Market Reaction to Indonesia Golden Ring Award

Fransiska Soejono

Abstract

This research is attended to analyze market reaction to announcement of Golden Ring Award period 2008-2015. Indonesia Golden Ring Award (IGRA) which was originally called as GRA is a form of award for the telecommunications industry in which the assessment team consist of the journalists who are daily covering the telecommunications industry It used an event study methodology to empirically evidence. The research samples are focused on 6 telecommunication firms listed in Indonesian Stock Exchange with judgement sampling technique. The secondary data consists of daily closing price of shares and composite stock price index with an estimation period during 21 days by using a market adjusted model. Hypotheses are tested by one sample t-test, paired t-test and independent sample t-test. There is significant market reaction to announcement of Golden Ring Award. The second Hypothesis also accepted i.e. there is a significance in different market reaction between the firms getting Golden Ring Award and the firms not getting Golden Ring Award, especially in best operator category. Whereas in best value added category, market didnt show significant reactions. This result gives implication related to the efficient capital market Hypothesis i.e. semi strong form efficiency are proven.

Keywords

Market Reaction; Golden Ring Award; Event Study; Indonesian Stock Exchange.

Full Text:

PDF

References

Akbar, M & Baig, H. H. 2010. Reaction of Stock Prices to Devidend Announcements and Market Efficiency in Pakistan. The Lahore Journal of Economics. 15 (1): 103-125.

Almilia, L. S & Kristijadi, E . 2005. Analisis Kandungan Informasi dan Efek Intra Industri Pengumuman Stock Split yang Dilakukan oleh Perusahaan Bertumbuh dan Tidak Bertumbuh. Jurnal Ekonomi dan Bisnis Indonesia. 20 (1): 70-86.

Almilia, L. S & Sifa, L. L. 2006. Reaksi Pasar Publikasi Corporate Governance Perception Index Pada Perusahaan yang Terdaftar di Bursa Efek Jakarta. Proceedings. Presented at the Simposium Nasional Akuntansi 9 Padang, Agustus 23-26.

Ardiansari, A. 2009. Analisis Pengaruh Pengumuman Annual Report Award pada Good Corporate Governance terhadap Trading Volume Activity dan Abnormal Return. Jurnal Dinamika Manajemen. 1 (1): 19-23.

Daniel, K & Titman, S. 2006. Market Reaction to Tangible and Intangible Information. The Journal of Finance. 61 (4): 1605-1643.

Docking, D. S & Koch, P. D. 2005. Sensitivity of Investor Reaction to Market Direction and Volatility: Dividend Change Announcement. The Journal of financial Research. 28 (1): 21-40.

Dyandra. 2010. Indonesia Cellular Award. Available at: infogaya-ig.blogspot.com/2010/07/indonesia-cellular-award-2010.html. Desember 11, 2010.

Fama, E. 1970. Efficient Capital Markets. The Journal of Finance. 25 (2): 382-417.

Gavious, I. 2007. Market Reaction to Earnings Management: the Incremental Contribution of Analysts. International Research Journal of Finance and Economics. 8: 196-214.

Ghatak, A. 2011. Capital Market Reaction Around the Stock Splits and Bonus Issues: Evidence from Some Indian It Stocks. The International Journals Research Journal of Social Science and Management. 1 (5): 191-213.

Hendricks, K. B & Singhal, V. R. 2009. Demand-Supply Mismatches and Stock Market Reaction: Evidence from Excess Inventory Announcements. Manufacturing and Service Operations Management. 11 (3): 509-524.

Jiang, G. J & Zhu, K. X. 2017. Information Shocks and Short-Term Market Underreaction. Journal of Financial Economics. 124 (1): 43-64.

Junaedi, D. 2005. Dampak Tingkat Pengungkapan Informasi Perusahaan terhadap Volume Perdagangan dan Return Saham: Penelitian empiris terhadap Perusahaan-perusahaan yang Tercatat di Bursa Efek Jakarta. Jurnal Akuntansi dan Keuangan Indonesia. 2 (2): 1-28.

Kama, I. 2009 on the Market Reaction to Revenue and Earnings Surprises. Journal of Business Finance and Accounting. 36 (1-2): 31-50.

Kemala, K. C & Ulupui, I. G. K. A. 2015. Reaksi Pasar terhadap Publikasi Annual Report Award. E-jurnal Akuntansi Universitas Udayana. 11 (1): 171-185.

Khoiruddin, M & Faizati, E. E. 2014. Reaksi Pasar terhadap Pengumuman Dividen Perusahaan yang Sahamnya Masuk Daftar Efek Syariah. Jurnal Dinamika Manajemen. 5 (2): 209-219.

Mardiyanti, M & Isroah. 2005. Pengaruh Pembagian Saham Bonus dan Stock Split pada Masa Sebelum Right Issue terhadap Kemakmuran Pemegang Saham di BEJ. Jurnal Pendidikan Akuntansi Indonesia. 3 (2): 58-78.

Majumder, D. 2013. towards an Effecient stock Market: Empirical Evidence from the Indian Market. Journal of Policy Modeling. 35 (4): 572-587.

Megginson, W. L. 1995. Corporate Finance Theory. Addison Wesley. Massachusetts: Addison Wesley.

Siaputra & Atmadja. 2006. Pengaruh Pengumuman Dividen terhadap Perubahan Harga Saham Sebelum dan Sesudah Ex-Dividen Date di Bursa Efek Jakarta (BEJ). Jurnal Akuntansi dan Keuangan. 8 (2): 63-70.

Shodhganga. 2006. Chapter 1. Introduction to Efficient Markets Theory and Anomalies. Available at: http://shodhganga.inflibnet.ac.in/bitstream/10603/33154/1/chapter%201.pdf. March 18, 2017.

Soejono, F. 2012. Return Saham di Seputar Pengumuman Golden Ring Award. Jurnal Keuangan dan Bisnis. 10 (11): 24-37.

Suardi, I. G. N., Dhirgayusa, B. P., Yuniarta, G. A & Sinarwati, N. 2015. Pengaruh Pengumuman Indonesia Sustainability Reporting Award (ISRA) Terhadap Abnormal Return dan Volume Perdagangan Saham. E-jurnal S1 Akuntansi Universitas Pendidikan Ganesha. 3 (1).

Sulistyanto, H. S & Prapti, M. S. 2003. Good Corporate Governance: Bisakah meningkatkan kepercayaan masyarakat?. Jurnal Ekonomi dan Bisnis. 4 (1): 83-93.

Timmermann, A & Granger, C. W. J. 2004. Efficient Market Hypothesis and Forecasting. International Journal of Forecasting. 20 (1): 15-27.

Yekini, L. S., Wisniewski, T. P & Millo, Y. 2016. Market Reaction to the Positiveness of Annual Report Narratives. The British Accounting Review. 48 (4): 415-430.

Yildiz, Y., Karan, M & Pirgaip, B. 2017. Market Reaction to Frouping Wquities in Stock Markets: an Empirical Analysis on Borsa Istanbul. Borsa Istambul Review. 17 (4): 216-227.

Zhang, Y., Song, W., Shen, D & Zhang, W. 2016. Market Reaction to Internet News: Information Diffusion and Price Pressure. Economic Modelling. 56: 43-49.


View Counter: Abstract - 99 and PDF - 155

Refbacks

  • There are currently no refbacks.