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

References

Ada, Alpius, Jao, Robert, & Beauty. (2018). Perbedaan Abnormal Return dan Volume Perdagangan Saham Sebelum dan Sesudah Pengumuman Sustainability Reporting Award (SRA) Tahun 2017. Jurnal Sistem Informasi, Manajemen, dan Akuntansi Vol. 16 , 62-78.

Aggarwal, P. (2013). SUSTAINABILITY REPORTING AND ITS IMPACT ON CORPORATE FINANCIAL PERFORMANCE:A LITERATURE REVIEW. Indian Journal of Commerce & Management Studies, Vol. IV , 51-59.

Apriyanti, & Sidanti, H. (2016). PERBEDAAN ABNORMAL RETURN DAN VOLUME PERDAGANGAN SAHAM SEBELUM DAN SETELAH PENGUMUMAN PEMENANG AWARD TAHUN 2014 PADA PERUSAHAAN YANG LISTING DI BURSA EFEK INDONESIA. Ekuilibrium : Jurnal Ilmiah Bidang Ilmu Ekonomi , 91-98.

Biktimirov, E. N., & Xu, Y. (2019). Market reactions to changes in the Dow Jones industrial average index. International Journal of Managerial Finance , 792-812.

Budiman, F., & Supatmi. (2009). Pengaruh Pengumuman Indonesia Sustainability Reporting Award (ISRA) Terhadap Abnormal Return Dan Volume Perdagangan Saham (Studi Kasus Pada Perusahaan ISRA Periode 2005- 2008). Simposium Nasional Akuntansi XII. Palembang, 4-6 November 2009.

Dewi, K. E., & Sudana, I. P. (2015). Sustainability Reporting dan Profitabilitas (Studi pada Pemenang Indonesia Sustainability Reporting Awards). Jurnal Ilmiah Akuntansi dan Bisnis, Vol. 10. No. 1.

Elkington, J. (1994). Towards the Sustainable Corporation: Win-Win-Win Business Strategies for Sustainable Development. California Management Review , 90-100.

Ghozali, Imam. (2018). Aplikasi Analisis Multivariate Dengan Program SPSS. Semarang: Badan Penerbit Universitas Diponegoro.

Hamudiana, A., & Achmad, T. (2017). Pengaruh Tekanan Stakeholder TErhadap Transparansi Laporan Keberlanjutan Perusahaan - Perusahaan di Indonesia. Diponegoro Journal of Accounting , 1-11.

Ilmi, M., Kustono, A. S., & Sayekti, Y. (2017). Good Corporate Governance, Corporate Social Responsibility Disclosure And Managerial Ownership To The Corporate Value With Financial Performance As Intervening Variables: Case On Indonesia Stock Exchange. International Journal of Social Science , 75-88.

Jogiyanto. (2017). Teori Portofolio dan Analisis Investasi Edisi 11. Yogyakarta: BPFE.

Kumar, N. S. (2019). A Study on Corporate Social Responsibility in India. International Journal of Science and Research (IJSR) , 1528-1531.

Lindawati, A. S., & Puspita, M. E. (2015). Corporate Social Responsibility : Implikasi Stakeholder dan Legitimacy Gap dalam Peningkatan Kinerja Perusahaan. Jurnal Akuntansi Multiparadigma Vol. 6 .

Muzdalifah Azis, et. all. (2015). Manajemen Investasi: Fundamental, Teknikal, Perilaku Investor, dan Return Saham. Yogyakarta : Deepublish.

Nugroho, P. I., & Arjowo, I. S. (2014). The Effects of Sustainability Report DisclosureTowards Financial Performance. International Journal of Business and Management Studies , 225-239.

Nurhaeni, N. (2009). Dampak Pemilihan Umum Legislatif Indonesia Tahun 2009 Terhadap Abnormal Return dan Aktivitas Volume Perdagangan Saham di BEI (Uji Kasus Pada Saham yang Terdaftar Dalam Kelompok Perusahaan LQ 45) (Doctoral dissertation, UNIVERSITAS DIPONEGORO).

Randa, F., & Liman, W. I. E. S. E. (2012). Analisis Perbedaan Abnormal Return dan Volume Perdagangan Saham Sebelum Dan Sesudah Pengumuman Indonesian CSR Awards. Jurnal Sistem Informasi Manajemen dan Akuntansi, 10(2).

Ross, S. A. (1977). The determination of financial structure: The incentive signaling structure. Bell Journal of Economics, 8: 23-40

Rudyanto, A., & Siregar, S. V. (2018). The effect of stakeholder pressure and corporate governance on the sustainability report quality. International Journal of Ethics and Systems , 233-249.

Silvasankari, P. (2018). Corporate Social Responsibility the Need of the Hour. International Journal of Science and Research (IJSR) , 215-216.

Sumatriani, Pagalung, G., Said, D., & Pontoh, G. T. (2017). The Effect of Corporate Governance on Corporate Social Responsibility Disclosure. International Journal of Science and Research (IJSR) , 2215-2218.

Swissia, P., & Darmawan, F. E. (2019). Analisis Perbedaan Abnormal Return, Volume dan Harga Perdagangan Saham Sebelum dan Sesudah Pengumuman Indonesia Sustainability Reporting Award (ISRA). Jurnal Akuntansi & Keuangan .

Wijayanti, R. (2016). Pengaruh Pengungkapan Sustainability Report Terhadap Kinerja Keuangan Perusahaan. Syariah Paper Accounting FEB UMS .

Downloads

Published

2023-12-07

Issue

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

Section

Articles

License

Authors who publish with this journal agree to the following terms:

Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.

Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.

Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).
Abstract 243  .
PDF downloaded 253  .