Market Reaction and Investors’ Behaviour to Earnings Announcement: Evidence from Indonesia Stock Exchange

Sandy Triady () and Deddy P. Koesrindartoto ()
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Sandy Triady: Institut Teknologi Bandung
Deddy P. Koesrindartoto: Institut Teknologi Bandung

Chapter 24 in Proceedings of the International Conference on Managing the Asian Century, 2013, pp 207-215 from Springer

Abstract: Abstract This study aims to evaluate the market reaction to the earnings, case in Indonesia Stock Exchange. It is expected that many uninformed and irrational trading happen around earnings announcement. Many studies suggest that the reason behind these biases is an impact of under reaction and/or overreaction of investors’ behaviour. We examined market reaction and also examined the investors’ trading behaviour; categorized by foreign and domestic investors. The findings are divided into type of earnings announcement, stocks with negative earnings announcements showed no abnormal returns around announcement day. Conversely, stocks with earnings announcement that have positive surprise showed the existence of abnormal activities around announcement day measured by significant cumulative abnormal returns (CAR). In this condition foreign investors have propensity to buy the stock after the announcement, in contrast domestic investors do the opposite behaviourand they tend to sell the stocks.

Keywords: Stock Price; Foreign Investor; Abnormal Return; Market Reaction; Earning Announcement (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-4560-61-0_24

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DOI: 10.1007/978-981-4560-61-0_24

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