The impact of bid-ask spread and trading volume activity on abnormal returns during the Period before and after the announcement of fuel price increase in Indonesia in 2022
Ricky Bryan Tampubolon1, Simon Nisja Putra Zai2, Hani Agustin3
1,3Department of Accounting, Bunda Mulia University, Indonesia
2Departemen of Accounting, School of Economics Swasta Mandiri, Indonesia
A R T I C L E I N F O ABSTRACT
Article history:
Received Jul 26, 2023 Revised Aug 07, 2023 Accepted Sep 12, 2023
This study examines the impact of Bid-Ask Spread and Trading Volume Activity on abnormal returns in the Indonesian capital market during the period before and after the announcement of the fuel price increase in 2022. The research considers the backdrop of the COVID- 19 pandemic, which significantly affected the global economy and capital markets. The findings reveal that Bid-Ask Spread has a significant effect on abnormal returns, reflecting liquidity and demand- supply imbalances in the market. A narrow Bid-Ask Spread indicates a more stable and liquid market, reducing changes in abnormal returns, while a wide spread suggests a lack of liquidity, leading to increased transaction costs and price fluctuations. On the other hand, Trading Volume Activity does not directly influence significant changes in abnormal returns during the period surrounding the fuel price increase.
Other factors, such as company performance and market sentiment, may have a more dominant role in determining stock price movements. The study highlights the complexities of the capital market during challenging economic conditions and provides valuable insights for investors, policymakers, and market participants to navigate uncertainties and crises effectively. However, the research has certain limitations, and further investigations could explore additional factors influencing abnormal returns.
Keywords:
Abnormal Returns;
Bid-Ask Spread;
COVID-19 Pandemic;
Fuel Price Increase;
Trading Volume Activity.
This is an open access article under the CC BY-NC license.
Corresponding Author:
Simon Nisja Putra Zai, Department of Accounting,
School of Economics Swasta Mandiri, Indonesia
Jl. Tejonoto No.1, Danukusuman, Kec. Serengan, Kota Surakarta, Jawa Tengah 57156 Email: [email protected]
1. INTRODUCTION
The purpose of a company being established is to get maximum profit, optimize taxes and make the best company assessment in the eyes of investors, the public, etc (Rusli et al., 2020). From 2020 to 2022, the global economy experienced a downturn due to the COVID-19 pandemic.
Economic growth was hindered by a decline in business activities as many operational processes came to a halt and production capacities were reduced. Additionally, the global supply chain was disrupted due to restrictions on the movement of goods and people, leading to material shortages and increased production costs (Degiannakis et al., 2018). Moreover, consumer spending dynamics shifted as uncertainties about the future emerged, causing individuals to cut back on non-essential goods and services, resulting in reduced demand and sales in specific business sectors (Schell et al., 2020).
The impact of the COVID-19 pandemic was also felt in the capital markets, where investments declined as investors became more cautious in their decision-making. In fact, before investing in the capital market, investors will always be influenced by the information contained in the stock index (Pangestu, 2021). The global economic slowdown led to reduced funds available for investment in the capital markets, leading to a decrease in the usual cash flow cycle of investments (Pitaloka et al., 2020). This condition affected overall market activity, including stock prices, bonds, and other financial assets. The decreased cash flow also caused a decrease in the value of assets in the capital markets, resulting in a decline in investors' portfolio values (Fajarwati
& Nurasik, 2021).
To counter the negative economic impact of the pandemic, many countries implemented economic stimuli and fiscal policies to promote growth and market recovery. In addition, this problem encourages companies to continue to be creative in creating and implementing the right business strategies so that companies can survive and develop (Surjadi & Sinambela, 2017).
However, the COVID-19 pandemic has had a significant impact on the global economy and has broadly affected investment activities in the capital markets (Fryer & Dinsmore, 2020).
The COVID-19 pandemic has significantly affected conditions in capital markets worldwide.
The value of assets, such as stocks, bonds, and other financial instruments, declined, causing investors to incur losses due to economic uncertainty and an unstable market. Furthermore, the pandemic led to high market volatility, with stock prices and asset values fluctuating sharply in short periods, making predictions challenging and increasing investment risks. Trading activities in the capital markets also decreased as many investors became more cautious in their investment decisions, resulting in reduced trading volumes and decreased market liquidity (Minzani et al., 2021).
The impact of the COVID-19 pandemic is also evident in the decline of new stock demand, as initial public offerings (IPOs) were postponed or canceled due to market uncertainty. Investors became less interested in investing during the pandemic, leading to a reduction in demand for new stocks. The business world will not be able to enjoy added value in the long run if it only focuses on creating added economic value for its own entities (Fernando et al., 2019). Government policy interventions also affected the capital markets, as many governments implemented emergency economic measures during the pandemic, including fiscal and monetary stimuli, which could influence asset prices and market liquidity (Indrayono, 2021). The capital market is a vehicle for the financial sector outside of banking and other financial institutions which can be a means of bridging the interests of investors as owners of capital and issuers as parties who need funds (Surjadi, 2017).
In early September 2022, the Indonesian government took emergency economic measures, considering various economic factors and global conditions, by raising the price of fuel.
This action further burdened the national economy, which was already undergoing reconstruction and recovery from the pandemic's period to the COVID-19 endemic phase. The fuel price increase during the pandemic may disrupt dynamics in the capital markets through several mechanisms.
Firstly, companies reliant on fuel in their operations, such as the transportation and industrial sectors, will face increased production costs (Alves & Silva, 2021; Aqila Muthaharia & Yunita, 2021;
Nurwulandari et al., 2021). This could put pressure on their profitability, subsequently affecting their stock prices in the capital markets. Secondly, companies in the energy sector or those related to fuel, such as oil and gas or transportation companies may experience a more significant impact on their stock prices due to the fuel price hike. Investors will consider these effects in their investment decisions (Tambunan & Ugut, 2022a).
Thirdly, the fuel price increase can influence overall market sentiment. Instability in commodity markets, like oil, can cause uncertainty and volatility in the stock market. Investors may become more cautious in their investments during this period. Finally, the fuel price increase may affect consumer purchasing power, particularly for those with high mobility and reliance on private vehicles. Reduced consumer purchasing power can impact the performance of companies in the retail or other consumer-related sectors, subsequently affecting their stock prices in the capital markets (Adicandra & Desmiza, 2022). Good company performance can make investors interested
in the company's shares and poor company performance can also eliminate investor interest, which can have an effect on increasing the company's shares (Veny et al., 2022).
Companies listed on the Indonesian Stock Exchange (BEI) in the real sector have a dependency on fuel for transportation and industrial processes. The event expected to boost the market sentiment regarding events or policies occurring in the real sector. In the past, during the fuel price increase in 2014, it had a negative impact on the transportation sector, subsequently leading to a decline in stock prices (Setyawan, 2014). Furthermore, government policies have affected the capital market and resulted in price decreases (Nerger et al., 2021).
In the context of the capital market, a fuel price increase can act as a signal to investors that sectors related to fuel or energy may face economic challenges. This may prompt investors to exercise greater caution when investing in these sectors or even redirect their investments to other sectors considered safer or more potential (Schell et al., 2020).
Moreover, a fuel price hike can also serve as a signal to the capital market about the overall economic conditions. When fuel prices rise, it can lead to increased operational costs for companies reliant on fuel, subsequently impacting their financial performance. Such signals can influence market sentiment and cause volatility in the stock market (Schell et al., 2020).
Research (Naibaho et al., 2022) indicates that abnormal returns decrease under certain economic conditions, demonstrating that economic phenomena create unstable movements for some entities in the capital market. Other studies explain that high abnormal returns are caused by a decline in market capitalization when pandemic status is announced (Indrayono, 2021). Abnormal returns in the property sector in 2022 indicate that the announcement of pandemic status by the government and WHO had a negative impact on stock returns (Tambunan & Ugut, 2022). These research experiences show that the Indonesian capital market is highly sensitive to events related to crises, fiscal policies, fuel price increases, and economic events related to consumer behavior.
Another case is shown in a study (Pratama & Wijaya, 2020) explaining the influence of the event of Ramadhan on abnormal returns. The research found that the announcement of an investment grade significantly affects abnormal returns (Suryanto, 2015). Additionally, the announcement made by governments in developing countries has a significant response in the capital market due to the heightened sensitivity in such countries. This illustrates that economic events, particularly those related to consumer price increases, influence abnormal returns in the stock market.
From an investor perspective, trading volume activity provides an overview of buying and selling intensity. High trading volume indicates high activity and significant interest from investors in purchasing or selling stocks or financial assets. Conversely, low trading volume signifies lower trading activity and indicates a lack of interest from investors (Adicandra & Desmiza, 2022).
From the perspective of bid-ask spread, research experiences show that in certain economic conditions, a wide bid-ask spread may indicate that the market is less liquid for some significantly affected stocks. Companies strive to maintain the stability of their stock prices by maintaining a wide spread, especially for stocks with low trading volume. Having a wide spread allows companies to avoid sharp price fluctuations and high volatility, which could be detrimental to investors (Fajarwati & Nurasik, 2021). Additionally, a wide bid-ask spread can also indicate that the company applies a conservative approach in setting its stock prices. They may be more cautious in determining bid and ask prices that are appropriate for the market conditions and the company's asset value. This demonstrates the company's prudent attitude in facing market risks (Minzani et al., 2021).
This research examines various literature explaining that market conditions during economic events are unstable. Behaviorally, this condition is caused by investor concerns and company caution. The study tests abnormal returns of companies during a significant economic event, namely, the 9-day period before and after the 2022 fuel price increase. The testing of abnormal returns is conducted using two approaches, namely, trading volume activity and bid-ask spread. Trading volume activity is used in this research as an indicator of investor/trader concerns, while bid-ask spread is used as an indicator of company caution (Adicandra & Desmiza, 2022;
Fajarwati & Nurasik, 2021; Minzani et al., 2021). The research investigates the influence of bid-ask
spread and trading volume activity on abnormal returns during the period before and after the announcement of the fuel price increase in Indonesia in 2022.
This study reveals that fuel price increases during periods of economic instability can influence trading activity and corporate caution in the Indonesian capital market, consequently affecting changes in stock abnormal returns. The findings of this research provide a deeper understanding of how the announcement of fuel price hikes can trigger responses from investors and corporations, and how this phenomenon can impact stock performance in the Indonesian capital market.
2. RESEARCH METHOD
The research is an empirical study with a quantitative approach (Christiansen, 2022). The sample used in this study consists of statistical data from companies listed in the IDX80 index (80 emitters with the highest market trading volume) on the Indonesia Stock Exchange (BEI) in the year 2022.
The population of this study comprises emitters listed on the Indonesia Stock Exchange.
Data for the study was obtained from daily transactions, closing prices per share, trading volumes, and bid-ask data for each emitter in the IDX80, accessed through historical stock trading records on the idx.co.id website, as well as the daily stock composite price (IHSG) obtained from yahoo.finance.com. The testing was conducted using multiple non-linear regression logistic analysis with the aid of Microsoft Excel and IBM SPSS version 26 (Ross & Willson, 2017).
Variable measurement Abnormal Return
Abnormal return refers to the extraordinary level of return on investment in stocks. Investors may experience either exceptional gains or losses (Alamgir & Amin, 2021). It is the difference between a company's actual return and the expected return (Minzani et al., 2021).
Abnormal return serves as a predictive tool to assess a company's returns. The higher or lower the value of abnormal return generated by a security, the higher the level of gains or losses experienced by the investor (Nerger et al., 2021). Abnormal return is a proxy for the realized return minus the expected return, where the expected return is the coefficient of the market index return against the security's return (Indrayono, 2021; Naibaho et al., 2022).
Trading Volume Activity (TVA), Trading Volume Activity (TVA) is a proxy for the number of shares traded based on the availability of security shares on a daily basis. TVA indicates the strengthening or weakening of market conditions (Naibaho et al., 2022). Accumulated TVA shows an extraordinary movement of investor activity, both in terms of buying and selling shares.
Additionally, TVA reflects the level of a security's ability to take on market risks. The higher the TVA, the greater the risk that the security will incur losses ((Indrayono, 2021).
Bid-Ask Spreads, Bid-Ask Spread is the comparison between the buying price demanded by investors and the selling price offered by securities (Adicandra & Desmiza, 2022). Bid-Ask is an indicator used by investors to observe market price movements. A high Bid-Ask Spread will trigger a decline in trading activity in the capital market because, with a high bid-ask, the dealer's demand for higher prices becomes more significant.
Bid-ask spread is the difference between the investor's demand and the dealer's demand.
A weak Bid-Ask indicates a high level of risk-taking by securities dealers (Fajarwati & Nurasik, 2021). Bid-Ask Spread can indicate the cautiousness of investors and the high level of risk-taking by securities dealers. It also serves as an indication of the cost burden borne by dealers and passed on to investors. The higher the bid-ask spread, the higher the securities' cost charged to investors (Minzani et al., 2021).
Table 1. Measurement Variable
Variable Equation Source
Abnormal return ARit = Rit – E(Rit) R = Return E = Expected
(Aqila Muthaharia & Yunita, 2021)(Suryanto, 2015)(Fajarwati &
Nurasik, 2021; Farooq et al., 2021;
Indrayono, 2021) Trading volume activity TVA = Tradeble shares/listed
shares
(Fajarwati & Nurasik, 2021;
Minzani et al., 2021; Vo et al., 2020),(Naibaho et al., 2022),(Suryanto, 2015)
Bid-ask Spread Bid-Ask Spread =
(Ask Price – Bid Price)/Ask Price
(Fajarwati & Nurasik, 2021;
Minzani et al., 2021; Vo et al., 2020),(Naibaho et al., 2022),(Suryanto, 2015)
3. RESULTS AND DISCUSSIONS Result
The study conducted data calculations on companies listed in the top 80 companies with the highest trading volume, known as IDX80. The research focused on analyzing abnormal return, trading volume activity, and bid-ask spread for a period of 9 days before and 9 days after the announcement of the fuel price increase.
To ensure data accuracy, an outlier test was performed, leading to the exclusion of one company with outlier data, resulting in a final dataset of 79 companies. Due to the non-normal distribution of the data, the research employed a non-parametric approach using curve estimation in non-linear regression logistic. To facilitate data processing, the researchers applied data transformation, and the specific criteria for the logistic transformation are provided in the appendix.
Overall, the study followed appropriate steps in handling the data and selected suitable analytical methods considering the unique characteristics of the dataset.
Table 2. Result of estimation non-linear logistic regression Equation
Independent Variables
Dependent Variables
Model Summary Parameter Estimates R Square F df1 df2 Sig. Constant b1 a. Logarithmic BAS_Before CAR_Before .207 .054 1 78 .002 2.522 .178 b. Logarithmic TVA_Before CAR_Before .202 .146 1 78 .704 3.235 -.276 c. Logarithmic BAS_After CAR_After .380 .038 1 77 .042 2.759 .214 d. Logarithmic TVA_After CAR_ After .001 .101 1 77 .752 3.245 -.252 Source: Calculated data (2023)
Based on Table 2, the following explanations can be provided: (a) The model in point (a) shows that the significance value of 0.002 in the non-linear logistic regression test indicates a significant relationship between Bid-Ask Spread and abnormal return during the period before the announcement of the fuel price increase. This suggests that changes in Bid-Ask Spread have a significant influence on abnormal return in this situation. With a low significance value, this finding is considered statistically robust and indicates that differences in Bid-Ask Spread can significantly contribute to changes in abnormal return during that period. These results confirm previous research understanding that Bid-Ask Spread provides insight into the demand and supply in a company and demonstrates the level of caution exercised by the company. (b) The model in points (b) and (d) shows that the significance value of 0.704 in the non-linear logistic regression test indicates no significant relationship between Trading Volume Activity and abnormal return during both the period before and after the announcement of the fuel price increase. With a high significance value (more than 0.05), this finding indicates that differences in Trading Volume Activity do not have a significant impact on changes in abnormal return in this situation. In other words, Trading Volume Activity does not have a statistically significant effect on abnormal return during those periods. (c) The significance value of 0.0042 in point (c) in the non-linear logistic
regression test indicates a significant relationship between Bid-Ask Spread and abnormal return during the period after the announcement of the fuel price increase. This phenomenon depicts that changes in Bid-Ask Spread significantly influence abnormal return after the announcement of the fuel price increase. With a low significance value, this finding suggests that the relationship between Bid-Ask Spread and abnormal return is likely not just a coincidence but has practical and relevant statistical implications. In this context, differences in Bid-Ask Spread can be an important factor in influencing changes in abnormal return after the announcement of the fuel price increase.
Tabel 3. Hypotesis Decision
hypotesis sign decision
Before the announcement of fuel price increase
H1a: Bid-Ask Spread > Commulative abnormal return 0.002 Supported H1b: Trading Volume Activity > Commulative abnormal return 0.704 Not supported
After the announcement of fuel price increase
H2a: Bid-Ask Spread > Commulative abnormal return 0.042 Supported H2b: Trading Volume Activity > Commulative abnormal return 0.752 Not supported
Discussion
The Bid-Ask Spread significantly affects abnormal return
The difference between the bid (buy) and ask (sell) prices reflects the level of liquidity in the stock market and the imbalance between stock supply and demand. When the Bid-Ask Spread is narrow, the market tends to be more liquid, allowing investors to buy or sell stocks at prices close to each other. This attracts more market participants and reduces transaction costs, thus influencing more stable price movements and potentially reducing changes in abnormal return.
On the other hand, a wide Bid-Ask Spread indicates a lack of liquidity and can lead to higher transaction costs for investors. Imbalance between stock supply and demand can also reflect information asymmetry in the market, where one party has more information than the other.
This information asymmetry can affect prices and cause changes in abnormal return as investors react to the information they possess.
Moreover, demand-supply imbalances can lead to price movements in unusual directions, thus affecting changes in abnormal return. Therefore, when making investment decisions, it is important for investors and traders to consider Bid-Ask Spread as a crucial factor that can influence stock price movements and abnormal return in the stock market.
Firstly, the issue of fuel price increase can create uncertainty in the market. Investors and traders may react to this news by buying or selling stocks, seeking profit opportunities, or avoiding risks. This uncertainty can create larger price fluctuations and increase market volatility.
Approaching the period of the fuel price increase announcement, stock demand and supply may become imbalanced. Investors may try to anticipate price changes and look for ways to profit from this event. This imbalance can be reflected in a wider Bid-Ask Spread, indicating a lack of market liquidity.
After the fuel price increase announcement, the stock market may experience significant price movements. Investors and traders will react to this news by buying or selling stocks based on their expectations of the impact of the fuel price increase on various sectors and companies.
Changes in Bid-Ask Spread during this period may reflect uncertainty and changes in market liquidity. If there is high uncertainty about the effect of the fuel price increase on the economy or specific companies, investors may hold back from trading, leading to decreased market liquidity.
Adjustments in stock prices after the fuel price increase announcement can also cause demand and supply imbalances. If there are more sellers than buyers, or vice versa, it can create a difference between bid and ask prices, thereby increasing the Bid-Ask Spread. Larger changes in Bid-Ask Spread during this period can also provide indications of market sentiment towards the fuel price increase. If the Bid-Ask Spread widens, it may reflect greater uncertainty and concerns in the market, thereby influencing stock price movements. Furthermore, information asymmetry can also affect changes in stock prices after the fuel price increase announcement. Parties with more
information about the impact of the fuel price increase on specific companies or sectors may have an advantage in making investment decisions, which can influence stock prices.
Trading Volume Activity does not have a significant effect on abnormal return
During the period before and after the fuel price increase, there were changes in Trading Volume Activity, but it did not impact abnormal return as the relationship between the two was not significant. The significance value of 0.704 indicates that changes in Trading Volume Activity do not have a statistically significant influence on changes in abnormal return during that period.
This may be attributed to several factors. First, changes in Trading Volume Activity may not be directly correlated with changes in abnormal return during the fuel price increase. Trading Volume Activity can be influenced by various other factors such as market sentiment, economic news, or company policies, which may not be directly related to the fuel price increase. Second, Trading Volume Activity can reflect trading activities from various types of investors and traders with different purposes and strategies. Some investors may conduct transactions for reasons unrelated to the fuel price increase, thus not affecting abnormal return.
After the fuel price increase, stock trading activities in the IDX80 market undergo changes, which are reflected in Trading Volume Activity. Investor activities become more intense with the news of the fuel price increase, indicating increased interest and further engagement in buying or selling stocks. However, despite the changes in Trading Volume Activity, its relationship with the company's abnormal return appears to have no significant impact. This means that the changes in investor activity do not directly influence significant changes in the company's stock price.
Several factors may explain why investor activity in Trading Volume Activity does not significantly affect abnormal return. Firstly, despite changes in investor activity, other factors such as company performance, industry conditions, and economic issues may be more dominant in influencing stock price movements. Investor activity may only be one aspect among many factors affecting the stock market. Moreover, when the fuel price increase occurs, stock prices may have already reflected market sentiment and various other factors affecting stock prices, making the changes in investor activity after the announcement no longer have a significant impact on abnormal return. In this analysis, it is important to understand that the stock market is complex and influenced by many interacting variables. Factors such as news, market sentiment, and company policies can impact company stock prices, while investor activity in Trading Volume Activity may be just one factor influencing stock price movements.
4. CONCLUSION
The research investigates the impact of Bid-Ask Spread and Trading Volume Activity on abnormal returns in the Indonesian capital market during the period before and after the announcement of the fuel price increase in 2022. The study considers the economic backdrop of the COVID-19 pandemic, which had significant effects on the global economy and capital markets.
The findings indicate that Bid-Ask Spread has a significant effect on abnormal returns, while Trading Volume Activity does not show a significant impact on abnormal returns during the studied period. The Bid-Ask Spread, reflecting liquidity and demand-supply imbalances, plays a crucial role in influencing stock price movements. When the Bid-Ask Spread is narrow, the market tends to be more liquid and stable, reducing changes in abnormal returns. Conversely, a wide Bid- Ask Spread suggests a lack of liquidity and can lead to increased transaction costs and price fluctuations, affecting abnormal returns.
On the other hand, Trading Volume Activity, representing investor/trader concerns, does not directly influence significant changes in abnormal returns during the period surrounding the fuel price increase. Other factors, such as company performance and market sentiment, may play a more dominant role in determining stock price movements. Moreover, stock prices may have already factored in market sentiment and other factors, making changes in Trading Volume Activity less impactful on abnormal returns.
The research also highlights the broader impact of the COVID-19 pandemic on the global and Indonesian capital markets. The pandemic led to economic uncertainty, reduced investor
confidence, and decreased liquidity in the market. Government policy interventions and fuel price increases further influenced market sentiment and investor behavior.
Overall, the study underscores the complexity of the capital market and the interplay of various factors that influence stock price movements and abnormal returns. It emphasizes the importance of considering Bid-Ask Spread and other market indicators when making investment decisions during significant economic events.
The research contributes valuable insights to the understanding of market dynamics and investor behavior during challenging economic conditions. Investors, policymakers, and market participants can benefit from the findings to make more informed decisions and navigate the complexities of the capital market during times of economic uncertainty and crises. However, it is essential to acknowledge that the study has certain limitations, such as the focus on a specific time period and limited variables, and further research could explore additional factors influencing abnormal returns.
Future studies should focus on exploring the long-term effects of economic events on the Indonesian capital market, conducting sector-specific analyses, examining the relationship between investor sentiment and abnormal returns, investigating the influence of macroeconomic indicators on stock market performance, and conducting comparative studies between different countries facing similar economic events. Additionally, researchers can explore alternative event study methodologies, investigate the impact of government policies on stock market behavior, and delve deeper into the relationship between market liquidity and bid-ask spread during economic events.
Furthermore, exploring time-varying relationships and implementing machine learning techniques for predicting abnormal returns can enhance the understanding of market dynamics and aid in making informed investment decisions.
ACKNOWLEDGEMENTS
I would like to extend my heartfelt gratitude to all the individuals and organizations who have contributed to the completion of this research. First and foremost, I am deeply thankful to the LPPM (Research and Community Service Institution) of STIE Swasta Mandiri Surakarta for their support and encouragement throughout this study. Their valuable guidance and resources have been crucial in shaping the direction of this research.
I would also like to express my appreciation to the students and colleagues who willingly and enthusiastically provided assistance and support during this research journey. Their valuable insights and constructive feedback have significantly enriched the quality of this study.
Furthermore, I want to acknowledge the financial support provided by Bunda Mulia University, which has played a vital role in facilitating the execution of this research.
Lastly, I am grateful to all the individuals who, directly or indirectly, contributed to the successful completion of this research. Your collective efforts and cooperation have been indispensable, and I am sincerely thankful for your support.
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AALI Astra Agro Lestari Tbk. 27.78 25.00 1.00 1.00 0.72 2.53 2.00 2.00 5.00 5.00 2 3 ACES Ace Hardware
Indonesia Tbk. 5000.00 4.50 1.00 1.00 -0.47 13.86 1.00 2.00 5.00 5.00 2 4
ADHI Adhi Karya (Persero)
Tbk. 5000.00 4.50 1.00 1.00 -1.79 3.33 1.00 2.00 5.00 5.00 2 3
ADRO Adaro Energy
Indonesia Tbk. 10.00 9.00 1.00 1.00 16.59 -1.82 2.00 2.00 5.00 5.00 4 2
AKRA AKR Corporindo Tbk. 5.00 5.00 1.00 1.00 13.41 -19.46 2.00 2.00 5.00 5.00 4 2
AMRT Sumber Alfaria Trijaya
Tbk. 11.11 12.00 1.00 1.00 9.12 10.27 2.00 2.00 5.00 5.00 3 4
ANTM Aneka Tambang Tbk. 6.11 6.00 1.00 1.00 5.12 -25.21 2.00 2.00 5.00 5.00 3 1
ASII Astra International Tbk. 25.00 25.00 1.00 1.00 -2.74 -6.27 2.00 2.00 5.00 5.00 2 2
ASRI Alam Sutera Realty
Tbk. 1111.11 0.90 1.00 1.00 -6.45 1.00 1.00 2.00 5.00 5.00 2 3
ASSA Adi Sarana Armada
Tbk. 6.67 6.00 1.00 1.00 -8.14 -21.71 2.00 2.00 5.00 5.00 2 1
BBCA Bank Central Asia Tbk. 25.00 25.00 1.00 1.00 -4.78 11.41 2.00 2.00 5.00 5.00 2 4
BBNI
Bank Negara Indonesia (Persero)
Tbk. 25.00 22.50 1.00 1.00 -0.68 21.57 2.00 2.00 5.00 5.00 2 5
BBRI Bank Rakyat Indonesia
(Persero) Tbk. 10.00 9.00 1.00 1.00 0.46 13.31 2.00 2.00 5.00 5.00 2 4
BBTN Bank Tabungan
Negara (Persero) Tbk. 5.00 4.50 1.00 1.00 1.56 26.18 2.00 2.00 5.00 5.00 3 5
BEST Bekasi Fajar Industrial
Estate Tbk. 1000.00 0.90 1.00 1.00 -8.57 -24.23 1.00 2.00 5.00 5.00 2 1
BFIN BFI Finance Indonesia
Tbk. 5.00 4.50 1.00 1.00 38.95 9.14 2.00 2.00 5.00 5.00 5 3
BJBR
Bank Pembangunan Daerah Jawa Barat
dan Banten Tbk. 5.00 4.50 0.99 0.99 -1.71 7.93 2.00 2.00 5.00 5.00 2 3
BJTM
Bank Pembangunan Daerah Jawa Timur
Tbk. 5000.00 4.50 1.00 1.00 -1.71 4.19 1.00 2.00 5.00 5.00 2 3
BMRI Bank Mandiri (Persero)
Tbk. 27.78 25.00 1.00 1.00 -5.41 6.83 2.00 2.00 5.00 5.00 2 3
BMTR Global Mediacom Tbk. 2000.00 1.80 1.00 1.00 0.04 5.11 1.00 2.00 5.00 5.00 2 3
BRIS Bank Syariah
Indonesia Tbk. 5.00 4.50 1.00 1.00 0.39 15.63 2.00 2.00 5.00 5.00 2 4
BRPT Barito Pacific Tbk. 5000.00 4.50 1.00 1.00 25.39 12.98 1.00 2.00 5.00 5.00 5 4
BSDE Bumi Serpong Damai
Tbk. 5000.00 4.50 1.00 1.00 1.91 7.86 1.00 2.00 5.00 5.00 3 3
BTPS Bank BTPN Syariah 10.00 13.00 1.00 1.00 -8.42 14.20 2.00 2.00 5.00 5.00 2 4
DMAS Puradelta Lestari Tbk. 1000.00 13.20 1.00 1.00 -3.29 3.90 1.00 2.00 5.00 5.00 2 3 DOID Delta Dunia Makmur
Tbk. 2000.00 23.40 1.00 1.00 22.22 12.51 1.00 2.00 5.00 5.00 5 4
ELSA Elnusa Tbk. 2000.00 1.80 1.00 0.34 26.07 -15.06 1.00 2.00 5.00 2.00 5 2
ERAA Erajaya Swasembada
Tbk. 2333.33 13.40 1.00 1.00 16.44 23.05 1.00 2.00 5.00 5.00 4 5
EXCL XL Axiata Tbk. 11.11 2.80 1.00 0.46 13.29 20.52 2.00 2.00 5.00 3.00 4 5
GGRM Gudang Garam Tbk. 66.67 775.00 1.00 1.00 0.96 -2.03 2.00 1.00 5.00 5.00 2 2
HMSP H.M. Sampoerna Tbk. 5000.00 36.00 1.00 1.00 -4.82 -1.15 1.00 2.00 5.00 5.00 2 2
HOKI Buyung Poetra
Sembada Tbk. 1000.00 3.70 1.00 1.00 -4.72 9.36 1.00 2.00 5.00 5.00 2 3
HRUM Harum Energy Tbk. 5.00 2.40 1.00 1.00 16.12 -32.95 2.00 2.00 5.00 5.00 4 1
ICBP Indofood CBP Sukses
Makmur Tbk. 25.00 95.00 1.00 1.00 8.66 3.37 2.00 2.00 5.00 5.00 3 3
INCO Vale Indonesia Tbk. 25.00 8.50 1.00 1.00 2.83 -6.64 2.00 2.00 5.00 5.00 3 2
INDF Indofood Sukses
Makmur Tbk. 27.78 22.50 1.00 1.00 12.97 -6.54 2.00 2.00 5.00 5.00 4 2
INKP Indah Kiat Pulp &
Paper Tbk. 27.78 12.00 1.00 1.00 24.56 39.44 2.00 2.00 5.00 5.00 5 5
INTP Indocement Tunggal
Prakarsa Tbk. 27.78 7.00 1.00 1.00 -1.27 -4.56 2.00 2.00 5.00 5.00 2 2
IPTV MNC Vision Networks
Tbk. 1000.00 20.60 1.00 1.00 -8.49 7.41 1.00 2.00 5.00 5.00 2 3
ISAT Indosat Tbk. 33.33 9.00 1.00 0.42 5.66 16.79 2.00 2.00 5.00 3.00 3 4
ITMG Indo Tambangraya
Megah Tbk. 36.11 116.50 1.00 1.00 13.83 -17.66 2.00 1.00 5.00 5.00 4 2
JPFA Japfa Comfeed
Indonesia Tbk. 5.00 24.40 1.00 1.00 -3.50 -7.75 2.00 2.00 5.00 5.00 2 2
JSMR Jasa Marga (Persero)
Tbk. 10.00 3.00 1.00 1.00 -2.18 -13.41 2.00 2.00 5.00 5.00 2 2
KAEF Kimia Farma Tbk. 5.00 2.40 1.00 1.00 -10.34 -2.83 2.00 2.00 5.00 5.00 2 2
KLBF Kalbe Farma Tbk. 10.00 4.50 1.00 1.00 5.83 -0.94 2.00 2.00 5.00 5.00 3 2
LINK Link Net Tbk. 12.22 287.00 1.00 1.00 7.21 1.47 2.00 1.00 5.00 5.00 3 3
LPKR Lippo Karawaci Tbk. 1111.11 2.40 1.00 1.00 0.99 -5.70 1.00 2.00 5.00 5.00 2 2
LPPF Matahari Department
Store Tbk. 12.22 10.30 1.00 1.00 27.10 0.17 2.00 2.00 5.00 5.00 5 2
LSIP PP London Sumatra
Indonesia Tbk. 5.00 2.30 1.00 1.00 -11.16 -5.23 2.00 2.00 5.00 5.00 2 2
MAPI Mitra Adiperkasa Tbk. 2225.00 31.00 1.00 1.00 -1.06 16.31 1.00 2.00 5.00 5.00 2 4
MDKA Merdeka Copper Gold
Tbk. 11.11 2.00 1.00 1.00 0.02 -25.62 2.00 2.00 5.00 5.00 2 1
MEDC Medco Energi 5000.00 36.00 1.00 0.95 84.71 -25.62 1.00 2.00 5.00 5.00 5 1
MYOR Mayora Indah Tbk. 6.11 12.00 1.00 1.00 3.61 11.28 2.00 2.00 5.00 5.00 3 4 PGAS Perusahaan Gas
Negara Tbk. 5.00 4.50 1.00 1.00 34.43 -20.55 2.00 2.00 5.00 5.00 5 1
PTBA Bukit Asam Tbk. 10.00 6.00 1.00 1.00 9.38 -2.72 2.00 2.00 5.00 5.00 3 2
PWON Pakuwon Jati Tbk. 2555.56 5.80 1.00 1.00 4.52 31.71 1.00 2.00 5.00 5.00 3 5
RALS Ramayana Lestari
Sentosa Tbk. 5000.00 6.00 1.00 1.00 14.31 3.49 1.00 2.00 5.00 5.00 4 3
SCMA Surya Citra Media Tbk. 2000.00 45.40 1.00 1.00 4.13 16.56 1.00 2.00 5.00 5.00 3 4
SIDO
Industri Jamu dan Farmasi Sido Muncul
Tbk. 5000.00 1.70 1.00 0.45 3.00 7.95 1.00 2.00 5.00 3.00 3 3
SMDR Samudera Indonesia
Tbk. 10.00 12.70 1.00 1.00 -10.41 -15.11 2.00 2.00 5.00 5.00 2 2
SMGR Semen Indonesia
(Persero) Tbk. 27.78 13.00 1.00 1.00 9.31 -1.45 2.00 2.00 5.00 5.00 3 2
SMRA Summarecon Agung
Tbk. 5555.56 4.50 1.00 1.00 8.05 38.16 1.00 2.00 5.00 5.00 3 5
SSIA Surya Semesta
Internusa Tbk. 2888.89 7.40 1.00 1.00 17.07 0.80 1.00 2.00 5.00 5.00 4 2
TBIG Tower Bersama
Infrastructure Tbk. 14.44 5.00 1.00 1.00 -1.20 6.05 2.00 2.00 5.00 5.00 2 3
TINS Timah Tbk. 5.00 5.10 1.00 1.00 10.68 -4.80 2.00 2.00 5.00 5.00 4 2
TKIM Pabrik Kertas Tjiwi
Kimia Tbk. 25.00 5.10 1.00 1.00 14.00 21.76 2.00 2.00 5.00 5.00 4 5
TLKM Telkom Indonesia
(Persero) Tbk. 10.00 5.50 1.00 1.00 -1.72 13.33 2.00 2.00 5.00 5.00 2 4
TOWR Sarana Menara
Nusantara Tbk. 5.00 2.60 1.00 1.00 -0.09 -6.97 2.00 2.00 5.00 5.00 2 2
TPIA Chandra Asri
Petrochemical Tbk. 27.22 2.70 1.00 1.00 32.53 7.07 2.00 2.00 5.00 5.00 5 3
UNTR United Tractors Tbk. 130.56 -12.30 1.00 1.00 -1.47 -2.52 1.00 5.00 5.00 5.00 2 2
UNVR Unilever Indonesia
Tbk. 11.11 52.00 1.00 1.00 -2.83 -1.49 2.00 2.00 5.00 5.00 2 2
WIIM Wismilak Inti Makmur
Tbk. 5000.00 2.40 1.00 1.00 -2.05 25.27 1.00 2.00 5.00 5.00 2 5
WIKA Wijaya Karya (Persero)
Tbk. 5.00 4.50 1.00 1.00 -14.53 2.63 2.00 2.00 5.00 5.00 2 3
WOOD Integra Indocabinet
Tbk. 5000.00 2.40 1.00 1.00 0.86 -10.65 1.00 2.00 5.00 5.00 2 2
WSKT Waskita Karya
(Persero) Tbk. 5000.00 1.00 1.00 1.00 -15.25 7.12 1.00 3.00 5.00 5.00 2 3
APPENDIX
List of transformation logistic data
Transform logit Criteria value Note
BAS negative 5 The lower the Bid-Ask Spread, the better the condition of the company is perceived. The higher the Bid-Ask Spread, the worse the condition of
the company is considered. A scale of 1-5 describes the company's condition. A value of 1 represents the least favorable condition, and a
value of 5 represents a favorable condition.
< 0,5 4
1 3
2< X < 100 2
> 100 1
TVA < 0,20 1
The closer the value is to 1, the better the Trading Volume Activity is perceived. A scale of 1-5 describes the company's condition. A value of
1 represents the most favorable condition, and a value of 5 represents a favorable condition.
0,20 < X < 0,40 2 0,40 < X < 0,60 3 0,60 < X < 0,80 4
> 0,80 5
CAR < - 20 1
Companies with high abnormal returns are considered to have favorable conditions for investors. The criteria of 1-5 indicate that the
higher the value and the closer it is to 5, the better the company's condition for investment activities.
-20 < X < 1 2
1 < X < 10 3
10 < X < 20 4
> 20 5
APPENDIX
Chat of regression
