Impact Of Stock Repurchase Announcement On Indonesia Stock Market Reaction 2015-2019

  • Mandra Lazuardi Kitri School of Business and Management, Institut Teknologi Bandung
  • Cristian Eliezer Manurung School of Business and Management, Institut Teknologi Bandung
Keywords: Abnormal Return, IHSG, Market Reaction, Stock Repurchase, Trading Volume Activity

Abstract

The negative global sentiment, Corona Virus Disease 2019 (COVID-19) caused several listed companies in Indonesia to conduct a stock repurchase in the hope of maintaining and increasing the company's stock price. The research objective is to analyze the effect of stock repurchase announcements on market reactions that are reflected in abnormal return and trading volume activity in 2015-2019 as a guide for companies to make decisions in the present and the future regarding the same issue. This research uses a sample of 64 companies listed on the Indonesia Stock Exchange (IDX) during the observation period. This study uses the event study method with the significance of the hypothesis test of 0.05. The results showed that there is no significant difference between before and after stock repurchase announcements for both variables. This is caused by the presence of negative sentiment throughout the observation period such as the Brexit tragedy, elections in the US won by Donald Trump, and the issue of the trade war by the US-China, this makes the market does not yet have full trust in the Indonesian capital market. Based on the results of the study, it can be concluded that the stock repurchase announcement did not have a significant effect on the market reaction.

Downloads

Download data is not yet available.

References

Book:
Hartono, J. (2003). Teori Portofollio dan Analisis Investasi, Edisi kelima. Yogyakarta: BPEE.
Husnan, S. (2001). Dasar-Dasar Teori Portofolio Dan Analisis Sekuritas. Yogyakarta: AMP YPKN.
Malkiel, B. G. (1989). Efficient Market Hypothesis. In Finance (pp. 127-134). London: The New Palgrave.


Article in Journal or Magazine:
Brown, S. J., & Warner, J. B. (1980). Measuring Security Price Performance. Journal of Financials Economics Vol. 8, 205-208.
Fama, E. F. (1965). The Behavior of Stock-Market Prices. The Journal of Business Vol. 38, 34-105.
Kang, J.-K., Kim, K. A., Kitsabunnarat-Chatjuthamard, P., & Nishikawa, T. (2011). The effects of bank relations on stock repurchases: Evidence from Japan. Journal of Financial Intermediation.
Maxwell, W. F., & Stephens, C. P. (2003). The Wealth Effects of Repurchases on Bondholders. The Journal of Finance.
Nur, A. M., & Dadan, R. (2017). Analysis Of Abnormal Return, Stock Return And Stock Liquidity Before And After Buyback Share: Case Study Of Companies Listed In Indonesia Stock Exchange In Period Of 2011-2015. Russian Journal of Agricultural and Socio-Economic Sciences.
Rasbrant, J. (2011). The Price Impact of Open Market Share Repurchases. SSRN Electric Journal.
Razali, N. M., & Wah, Y. B. (2011). Power Comparisons of Shapiro-Wilk, Kolmogorov-Smirnov; Lillefors and Anderson-Darling Tests. Journal of Statistical Modelling and Analytics, 21-33.
Scholes, M. S. (1972). The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices. The Journal of Business, 179-211.
Sorescu, A., Warren, N. L., & Ertekin, L. (2017). Event study methodology in the marketing literature: an overview. Journal of The Academy of Marketing Science.
Teddi, P. (2006). Analisis Reaksi Pasar Terhadap Peristiwa Pengumuman Kabinet Indonesia Bersatu.
Wirajaya, I. G. (2011). Reaksi Pasar Atas Pengumuman Corporate Gorvernance Perception Index (Studi Peristiwa di Bursa Efek Indonesia). Jurnal Ilmiah Akuntansi dan Bisnis.


Papers, Thesis, Dissertation, and Research report:
Rachzari, T. O. (2016). Abnormal Return, Private Information, dan Perubahan Dividen Pada Perusahaan Manufaktur Indonesia. Retrieved from Perpustakaan Universitas Airlangga: http://repository.unair.ac.id/52842/2/b%20274%2016%20rac%20a.pdf

Internet (Individual work):
BAPEPAM-LK. (2008). Pembelian Kembali Saham Yang Dikeluarkan Oleh Emiten Atau Perusahaan Publik Dalam Kondisi Pasar Yang Berpotensi Krisis . Retrieved From Fakultas Hukum UNSRAT: http://hukum.unsrat.ac.id/inst/XI.B.3.pdf
IDX. (n.d.). Saham. Retrieved from IDX
Published
2020-10-15
How to Cite
Kitri, M., & Manurung, C. (2020, October 15). Impact Of Stock Repurchase Announcement On Indonesia Stock Market Reaction 2015-2019. Jurnal Ilmu Sosial Politik Dan Humaniora, 3(2), 32-40. https://doi.org/https://doi.org/10.36624/jisora.v3i2.76
Abstract viewed = 65 times
PDF downloaded = 39 times