ANALYSIS OF CAPITAL MARKET REACTION BEFORE AND AFTER SUSTAINABILITY REPORTING AWARD

Authors

  • Ang Swat Lin Lindawati Accounting Department, School of Accounting, Bina Nusantara University, Jakarta, Indonesia, 11480
  • Sandra Setyaningrum Accounting Department, School of Accounting, Bina Nusantara University
  • Archie Nathanael Mulyawan Accounting Department, School of Accounting, Bina Nusantara University, Jakarta, Indonesia, 11480
  • Meiryani Meiryani Accounting Department, School of Accounting, Bina Nusantara University, Jakarta, Indonesia, 11480

DOI:

https://doi.org/10.21512/jafa.v10i2.9894

Keywords:

SRA, Abnormal Return, Trading Volume Activity, Before COVID 19

Abstract

The attention of investors and potential investors to environmental and economic reporting social issues is increasing along with the number of environmental cases that occur in Indonesia. Companies that win the Indonesia Sustainability Reporting Award will boost the company's image in the eyes of the public because it has won an award which prioritizes harmony between economic, social and environmental aspects. The purpose of this study was to analyze the reaction of the capital market before COVID-19 in companies that Achieved the Sustainability Reporting Award around the announcement date Sustainability Reporting Award in 2015-2019 (the period before COVID-19), measured using abnormal return and trading volume activity. This study will provide data and information regarding the capital market reaction period before covid 19 which it will use for further research related to the efficiency capital market hypothesis. The period that is used in this research is D-5 (before the announcement) and D + 5 (after the announcement). This study used the data from Yahoo Finance Secondary, such as adjusted closing stock price and closing price of JCI. Samples were selected by purposive sampling method so that the samples Obtained were 53 companies. The analytical method used in this observation is a paired sample t-test using SPSS 20 software. The results of this study indicate that there are no significant differences in abnormal return and trading volume activity between the period prior and the period after the announcement.

Dimensions

Plum Analytics

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Published

2023-12-07

Issue

Vol. 10 No. 2 (2023): Publish on December 2023

Section

Articles

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