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"This paper conducts event studies on two of the most important events in recent history of Korean M&A market, to examine which firms were regarded more vulnerable to hostile takeover."

"Penelitian ini menguji dampak pengumuman private placement terhadap harga saham dan volume perdagangan saham dengan melihat perbedaan abnormal return dan abnormal volume antara sebelum dan sesudah pengumuman private placement. Penelitian ini menggunakan metode studi peristiwa dan menggunakan model pasar dalam menentukan abnormal return. Studi peristiwa dilakukan selama 15 hari sebelum dan 15 hari sesudah pengumuman. Penelitian menggunakan sampel perusahaan yang terdaftar di Bursa Efek Indonesia periode 2010-2016 yang melakukan private placement sebanyak 37 perusahaan. Analisis dilakukan dengan menggunakan uji t satu sampel dan uji t berpasangan. Penelitian ini menemukan bahwa tidak terdapat perbedaan yang signifikan pada abnormal return sebelum dan sesudah pengumuman private placement; dan terdapat perbedaan yang signifikan pada volume perdagangan sebelum dan sesudah pengumuman private placement.

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This study examines the impact of the private placement announcement on stock price and stock trading volume by finding the difference of abnormal return and abnormal volume before and after the private placement announced. This study uses the event study method and using the market model in determining the abnormal return. The event study was conducted during 15 days before and 15 days after the announcement. The study used sample companies listed in Indonesia Stock Exchange 2010 2016 period that does private placement of 37 companies. The analysis was performed by using one sample t test and paired t test. The result indicates that there are no significant differences in abnormal returns before and after the private placement announcement and there are significant differences in trading volume before and after the private placement announcement. "

"Banyak penelitian yang berusaha menjelaskan pengaruh diterimanya suatu informasi, khususnya informasi keuangan, oleh pasar terhadap harga saham. Salah sate jurnal yang menjadi acuan penulis adalah "Price and Trading Volume Reaction Surrounding Earnings Announcement: A Closer Examination." Jurnal ini ditulis oleh Dale Morse pada tahun 1981. Penelitian tersebut merupakan penelitian empiris tentang perubahan harga dan volume perdagangan saham di sekitar hari publikasi earning kuartalan dan tahunan di Wall Street Journal (WSJ). Penelitian yang digunakan oleh penulis bertujuan menentukan kecepatan reaksi return dan volume transaksi perdagangan saham terhadap publikasi laporan keuangan interim. Penelitian semacam ini sering disebut sebagai event study. Sampel yang digunakan dalam penelitian ini adalah 40 perusahaan yang sekuritasnya tercatat di PT Bursa Efek Jakarta. Reaksi return saham terhadap publikasi laporan keuangan interim di harian Bisnis Indonesia terjadi pada hari ke +1 sampai dengan hari +4. Reaksi volume transaksi saham terhadap publikasi laporan keuangan interim di harian Bisnis Indonesia terjadi pada hari ke +2, +3, dan +4.Laporan keuangan interim telah digunakan oleh pelaku pasar modal dalam pengambilan keputusan investasi. Hal ini terbukti dari adanya perbedaan yang signifikan pada beberapa hari diantara 31 hari observasi dibandingkan dengan rata-ratanya. Pasar modal, dalam penelitian ini BEJ membutuhkan waktu untuk memproses informasi yang diterimanya. Masalah yang perlu dipertimbangkan bagi penelitian selanjutnya adalah efek penggunaan data harian dapat menimbulkan masalah. Penelitian akan memberikan basil yang lebih baik dengan memperbesar sampel. Selain itu dapat juga digunakan model selain market model yang diregresi mengingat tidak semua sampel memiliki koefisien regresi berbeda secara signifikan dengan 0. Penggunaan model ini diharapkan dapat memberikan hasil yang lebih baik. Investor dapat menggunakan laporan keuangan interim dalam pengambilan keputusan investasi. Informasi tidak langsung tercakup dalam harga dan investor tidak langsung menyesuaikan portofolionya. Karena itu perlu diteliti lebih lanjut tentang faktor apa yang menyebabkan lambatnya proses penyesuaian ini.

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A lot research tried to explain the influence that accepted with information, especially financial information, by market stock price. Journal that becomes writer reference is: "Price and Trading Volume Reaction Surrounding Earnings Announcement : A Closer Examination ". This journal wrote by Dale Morse in 1981. The research is empirical research about price and volume stock trading changes surrounding publication days quarterly and year earning at Wall Street Journal (WSJ). A research used by writer has something as a purpose to determine velocity return and volume transaction stock trading reaction to publication interim financial statement. This research called as event study. Sample that used in this research is 40 companies that listing in BEJ. Reaction stocks return to publication interim financial report in Bisnis Indonesia news paper that happened at day +1 until +4. Reaction volume stock transaction to publication interim financial report in Bisnis Indonesia newspaper happened at day +2, +3, and +4.

Interim financial statement had already used by people in capital market taking investment decision. That prove there is a significant different in a few days between 31 days observation equals with means. Capital market with this research, BEJ need time to processing information that accepted. A problem that needs to be considerate for next research is the used effect of daily data can cause problem. Research can extend a better result by increasing sample. Besides that, it can also used model beside market model that regression considered not all sample have regression coefficient different significant with O. The using of this model expected can give better result. Investor can used interim financial report in taking investment decision. Indirect information covered in price and investor can indirect adapt their portfolio. Because of that, it needs to be careful about factor that caused the late of adjustment process."

"Penelitian ini bertujuan untuk menganalisis signifikansi pengaruh perubahan harga minyak dunia terhadap return saham maskapai penerbangan. Industri penerbangan merupakan salah satu sektor yang sangat bergantung dengan penggunaan minyak dalam hal operasional. Oleh karenanya, harga minyak memberikan dampak yang besar terhadap beban yang harus ditanggung oleh maskapai penerbangan. Dengan metode time series menggunakan model GARCH (1,1), peneliti berhasil membuktikan, bahwa perubahan harga minyak dunia akan mempengaruhi sebagian besar return saham maskapai penerbangan di kawasan Amerika Utara dan Eropa. Selain faktor perubahan harga, faktor lainnya, yakni volatilitas harga minyak juga ternyata meningkatkan risiko saham maskapai penerbangan di seluruh kawasan yang diteliti. Risiko ini akan mempengaruhi return dan harga saham maskapai penerbangan yang diperdagangkan di bursa.

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This study aims to analyze the significance of the effect of oil price change on airlines stock return. Airlines industry is one of the most dependent sectors for oil usage, in terms of operational activities. Hence, oil price provides a big impact for expenses that airlines must pay. With GARCH (1,1) model, the researcher finds that oil price change affects airline stock return, mostly in Asia-Pacific and Europe. Moreover, in addition to oil price change, another factor, which is oil price volatility also increases the risk for the airlines stock in all particular observed regions. This risk will affect price and return of airline stocks in the market."

"Penelitian ini menganalisis mengenai dampak pengumuman dividen khususnya pada saat ex- dividend date di Bursa Efek Indonesia terhadap Harga dan Volume Perdagangan Saham dengan mengambil sampel 39 emiten. Periode penelitian selama 21 hari yakni 10 hari sebelum dan sesudah ex-dividend date. Metode yang digunakan dalam penelitian ini adalah event study. Pengujian untuk harga saham diukur dengan menggunakan abnormal return, sedangkan untuk volume perdagangan diukur membandingkan average trading volume turnover sebelum dan sesudah periode penelitian. Dari hasil penelitian maka disimpulkan bahwa harga saham dan volume perdagangan saham bereaksi negatif terhadap informasi pengumuman dividen khususnya pada saat ex-dividend date.

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This research aims to analyze the impact of the dividend announcement, especially at the ex- dividend date in Indonesia Stock Exchange on Stock Price and Trading Volume by taking a sample of 39 issuers. During the study period of 21 days, 10 days before and after the ex- dividend date. The method used in this research is event study. To tests for stock prices measured by using abnormal return, whereas trading volume average is measured by comparing turnover before and after the study period. From the research it was concluded that the stock price and trading volume of the stock reacted negatively to the announcement of the dividend information, especially at the ex-dividend date."

"Tesis ini menganalisa pengaruh perubahan regulasi fraksi harga saham dan jumlah lot saham terhadap pola return intraday, volatilitas return, dan volume transaksi saham di Bursa Efek Indonesia. Bipotesis awal diharapkan dengan adanya perubahan regulasi tersebut dapat meningkatkan volume transaksi dan menurunkan risiko volatilitas return saham di Bursa Efek Indonesia. Berdasarkan hasil pengamatan intraday yang dilakukan dengan interval waktu 15 menit terhadap seratus sampel data saham periode 1 Oktober 2013 - 28 Maret 2014, rata-rata volume transaksi meningkat dari 1.205.184 menjadi 1.269.715. Hasil uji statistik t-paired dengan tingkat kepercayaan 95% menyimpulkan bahwa perubahan fraksi harga saham dan jumlah lot saham berpengaruh signifikan terhadap rata-rata volume transaksi di Bursa Efek Indonesia. Basil pengamatan pada periode yang sama menunjukkan penurunan volatilitas return dari 0.0005% menjadi 0.0004%. Namun hasil uji statistik t-paired dengan tingkat kepercayaan 95% menyimpulkan bahwa perubahan fraksi harga saham dan jumlah lot saham tidak berpengaruh signifikan terhadap rata-rata volatilitas return di Bursa Efek Indonesia. Pola return intraday tidak mengalami perubahan dengan adanya regulasi fraksi harga saham dan jumlah lot saham yang baru, dimana rata-rata return intraday tertinggi pada akhir periode perdagangan di Bursa Efek Indonesia.

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This research analyzes the effect of regulatory changes and the fraction of the stock price of the stock and also lot size to patterns intraday returns, volatility return, and volume of stock transactions in Jakarta Stock Exchange. Expected with the initial hypothesis that regulatory changes could increase the volume of transactions and lowering the risk of stock return volatility in the Jakarta Stock Exchange. Based on observations made with the intraday 15-minute time interval of the one hundred shares data samples period October 1, 2013- 28 March 2014, the average transaction volume increased from 1,205,184 into 1,269,715.

Results of paired t-test statistic with 95% confidence level conclude that the change in the fraction of the stock price and stock lot size significantly influence the average transaction volume in the Jakarta Stock Exchange. Observations during the same period showed a decrease in return volatility from 0.0005% to 0.0004%. However, the results of paired t-test with a statistical confidence level of 95 % concluded that the change in the fraction of the stock price and stock lot size does not significantly influence the average return volatility in the Jakarta Stock Exchange. lntraday return pattern does not change with the regulations fractions stock price and lot size, where the highest average intraday return happened at the end of the trading period in Jakarta Stock Exchange"

"Stock Split is one of popular corporate action in capital market. Stock Split is the split of a company's existing stock into more shares. Each stockholder would receive an additional share for each share formerly held depend on the ratio of the split. The implication of the stock split is the pace of the stock becomes cheaper than before, this is something worth for the investors. Furthermore, the demand for the stock will be higher, and the price of the stock will up to certain level which means profitable for the investors. Liquidity is the most mainly listed companies's motivation within stock split, since liquidity is the central theme in the secondary market.This research will examines some problems within stock split are :1. Does stock split influences the stock price changes?2. Does composite stock price indices influences the stock price changes?3. Does earning per share influences the stock price changes?Regarding those problems mentioned above, the objective of this research are :1. Analyzing the influence of stock split to the stock price changes.2. Analyzing the influence of composite stock split indices to the stock price changes.3. Analyzing the influence of earning per share to the stock price changes.The period of the stock split study started from January 1 until December 31 on the year 2000. The samples which is used in the study are the stock listed in the Jakarta Stock Exchange minimum 7.5 months before the effective date of the stock split. The study period in this research from July 1 1999 until April 30, 2001. The study period started 7.5 months before the first listed company announce the stock split in the year 2000 and 4.5 months after the last listed company announce the stock split in the year 2000.The Signaling Hypothesis Theory is the foundation of the research, which indicate the stock split announcement intended to rise a positive signal to the investors. A good prospect of the company is something managements objective of the announcement of stock split. In this scheme, stock split will increase the value of the company.Based on the test and analysis of the statistical result, founded some conclusions which are :1. Stock split during the year 2000 has no positive response from investors. It indicates investors judge the stock split has no influence to company's growth profitability signal for the future.2. During study period, earning per share and earning per share changes significantly correlate to the changes of stock price. This result support the previous research such as Benston (1966), Ball & Brown (1988), and Beaver (1968), where earning per share (EPS) as an accounting profit measurement has a significant influence to the changes of stock price.3. Composite stock price indices (IHSG) variable has no significant influence to the relative stock price changes, nevertheless the changes of composite stock price indices's variable has a significant influence to the relative stock price changes.4. All of the independent variables those are earning per share, composite stock price indices, and stock split together have a significant influence to the relative stock price changes.Based on the conclusion above, researcher gives any suggestions or recommendations to the party related the stock split concern to the investment activity at Jakarta Stock Exchange, those are :1. Timing is a determinant factor for the successful of stock split. Successful timing will determined the liquidity of the stock after stock split. For certain level, bearish market will not support the liquidity of the stock after stock split. That's why maintaining the market psychology for the company is relevant.2. Since investing in the common stock related to the prospect of the company, management must consider and managing the fundamental of the company before making a planning of stock split. Prospective fundamental will support the effectiveness and successfull of the stock split.3. Regarding the decrease of the volume of stock trading, management must aware the the decreasing the value of the stock price, which means management must maintain the appropriate level due to the company's performance. Periodic evaluation of the stock price changes must be scheduled.4. During the study period, researcher find an anomaly due to Signaling Hypothesis Theory. For that reason, based on the theory of Efficient Capital Market, stock split should be implemented for the atmosphere of efficient market On that, stock price reflected the real market reaction under stock split.5. Stock split still remain a puzzling phenomenon to financial analyst and also researchers. That's why, next researchers which cover wider data and period including bullish and bearish market are highly importment to discover the phenomenon of stock split."

"Skripsi ini membahas pengaruh order imbalance terhadap imbal hasil dan volatilitas harga saham teraktif berdasarkan volume perdagangan di Bursa Efek Indonesia. Tujuan penelitian ini adalah untuk menganalisis pengaruh order imbalance terhadap imbal hasil dan volatilitas. Pendekatan yang digunakan adalah pendekatan kuantitatif dengan menggunakan teknik purposive sampling pada saham teraktif berdasarkan volume perdagangan di Bursa Efek Indonesia selama kuartal kedua (April-Juni) Tahun 2011. Penelitian ini menggunakan data time series dengan model Mixed Multiple Linear Regression (MMLR). Hasil penelitian menunjukkan bahwa order imbalance memiliki pengaruh positif yang signifikan terhadap imbal hasil dan volatilitas harga saham.

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The focus of this study is the order imbalance effect's on return and price volatility of the most active stocks based on trading volume in Indonesian Stock Exchange. The purpose of this study is to analyze the order imbalance effect's on return and volatility. This research is quantitative explanative with purposive sampling technique on the most active stocks based on trading volume in Indonesian Stock Exchange 2nd quarter (April-June) 2011. This research employs time series data with Mixed Multiple Linear Regression Model (MMLR). The results showed order imbalance has positive significant effect on return and stock price volatility."