UNUSUAL MARKET ACTIVITY (UMA) IN INDONESIA STOCK MARKET RETURN PERIOD 2017: BEFORE AND AFTER DIFFERENCES

• Main Author: Rafif Anas (NIM 19014151), Muhammad
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/23305
• Institution: Institut Teknologi Bandung

Unpredictable economic conditions push the stock price volatility issue become <br /> <br /> important among investors. But it is unfortunate that currently the majority of investors <br /> <br /> prefer choosing an investment instrument based on their confidence and market news <br /> <br /> that is currently circulating, not by doing technical or fundamental analysis. Such <br /> <br /> phenomena can be bad for stock market conditions can even lead to financial crisis like <br /> <br /> stock market bubble. Because of that, exchange authorities in Indonesia which is IDX <br /> <br /> (Indonesia Stock Exchange) issued some regulation such as suspend, UMA (Unusual <br /> <br /> Market Activity), and delisting that relate to preventing irrational prices from appearing <br /> <br /> on the stock market and make the market become more inefficient, where in this study <br /> <br /> the author only focusing in UMA regulation. <br /> <br /> One of UMA's few researches in Indonesia is done by (Oriana, 2013) with the sample <br /> <br /> of UMA stocks from 2008 - 2012, it came up with a couple conclusions that are quite <br /> <br /> contrary to each other. First, the purpose of maintaining regular stock trading and <br /> <br /> warning investor by issuing UMA announcement is reached. On the other hand, the <br /> <br /> UMA announcement does not protect investors as actors in the market. Based on that <br /> <br /> research, this study is analyzing the effect of UMA policy in 2017 using descriptive <br /> <br /> analysis, calculating the return, abnormal return (AR), cumulative abnormal return <br /> <br /> (CAR), and paired t-test to analyze the data and interpret the results. The result intended <br /> <br /> that UMA do not have a direct impact and significant difference to stock return. <br /> <br /> Nevertheless, UMA successfully achieved its objective and maintain the abnormal <br /> <br /> return in increased condition with the significant difference around the announcement. <br /> <br /> While in decreased condition, UMA cannot be said has successfully maintain the <br /> <br /> abnormal return directly.