 82, 102123. https://doi.org/10.1016/j.irfa.2022.102123
Putri, P. adelia., Fitria Nailal Khilda, Silvi Amelia Febriyani, & Ibnu Muttaqin. (2022). Pengaruh Pengumuman Penerbitan Saham Syariah Terhadap Return Saham PT Smart, Tbk Dan PT Astra International, Tbk. Jurnal Penelitian Ekonomi Akuntansi (JENSI), 6(1), 26–39. https://doi.org/10.33059/jensi.v6i1.5484
Rahmasuciana, D. Y., Alwahidin, A., Utomo, A. S., & Rofi’i, M. (2016). Stock Returns and Liquidity Changes Around the Screening Announcement: An Empirical Study in Indonesia. Global Review of Islamic Economics and Business, 3(2), 099. https://doi.org/10.14421/grieb.2015.032-02
Robiyanto, R., Santoso, M., Rambu Atahau, A., & Harijono, H. (2019). The Indonesia Stock Exchange and Its Dynamics: An Analysis of the Effect of Macroeconomic Variables. Montenegrin Journal of Economics, 15(4), 59–73. https://doi.org/10.14254/1800-5845/2019.15-4.5
Roviah, S., & Ariyanto, D. (2016). Reaksi Pasar Terhadap Reentry Perusahaan Pada Indeks Saham Syariah Indonesia. SimposiumNasionalAkuntansi XIX.
Sánchez-Granero, M. A., Balladares, K. A., Ramos-Requena, J. P., & Trinidad-Segovia, J. E. (2020). Testing the efficient market hypothesis in Latin American stock markets. Physica A: Statistical Mechanics and Its Applications, 540, 123082. https://doi.org/10.1016/j.physa.2019.123082
Sun, X., & Du, Z. (2024). Enhancing capital market efficiency: The role of data assets disclosure in reducing stock price synchronicity. International Review of Economics & Finance, 94, 103351. https://doi.org/10.1016/j.iref.2024.05.030
Taj, S. A. (2016). Application of signaling theory in management research: Addressing major gaps in theory. European Management Journal, 34(4), 338–348. https://doi.org/10.1016/j.emj.2016.02.001
Utomo, A. S. (2021). Studi Komparatif Kinerja Saham Syariah Dan Konvesional Di Indonesia Dengan Pendekatan Stochastic Dominance. SEGMEN Jurnal Manajemen Dan Bisnis, 17(2). https://doi.org/10.37729/sjmb.v17i2.7177
Utomo, A. S. (2022). Kinerja Saham Syariah Pada Masa Pandemi Covid 19. SEGMEN Jurnal Manajemen Dan Bisnis, 18(1)
Utomo, A. S., & Hanafi, M. M. (2022). Syariah And Conventional Stocks: A Comparative Study Using Stochastic Dominance. ABAC Journal , 42(2), 216244.
