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Journal : Jurnal Akuntansi

Pola Pergerakan Harga Saham dan Tingkat Likuiditas Saham pada Pengumuman Bonusshare: Studi Empiris pada Thin Market Indah Kurniawati
Jurnal Akuntansi dan Auditing Indonesia Vol. 11 No. 2 (2007)
Publisher : Accounting Department, Faculty of Business and Economics, Universitas Islam Indonesia

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Abstract

The objective of this study is to investigate effect of public announcement- bonusshare- on market reaction in the Jakarta Stock Exchange. Since the trade condition in the Jakarta Stock Exchange is still a non-synchronous trading, therefore, this study employs a research method which is appropriate for such market.The sample consists of 54 companies which announce bonusshare from 1994-1996. The market reaction is measured using the Single Index Model and beta bias is corrected using Fowler and Rorke Method (1983) with four lags and four leads. Comparison of stock liquidity before and after the Bonusshare made use of wilcoxon signed ranks test and one sample kolmogorof smirnof test for data normality testThe result of this research shows that bonusshares announcement is positively responded statistically but not significantly responded by the market around the date of bonusshares announcement. The difference between stock liquidity before and after the bonusshares is insignificant except trading volume.Keywords: bonusshare, market reaction, stock liquidity
Analisis Pengaruh Pengumuman Earning terhadap Abnormal Return dan Tingkat Likuiditas Saham: Analisis Empiris pada Nonsynchronous Trading Indah Kurniawati
Jurnal Akuntansi dan Auditing Indonesia Vol. 10 No. 2 (2006)
Publisher : Accounting Department, Faculty of Business and Economics, Universitas Islam Indonesia

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Abstract

The objective of this study is to examine the effect of the earnings information on market reaction in the Jakarta Stock Exchange. The sample consists of 34 stocks of firms from 2003 - 2004. The hypothesis was tested by market model (Brown and Warner, 1985) and correcting the beta bias made use of Fowler and Rorke Method (1983) with four lags and four leads. The signifi¬cance of the difference of market reactions was tested by Wilcoxon Signed Ranks test. The result of this research shows that earning announcements is positively responded statistically but not significantly by the market around the date of earning announcement. The dif¬ference between stock liquidity before and after the earning announcement is insignificant except trading volume.Keywords: earning, market reaction, stock liquidity