Steel and aluminium industry reactions of import rate announcement: Event study analysis

Anisyah Nur  Kuswati; Faizah Syihab; Rizka  Ramayanti

doi:10.55980/ebasr.v1i2.10

Authors

Anisyah Nur Kuswati Department of Management, Faculty of Economics and Business, University of Trilogi
Faizah Syihab Department of Management, Faculty of Economics and Business, University of Trilogi https://orcid.org/0000-0002-0424-2811
Rizka Ramayanti Department of Accounting, Faculty of Economics and Business, University of Trilogi. https://orcid.org/0000-0002-3979-4763

DOI:

https://doi.org/10.55980/ebasr.v1i2.10

Keywords:

abnormal return, ARCH/GARCH, event study, trading volume activity, comparative analysis

Abstract

The study aims to find out the investor reaction to the announcement of import tariffs changes for the steel and aluminum sector. The study used the event study method, through the calculation of abnormal returns and trading volume activities which has the 11 event periods (ARCH/GARCH). The sample is public listed steel and aluminum firms, consist of daily stock prices, trading volume, and price index. One-sample test result showed abnormal returns variable are significant in the period before the announcement event, whereas the significant results only occurred on the period three after the event. Meanwhile, for the trading volume activities, the significant result show differences during the entire period. It can be said that the steel and aluminum industries being affected by the tariff announcement. As for two-samples test showed that there is not significant differences before and after the announcement event displayed, on abnormal returns and trading volume activity variable. Therefore, there is a shock influenced the stock return and show reaction by the announcement. From the study, abnormal return quickly returns to normal state and proved that the market in semi-strong efficiency category.

References

Ahmad, F., & Aminu Zubairu, S. (2022). The Impact of Population, Export, and Capital Formation to The Oil Consumption and Economic Growth in Indonesia. Economics, Business, Accounting & Society Review, 1(1), 9–20. https://doi.org/10.55980/ebasr.v1i1.12

Agustin, S. (2017). Comparative Analysis of Trading-Volume Activity and Abnormal Return Before and After Stock Split. International Journal of Scientific and Research Publications, 7(11), 478. www.ijsrp.org

Ary Gumanti, T. A. G., Savitri, E., Wahidatun Nisa, N., & Sri Utami, E. (2018). Event Study on the Crash of Airasia Plane: A Study on Travel and Leisure Companies Listed at Malaysian Stock Market. Jurnal Akuntansi Dan Keuangan, 20(1), 20–26. https://doi.org/10.9744/jak.20.1.20-26

Dimson, E., & Mussavian, M. (2020). Market efficiency. The Current State of Business Diciplines, 3, 959–970. https://doi.org/10.3905/jpm.1985.409033

Dubravska, M., & Sira, E. (2015). The Analysis of the Factors Influencing the International Trade of the Slovak Republic. Procedia Economics and Finance, 23(October 2014), 1210–1216. https://doi.org/10.1016/s2212-5671(15)00569-9

Elad, F. L., & Bongbee, N. S. (2017). Event Study on the Reaction of Stock Returns to Acquisition News. International Finance and Banking, 4(1), 33. https://doi.org/10.5296/ifb.v4i1.10409

Octafilia, Y. (2016). Dampak Pemilihan Presiden Republik Indonesia Tahun 2014 Terhadap Abnormal Return Dan Trading Volume Activity Di Bursa Efek Indonesia (Event Study Pada Saham Indeks Kompas 100. Kurs : Jurnal Akuntansi, Kewirausahaan Dan Bisnis, 1(2), 218–236. https://www.ejournal.pelitaindonesia.ac.id/ojs32/index.php/KURS/article/view/283

Praditha, R., Haliah, Habbe, A. H., & Rura, Y. (2019). Market Overreaction on LQ45 Stock Index before and after Asian Games 2018. Interatioal Journal of Academic Research in Accouting, Finance and Management Sciences, 9(2), 117–125. https://doi.org/10.6007/IJARAFMS/v9-i2/6047

Safitriani, S. (2014). Perdagangan Internasional Dan Foreign Direct Investment Di Indonesia. Buletin Ilmiah Litbang Perdagangan, 8(1), 93–116. https://doi.org/10.30908/bilp.v8i1.89

Satria, G. A., Artini, L. G. S., & Rahyuda, H. (2017). Reaksi Pasar Terhadap China’s Black Monday. 7, 2635–2664.

Shafiei, E. (2014). International Trade and Its Impact oInternational Trade and Its Impact on Economic Growthn Economic Growth. International Journal of Innovative Research in Science, Engineering and Technology, 3(3), 10277–10280.

Suryanto. (2015). Analysis Of Abnormal Return Before And After The Announcement Of Investment Grade Indonesia. International Journal of Business and Management Review, 3(1), 11–23. www.eajournals.org

Tucker, J., Guermat, C., & Prasert, S. (2013). Short-Run Reaction to News Announcements: UK Evidence. Studia Universitatis Babes-Bolyai, 58(2), 41–71.

V. Vijayasri, G. (2013). the Importance of International Trade in the World. International Journal of Marketing, Financial Services & Management Research, 2(2(9)), 111–119.

Vahini, Y. P., Wijana, N., & Putra, A. (2015). Event Study : Analisis Reaksi Investor Pada. 13(2), 387–404