MARKET REACTION ON THE ANNOUNCEMENT OF  SRI KEHATI INDEX IN INDONESIAN STOCK EXCHANGE

Anggita Langgeng Wijaya; Mia Noviyanti; Probo Mahayu

doi:10.29358/sceco.v0i30.440

MARKET REACTION ON THE ANNOUNCEMENT OF SRI KEHATI INDEX IN INDONESIAN STOCK EXCHANGE

Authors

Anggita Langgeng Wijaya Universitas PGRI Madiun http://orcid.org/0000-0003-1009-8817
Mia Noviyanti
Probo Mahayu

DOI:

https://doi.org/10.29358/sceco.v0i30.440

Keywords:

Market Reaction, Sri Kehati Index, Corporate Social Responsibility, Abnormal Return, Trade Volume

Abstract

The purpose of this study was to test the market reaction to the announcement of the Sri Kehati Index on the Indonesia Stock Exchange. The population in this study is all companies included in the Sri Kehati Index from 2013 to 2016. The selection of samples was taken by the population sampling method. Hypothesis testing is done by paired t test and Wilcoxon Signed Rank Test. The findings of this research are: 1) there is no difference in abnormal returns before and after the announcement of the Sri Kehati Index on the Indonesia Stock Exchange. 2) There is a difference in the activity of stock trading volume before and after the announcement of the Sri Kehati index in the 5th and 6th periods, but there is no difference in the activity of stock trading volume in other periods. The Indonesia Stock Exchange did not react consistently to the announcement of the Sri Kehati Index.

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Author Biographies

Anggita Langgeng Wijaya, Universitas PGRI Madiun

Accounting
Mia Noviyanti
Probo Mahayu

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Published

31.12.2019

Issue

No. 30 (2019)

Section

Articles

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How to Cite

Wijaya, A. L., Noviyanti, M., & Mahayu, P. (2019). MARKET REACTION ON THE ANNOUNCEMENT OF SRI KEHATI INDEX IN INDONESIAN STOCK EXCHANGE. Studies and Scientific Researches. Economics Edition, 30. https://doi.org/10.29358/sceco.v0i30.440