Analysis of Capital Market Reactions To The Merger of Indonesian Sharia Banks: BRIS Stocks Evidence

Grisvia Agustin

Abstract


This study aims to obtain evidence of the stock market’s reaction to the merger of Indonesian Islamic banks and its prediction power to JCI. The variables used in this study are abnormal returns and trading volume activity with an observation period of 60 days before the event and 60 days after the event. We use 2 types of time series data, which are daily data to analyze AR and trading volume activity, and weekly data to analyze the causality relationship. The results showed that there were no differences in abnormal returns before and after the merger, but there were differences in trading volume activity before and after the merger. In addition, this study also aims to determine the reciprocal relationship using Granger causality between the JCI and BRIS stocks prices before and after the merger of Indonesian Islamic banks. The results of the study show that there is no reciprocal relationship between the Composite Stocks Price Index and the stock’s price of BRIS and vice versa.


Keywords


Abnormal Return; Trading Volume Activity; Granger Causality

Full Text:

PDF

References


Adipalguna, I. G. N. S., & Suarjaya, A. A. G. (2017). Pengaruh Likuiditas, Solvabilitas, Aktivitas, Profitabilitas, dan Penilaian Pasar Terhadap Harga Saham Perusahaan LQ45 di BEI. E-Jurnal Manajemen Unud, 5(2302–8912), 7638–7668.

Aldiena, E., & Al Hakim, H. M. (2019). The Impact of Companies’ Internal Factors on The Performance of Their Stock Returns. Journal of Islamic Economic Laws (Vol. 2, Issue 1).

Alexander, & Kadafi, M. A. (2018). Analisis Abnormal Return dan Trading Volume Activity Sebelum Dan Sesudah Stock Split Pada Perusahaan Yang Terdaftar di Bursa Efek Indonesia. Jurnal Manajemen, 10(1). http://journal.feb.unmul.ac.id/index.php/jurnalmanajemen

Anwar, Fahrizal, & Asandimitra, N. (2018). Analisis Perbandingan Abnormal Return, Trading Volume Activity, dan Bid-Ask Spread Sebelum dan Sesudah Stock Split

Astricia, Rivanny., Isni Andriana dan Reza Ghasarma. (2020). Banking Stock Abnormal Return Analysis of Pre and Post Merger and Acquisition in Indonesia. Jembatan: Jurnal Ilmiah Manajemen. Vol. 17, No.1, April 2020.

Aziz, M., Mintarti, S., & Nadir, M. (2015). Manajemen Investasi Fundamental, Teknikal, Perilaku Investor dan Return Saham. Deepublish.

Carrasco-Gutierrez, Carlos Enrique and Francisco Helano De Oliveira Farias. (2017). The Effects of Mergers and Acquisitions on the Stock Performance: Evidence from the Brazilian Stock Market. February 2017. Research Journal of Finance and Accounting 8(6):66.

Chetri, S. D., & Baral, R. P. (2018). Event Study of Effect of Merger Announcement on Stock Price in Nepal.

Chrisnanti, F., &Trisakti, S. (2015). Perbedaan Nilai Actual Return, Expected Return, Abnormal Return, Trading Volume Activity dan Security Return Variability Sebelum dan Sesudah Merger Pada Perusahaan yang Terdaftar di Bursa Efek Indonesia (Vol. 17, Issue 1). http://www.tsm.ac.id/jba

Darlis, E., &Zirman. (2011). Dampak Publikasi Akuisisi Pada Perusahaan Pengakuisisi. 1–12.

Dewi, S. L., & Widjaja, I. (2021). Analisis Pengaruh Merger dan Akuisisi Terhadap Kinerja Keuangan dan Abnormal Return Pada Perusahaan di Bursa Efek Indonesia Tahun 2014-2018.

Fatmawati, E., & Azizah, L. N. (2020). Pengaruh Akuisisi dan Right Issue Terhadap Abnormal Return Saham. Jesya (Jurnal Ekonomi & Ekonomi Syariah), 4(1), 278–289. https://doi.org/10.36778/Jesya.V4i1.329

Fidhayatin, S. K., & Uswati Dewi, N. H. (2012). Analisis Nilai Perusahaan, Kinerja Perusahaan dan Kesempatan Bertumbuh Perusahaan Terhadap Return Saham Pada Perusahaan Manufaktur yang Listing di BEI. The Indonesian Accounting Review, 2(02), 203. https://doi.org/10.14414/Tiar.V2i02.96

Finance.Yahoo.Com.2021. Pt Bank Syariah Indonesia Tbk (BRIS.Jk). https://finance.yahoo.com/quote/bris.jk/history?P=BRIS.Jk. Diakses Tanggal 2 November 2021

Gok, Remzi & Erhan Cankal. (2020). Granger Causal Relationship Between Bond Yield Changes and Equity Returns Through Wavelets Analysis: The Case of Turkey. Ege Academic Review. Cilt 20, Sayı 4, Ekim 2020 SS. 301 / 317 DOI: 10.21121/eab.618452 Başvuru Tarihi: 11.09.2020, Kabul Tarihi: 20.09.2020.

Handayani, W., & Oktavia, S. (2018). Effect of Rupiah Exchange Rate, GDP Growth, and Dow Jones Index on Composite Stock Price Index in Indonesia Stock Exchange. Journal of Accounting and Strategic Finance, 1(01), 23–32. https://doi.org/10.33005/Jasf.V1i01.24

Haryanto, S., Mardiyati, U., & Buchdadi, A. D. (2018). Analyzing Abnormal Return Before and After The Announcement of Merger and Acquisition in 2018. Journal of Business and Behavioral Entrepreneurship, 2(1), 9–17. https://doi.org/10.21009/Jobbe.002.1.02

Hasanah, S. M., &Maspupah, I. (2018). SCAPM (Shariah Compliant Asset Pricing Model); The Formula of Risk and Return Modification in Islamic Finance. Al-Tijary, 2(2), 177. https://doi.org/10.21093/At.V2i2.686

Huizinga, H. P., Nelissen, J. H. M., & Vander Vennet, R. (2001). Tinbergen Institute Efficiency Effects of Bank Mergers and Acquisitions in Europe.

Hussainey, K., & Khanh Ngoc, L. (2009). The Impact of Macroeconomic Indicators on Vietnamese Stock Prices. Journal of Risk Finance, 10(4), 321–332. https://doi.org/10.1108/15265940910980632

Kristanto, M. E., & Idris. (2016). Analisis Pengaruh Inflasi, Kurs, Dan Suku Bunga Terhadap Pergerakan Bersama Return Saham IHSG dan Volume Perdagangan Periode Januari 2006–Desember 2015. Diponegoro Journal of Management, 5, 3(2337–3806), 1–15.

Kumar, Muneesh., dan Shalini Kumar. (2011). Relationship Between Merger Announcement and Stock Returns: Evidence from Indian Banking. Banks and Bank Systems, Volume 6, Issue 4, 2011.

Kusumayanti, K. R., & Suarjaya, A. A. G. (2018). Reaksi Pasar Modal Indonesia Terhadap Pengumuman Kemenangan Donald Trump dalam Pilpres Amerika Serikat 2016. 7(4), 1713–1741. https://doi.org/10.24843/Ejmunud.2018.V7.I04.P01

Mackinlay, A. C. (1997). Event Studies In Economics And Finance. Journal of Economic Literature (Vol. 35, Issue 1).

Mahendra, I. K. R., & Rasmini, N. K. (2019). Reaksi Pasar Terhadap Kenaikan Bank Indonesia 7-Day Reverse Repo Rate Tanggal 15 Agustus 2018. E-Jurnal Akuntansi, 2066. https://doi.org/10.24843/Eja.2019.V27.I03.P16

Mayangsari, R. (2018). Pengaruh Struktur Modal, Keputusan Investasi, Kepemilikan Manajerial, dan Komite Audit Terhadap Nilai Perusahaan Aneka Industri yang Listing di Bursa Efek Indonesia Periode 2012-2016.

Meta.Cw, A. (2009). Analisis Manajemen Laba dan Kinerja Keuangan Perusahaan Pengakuisisi Sebelum dan Sesudah Merger dan Akuisisi yang Terdaftar di Bursa Efek Indonesia Tahun 2008-2009. 1–25.

Mubarokah, L., & Sucipto, A. (2011). Trading Volume Activity And Bid-Ask Spread Before And After The Merger Announcement. In Jurnal Keuangan dan Perbankan (Vol. 84, Issue 1).

Muharam, Harjum., Resi Junita Anwar, Robiyanto Robiyanto. (2019). Islamic Stock Market and Sukuk Market Development, Economic Growth, and Trade Openness (The Case of Indonesia and Malaysia). Verslas: Teorija Ir Praktika / Business: Theory And Practice. ISSN 1648-0627 / eISSN 1822-4202. 2019 20: 196–207. https://doi.org/10.3846/btp.2019.19

Murniati, S. (2016). Effect of Capital Structure, Company Size and Profitability on The Stock Price of Food and Beverage Companies Listed on The Indonesia Stock Exchange. Information Management and Business Review (Vol. 8, Issue 1).

Nugraha, A., & Daud, R. (2013). Pengaruh Pengumuman Right Issue Terhadap Tingkat Keuntungan dan Likuiditas Saham di Bursa Efek Indonesia.

Nugroho, C., Rusydi Didin, F., & Satria Wijaya, P. (2021). Analisis Kinerja 3 Saham Bank Syariah di Masa Pandemi Covid-19. Halal Research (Vol. 1, Issue 2).

Nurussobakh. (2009). Perbedaan Actual Return, Abnormal Return, Trading Volume Activity Dan Security Return Variability Saham Sebelum dan Setelah Merger. In Jurnal Keuangan dan Perbankan (Vol. 13, Issue 1).

Nuryana, I. (2017). Analisis Reaksi Pasar Modal Terhadap Pengangkatan Joko Widodo Sebagai Presiden Republik Indonesia.

Putri, D. A. R., Rahmawati, E., & Sofyani, H. (2018). Asimetri Informasi dan Mandatory Disclosure Konvergensi International Financial Reporting Standard: Efek Terhaadap Relevansi Nilai Informasi Laba dan Nilai Buku. Media Riset Akuntansi, Auditing & Informasi, 18(1), 1. https://doi.org/10.25105/Mraai.V18i1.2807

Qomariah, N. (2014). Analisis Return Saham, Abnormal Return dan Trading Volume Activity Terhadap Pengumuman Merger dan Akuisisi (Study Kasus Pada Perusahaan yang Terdaftar di Bursa Efek Indonesia Periode 2010-2014).

Rahmadewi, P. W., &Abundanti, N. (2018). Pengaruh Eps, Per, Cr, Dan Roe Terhadap Harga Saham Di Bursa Efek Indonesia. 7(4), 2106–2133. Https://doi.org/10.24843/Ejmunud.2018.V7.I04.P14

Raj, J. M., Kasmir, J., Senthilkumar, S. R., Britto, S. J., Joelri, L., & Raj, M. (2011). Identification of Fungal Endophytes From Orchidaceae Members Based on NRITS (Internal Transcribed Spacer) Region. International Research Journal f Biotechnology (Vol. 2, Issue 6). http://www.interesjournals.org/irjob

Schaik, D. Van, & Steenbeek, O. W. (2004). Price and Volume Effects of Merger Bids in Japan.

Setiyono, A. T., &Rinwatin. (2021). Euforia Merger-Harga Saham dan Trading Volume BRIS. Jurnal Magisma, Ix, 144–151.

Soebagiyo, D. (2007). Kausalitas Granger PDRB Terhadap Kesempatan Kerja di Provinsi DATI I Jawa Tengah. In Jurnal Ekonomi Pembangunan (Vol. 8, Issue 2).

Shahzad, Syed Jawad Hussain., Chaker Aloui, Rania Jammazi & Muhammad Shahbaz. (2019). Are Islamic Bonds A Good Safe Haven For Stocks? Implications For Portfolio Management in A Time-Varying Regime-Switching Copula Framework. Applied Economics. 51:3, 219-238, DOI: 10.1080/00036846.2018.1494376

Sri Rahayu, Y., Kusuma Wardana, G., &Penulis, N. (2021). The Effect ff Financial Performance and Dividend Policy on Cumulative Abnormal Return. 9(1).

Suci, M. P. (2021). Analisis Reaksi Pasar Modal Terhadap Peristiwa Pengumuman Merger Bank Syariah (Event Study Pada Saham BRI Syariah). Jurnal Ekonomi, Manajemen, Bisnis dan Sosial (Embiss), 1(4), 340–352. https://embiss.com/index.php/

Sufian, & Fadzlan. (2004). The Efficiency Effects of Bank Mergers and Acquisitions in A Developing Economy: Evidence From Malaysia. In International Journal of Applied Econometrics and Quantitative Studies (Vol. 1, Issue 4).

Suherman, Nuraisyah., R., & Ahmad, G. N. (2016). Abnormal Return dan Likuiditas Saham Atas Pengumuman Akuisisi. www.kppu.go.id.

Sumantri, F. A. (2017). Kinerja Keuangan, Abnormal Return Sebelum dan Setelah Pengumuman Merger. Agregat: Jurnal Ekonomi dan Bisnis, 1(1), 73. https://doi.org/10.22236/Agregat_Vol1/Is1pp73-93

Supriyono, Rodoni, A., Suparno, Y., Hermadi, & Nafisah, H. (2019). Efficiency Performance Analysis of Panin Dubai Syariah Bank in Collecting and Distributing Third Party Funds Before and After Merger (Vol. 05, Issue 01). http://jurnal.radenfatah.ac.id/indez.php/i-finance

Tang, X., & Yao, X. (2018). Do Financial Structures Affect Exchange Rate and Stock Price Interaction? Evidence From Emerging Markets. Emerging Markets Review, 34, 64–76. https://doi.org/10.1016/j.ememar.2017.10.004

Tricahyadinata, I. (2016). Indeks Harga Saham Gabungan (IHSG) dan Jakarta Interbank Offered Rate (JIBOR); Kinerja Reksadana Campuran. Jurnal Ekonomi Keuangan, dan Manajemen, 12, 2(0216–7786). http://journal.feb.unmul.ac.id

Wairooy, M. A. (2019). Pengaruh Pengumuman Merger Terhadap Abnormal Return dan Aktivitas Volume Perdagangan Saham (Studi Pada Perusahaan Perbankan di Bank Indonesia). Jurnal Ekonomi Balance Fakultas Ekonomi dan Bisnis, 15(2). https://journal.unismuh.ac.id/index.php/balance.

Winarti, A. (2021). Dampak Covid-19 Terhadap Harga Saham Bank Syariah di Bursa Efek Indonesia. Jurnal Sekuritas, 4(2), 96.

Wu, Cheng-Wei., Jeffrey Reuer, Roberto Ragozzino. (2013). Insights of Signaling Theory for Acquisitions Research. Advances in Mergers and Acquisitions 12:173-191. July 2013. DOI:10.1108/S1479-361X(2013)0000012010.

Yilanci, Veli; Ozgur, Onder; Gorus, Muhammed Sehid. (2021). Stock Prices and Economic Activity Nexus in OECD Countries: New Evidence from An Asymmetric Panel Granger Causality Test in The Frequency Domain. Financial Innovation. ISSN 2199-4730, Springer, Heidelberg, Vol. 7, Iss. 1, pp. 1-22, https://doi.org/10.1186/s40854-020-00221-1

Zuhri, Saefudin., Mochammad Pahlevi, Muhammad Nur Abdi, Dasih Irma, & Sari Maemunah. (2020). The Impact of Merger and Acquisition on Financial Performance in Indonesia. Journal of Reseacrh in Business, Economics, and Education. Volume 2 Issue 1 February Edition 2020. E-ISSN 2686-6056.




DOI: https://doi.org/10.26905/jkdp.v26i3.7678

Refbacks

  • There are currently no refbacks.


Bookmark and Share


Jurnal Keuangan dan Perbankan (Journal of Finance and Banking)

Diploma Program of Banking and Finance, Faculty of Economics and Business, University of Merdeka Malang

Published by University of Merdeka Malang

Mailing Address:
2nd floor Finance and Banking Building, Jl. Terusan Raya Dieng No. 57 Malang, East Java, Indonesia
Phone: +62 813-3180-1534
Email: jkp@unmer.ac.id

This work is licensed under a Creative
Commons Attribution-ShareAlike 4.0