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REPOSITORY

EARNINGS ANNOUNCEMENT, ABNORMAL RETURNS, AND MARKET EFFICIENCY IN INDONESIA EQUITY MARKET: AN ANALYSIS FROM INDUSTRIAL FACTOR PERSPECTIVE
PENULIS
Dr. Rexon Nainggolan, S.E., M.M., M.Ak., CA., CPA
TANGGAL
01 December 2023
ABSTRAK

ABSTRACT – The paper examines the market efficiency of nine industry sectors of the IDX market. Using  an  event  window  of  30  days  post-earnings  announcement  stock  returns  after  the  public announcement of the financial statements as of 31 December 2018, the study tests the significance of  cumulative  average  abnormal  returns  surrounding  the  earnings  announcement.  The  study concludes  that  there  are  significant  variances  in  the  market  efficiency  towards  earnings announcement across nine industry sectors in IDX. The finding indicates that the industry-specific factors influence the level of abnormal returns surrounding the earnings announcement. However, the findings reject the market efficiency in agriculture (AGRI) and property, real estate, and building (PROP) industries. The results illustrate that the miscellaneous industry (MISC) reacts immediately to the earnings announcement, but its significance is only for a short period. The infrastructure, utilities, and transportation (INFRA) industry show delays in its response to the announcement but continuously  significant  for  a  relatively  long  period.  Other  industries  of  mining  (MINING),  basic industry and chemicals (BASIC), construction, real estate, and building (CONS), financial (FIN), as well  as  trading,  services,  and  investments  (TSI),  report  significant  negative  CAARs  in  all investigated windows. The One Way ANOVA testing concludes that the nine industries' cumulative average abnormal returns on IDX are significantly different from each other sectors. 

KEYWORDS Abnormal Returns, Earnings Announcement, Industry, Market Efficiency

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