THE DIFFERENCES ABNORMAL RETURN AND TRADING VALUE ACTIVITY AT THE PARTICIPATION COMPANIES INDONESIAN SUSTAINABILITY REPORTING AWARD (ISRA)

Abstract

This research studies the impact of Indonesian Sustainability Reporting Award (ISRA) announcement from 2011 until 2015 to abnormal return and trading value activity. The impact of award publication could be seen from whether there are some differences between abnormal return and trading value activity before and after ISRA  announcement.

The research samples are 42 companies which accepted the appreciation of ISRA period 2011until 2015. The research data used is secondary data consists of daily stock closing prices and daily trading volume with the observation period seven days before and seven days after the announcement. The model used for the measurement of abnormal return is Market-adjusted models. The hypothesis was tested using Wilcoxon Signed Ranks Test.

The results of this research proved that there is a difference of abnormal return before and after the announcement of ISRA 2011 until 2015. While the trading value activity there was no difference before and after the announcement of ISRA 2011 until 2015.

Keyword : ISRA, abnormal return, trading value activity, Market-adjusted models, Wilcoxon Signed Ranks Test.