ABSTRACT
This event study examines the stock price reaction to the merger announcement of three major Islamic banks in Indonesia, namely BNIS, BRIS, and BSM to become Indonesia Islamic Bank (ticker code BRIS). This study analyzes whether there is an abnormal return around the merger announcement on 14 days window period. Using a daily stock price of BRIS, market index, and trading volume we calculated abnormal return and risk using market model Sharpe 's single index model. Analysis of the 14 days window period found that there is an insignificant abnormal return before and after the Islamic banking merger and Indonesia Stock Exchange has been categorized as weak-form efficiency. The results of statistical tests reveal that stock returns and trading volume react positively after the merger announcement and are significant at 5% alpha.
ABSTRACT
This research is an event study that evaluates the performance of large market capitalization shares using a performance model that is adjusted to risks due to the COVID-19 outbreak. The study measured the performance of large market capitalization stocks which represented each tick size on the Indonesian Stock Exchange during the COVID-19 pandemic using the Sharpe Index, the Treynor Ratio, and Jensen’s Alpha. The sample selection used a purposive sampling technique and 24 stocks were selected as samples in the study. We used the daily closing price of stocks, the Indonesia composite index, and average risk-free rate return (BI rate). By using Jensen’s Alpha, this study found that FREN was the highest beta with a value of 1.8189, indicating that the index was an effective and well-diversified stock. FREN is low priced and the highest market capitalization stock in its tick size (third tier stocks). Jensen’s Alpha is good for measuring the performance of large capitalization and low-priced stocks. There are eight stocks that always have negative values in each method of measuring stock performance, which indicates that these stocks underperformed during COVID-19.