Market Reaction Toward the Announcement of Domestic Market Obligation for Coal Price

International Journal of Economics and Management Studies
© 2020 by SSRG - IJEMS Journal
Volume 7 Issue 2
Year of Publication : 2020
Authors : Reynaldi Prasetyo , Mahatma Kufepaksi , Sri Hasnawati
pdf
How to Cite?

Reynaldi Prasetyo , Mahatma Kufepaksi , Sri Hasnawati, "Market Reaction Toward the Announcement of Domestic Market Obligation for Coal Price," SSRG International Journal of Economics and Management Studies, vol. 7,  no. 2, pp. 151-154, 2020. Crossref, https://doi.org/10.14445/23939125/IJEMS-V7I2P122

Abstract:

This paper compares the impact of Domestic Market Obligation (DMO) on stock returns for coal mining company stocks for 10 event-days on March 2018. The study computes abnormal returns for 19 mining companies using event study methodology and Trading Volume Activity to prove information content of Domestic Market Obligation for Coal Price. The result shows that this event has information content, which caused the Indonesian capital market to react to the event. The number of Abnormal Returns that occurred in the window period was 4 times. Although the capital market seems to react, the capital market does not significantly provide Abnormal Returns when the DMO policy takes place. However, Trading Volume Activity before and after the announcement of the DMO policy showed a significant change in the significance level of 5%.

Keywords:

Domestic Market Obligation (DMO), Event Study, Trading Volume Activity

References:

[1] Ang, Robert., Buku Pintar Pasar Modal Indonesia, Erlangga, Jakarta., (2012).
[2] Bi-Huei, T.,Market Reactions to Oil Price Changes in Taiwan’s Transportation Industry. National Chiao Tung University, 13 (2018).
[3] Kusumayanti, K. R., Reaksi Pasar Modal Indonesia terhadap Pengumuman Kemenangan Donald Trump dalam Pilpres Amerika Serikat 2016 Fakultas Ekonomi dan Bisnis Universitas Udayana , Bali., (2018).
[4] Munawarah., Analisis Pebandingan Abnormal Return dan Trading Volume Activity Sebelum dan Sesudah Suspend BEI (Studi Kasus pada Saham LQ-45 di BEI periode 6-15 Oktober 2008)., (2009).
[5] Sanjiwani, P. D. A., & Jati, I. K.,  Reaksi Pasar Modal Terhadap Kebijakan Tax Amnesty Pada Saat Pengumuman Dan Akhir Periode I. E-Jurnal Akuntansi Universitas Udayana, 19 (2017) 1–28.
[6] Steeves, G., & da Costa, N., Shareholder response to mass shootings in the United States firearms industry. Cogent Economics and Finance, 5(1) (2017) 1–11.https://doi.org/10.1080/23322039.2017.1345600
[7] Tao, F.; Liu, X.; Gao, L.; and Xia, E., Do cross-border mergers and acquisitions increase short-term market performance? The case of Chinese firms, International Business Review ., 26 (2017) 189–202. 
[8] Wulan, D. C., Handayani, S. R., Nurlaily, F., & Administrasi, F. I., Analisis Abnormal Return Dan Trading Volume Activity Terhadap Pengumuman Unusual Market Activity (Studi pada Perusahaan yang Terdaftar dalam Pengumuman Unusual Market Activity di BEI Tahun 2015-2017 ), 61(1) (2018) 173–180.
[9] Wulff, Christian., The Market Reaction To Stock Splits – Evidence From Germany, Schmalenbach Business Review Institute of Banking Humboldt Universitat Zu Berlin International, 54 (2002) 270 – 297.
[10] J. Padhye, V. Firoiu, and D. Towsley, A stochastic model of TCP Reno congestion avoidance and control, Univ. of Massachusetts, Amherst, MA, CMPSCI Tech. Rep., (1999) 99-02.
[11] Zubir, Zalmi., Manajemen Portofolio – Penerapan dalam Investasi Saham, Salemba Empat, Jakarta., (2014).