Syntax
Literate: Jurnal Ilmiah Indonesia �p�ISSN: 2541-0849 e-ISSN: 2548-1398
Vol. 7, No. 10, Oktober 2022
STOCK MARKET REACTION DURING COAL
EXPORT BAN POLICY
Nicodemus
Halim
Universitas Bina Nusantara, Indonesia
E-mail: [email protected]
Abstract
The
Indonesian government decided to ban coal export activities from 1-31 January
2022. This was done because the domestic coal stock was almost depleted, so
coal companies had to fill the domestic coal stock first. Then the government
announced that after 11 days, the coal export ban policy was eased. The coal
export ban policy and its easing have caused the coal stock market to
experience various reactions. This study aims to analyze the market reaction
based on abnormal return and trading volume activity before and after the coal
export ban policy and its easing. Hypothesis testing using paired sample t-test
for data that is normally distributed and Wilcoxon signed-rank test for data
that is not normally distributed with an observation period of 3 days before
and 3 days after. The result of this research shows that there is no difference
in market reaction based on abnormal returns and trading volume activity before
and after the coal export ban policy and its easing.
Keywords: Stock market reaction, Coal export ban, Government
policy.
Introduction
Coal companies have an important role as a
source of energy for power generation. The coal sub-sector company decides to
issue shares in the capital market as one of the company�s funding, then the
company will be listed as a public company on the Indonesia Stock Exchange.
Indonesia is one of the largest coal producing and exporting countries for many
years. In 2020, Indonesia was ranked 2nd as the largest coal producing country
and largest coal exporter according to BP statistical review (2021)
in Table 1.
Table 1
Coal Production and Coal Export in the World
|
Country |
Production / Exajoule |
Export / Exajoule |
|
Australia |
12.42 |
9.25 |
|
Indonesia |
13.88 |
8.51 |
|
Colombia |
1.46 |
1.66 |
|
South Africa |
5.97 |
1.64 |
|
US |
10.71 |
1.62 |
|
Canada |
0.89 |
0.97 |
|
Mongolia |
0.82 |
0.79 |
|
Russian Federation |
8.37 |
0.56 |
|
China |
80.91 |
0.18 |
|
India |
12.68 |
- |
Source : BP Statistical Review of World Energy (2021)
The large frequency of
coal export activities makes the Indonesian state not pay attention to the
domestic coal stock which is almost depleted. Realizing this situation,
Indonesian government has issued Decision of Minister of EMR Number
139.K/HK.02/MEM.B/2021, which specifically regulates the obligation to fulfill
domestic coal needs. Bekkers, et al, (2017)
argue that government policy can be described as set of means and resources
that are used to solve problems in planned ways. In this situation, the
Indonesian government has decided to ban coal export from 1-31 January 2022 for
holders of Mining Business License (IUP), Operation-Production Special Mining
Business License (IUPK), IUPK as a continuation of Contract/Agreement
Operations, and Coal Mining Concession Work Agreement (PKP2B).
The announcement of the
government�s policy regarding the ban on coal exports can be a negative
sentiment for coal companies whose sales are mostly from export activities.
These companies may face a significant amount of income reduction as a result.
Not only for the companies, this information may be a bad news for the market.
There are several companies that have the potential to be negatively affected
by this policy, namely PT Harum Energy Tbk. (HRUM), PT Indo Tambangraya Megah Tbk. (ITMG), PT Adaro
Energy Tbk. (ADRO), PT Indika
Energy Tbk. (INDY) (cnbcindonesia.com). The
contribution of coal export sales from the four companies reached an average of
one-third of the total revenue.
Table 2
Closing Stock Price
|
Company |
Closing Price |
||||||
|
28-Dec-21 |
29-Dec-21 |
30-Dec-21 |
03-Jan-22 |
04-Jan-22 |
05-Jan-22 |
06-Jan-22 |
|
|
D-3 |
D-2 |
D-1 |
D+0 |
D+1 |
D+2 |
D+3 |
|
|
ADRO |
2,300 |
2,310 |
2,250 |
2,370 |
2,240 |
2,240 |
2,300 |
|
ITMG |
21,375 |
21,125 |
20,400 |
19,625 |
19,925 |
20,050 |
19,625 |
|
HRUM |
10,975 |
11,000 |
10,325 |
10,500 |
10,500 |
10,300 |
10,000 |
|
INDY |
1,630 |
1,630 |
1,545 |
1,475 |
1,560 |
1,580 |
1,585 |
Source : Yahoo Finance
Table 2 shows the closing
stock price movements of ADRO, ITMG, HRUM, INDY companies. On January 3, 2022,
ITMG and INDY companies have decreased by 3.80% and 4.53%, respectively.
However, ADRO and HRUM companies have increased by 5.33% and 1.69% which should
have decreased due to the bad news. From January 4, 2022 to January 6, 2022 ,
INDY's stock price has increased which previously had a decreased, which should
has decreased because the bad news of the coal export ban.
After 11 days, The
Indonesia government agreed to easing the coal export ban policy. The easing
will be implemented on January 12, 2022. The announcement of the easing of the
coal export ban policy can be a positive sentiment so that it can increase the
value or restore the value of the company which has fallen due to the bad news
of the coal export ban policy.
Table 3
Closing Stock Price Before and After Easing of The
Export Ban Policy
|
Company |
Closing Price |
||||||
|
7-Jan-21 |
10-Jan-21 |
11-Jan-21 |
12-Jan-22 |
13-Jan-22 |
14-Jan-22 |
17-Jan-22 |
|
|
|
�D-3 |
�D-2 |
�D-1 |
�D+0 |
�D+1 |
�D+2 |
�D+3 |
|
ADRO |
�������� 2,430 |
������� 2,400 |
����� ��2,340 |
������� 2,310 |
������� 2,280 |
������� 2,270 |
������� 2,260 |
|
ITMG |
������ 20,025 |
����� 20,050 |
����� 20,175 |
���� 20,175 |
���� 20,600 |
���� 20,700 |
���� 21,125 |
|
HRUM |
������ 10,625 |
����� 10,750 |
����� 10,900 |
���� 11,600 |
���� 10,900 |
���� 11,000 |
���� 10,900 |
|
INDY |
�������� 1,675 |
������� 1,645 |
������� 1,645 |
������� 1,610 |
������� 1,645 |
������� 1,670 |
������� 1,665 |
Source : Yahoo Finance
Table 3 shows the closing
stock price movements of ADRO, ITMG, HRUM, INDY companies. There are 2 companies
that have decreased after the easing of the coal export ban policy, ADRO and
HRUM. It can be seen that ADRO still decreased from before the easing to after
easing which should have increased due to the good news. After the easing,
HRUM�s stock has decreased which previously had a
increased, which should has increased because the good news of easing the coal
export ban.
Information is one of the
most important things for investors to make investment decisions and also for
the market to operate. While the information may influence market movement, the
market speed in absorbing new information into security prices is varied.
According to Beaver (1981),
the market will be said to be efficient if the price of securities acts as if
everyone knows the available information. The information is divided into three
forms, past information, current information, and private information. Fama (1970)
divides market efficiency into 3 forms, weak form of market efficiency, semi
strong form of market efficiency, and strong form of market efficiency. The
market defined as having weak form efficiency if the current stock price fully
reflects the information contained in the movement of historical data. The
market is defined as having semi-strong form efficiency if public information
is fully reflected in the current stock price. Meanwhile, the market is
determined to have strong form efficiency if public information and private
information are fully reflected in security prices. A market that has a strong
form of efficiency does not allow investors to create abnormal returns because
the market absorbs all information quickly so there will be no element of
surprise or unexpected element that will cause a market reaction. The market
will react if there is an element of surprise or an unexpected element in the
information. Market reaction can be seen from abnormal returns and trading
volume activity.
On this occasion the
researcher wants to examine the market reaction by using abnormal returns and
trading volume activity. By using abnormal returns, it can be concluded that an
event that contains information will provide an abnormal return to the market.
If there is no abnormal return, then there is no information in the event.
Trading volume activity is used as a measure that reflects stock trading
activity. How much the market reacts can be seen from the amount of trading
volume activity in a company. Activity volume is an approved segment in
technical analysis so that transactions that occur greatly affect stock price
movements. Thus, when trading activity has a high volume, it can be interpreted
as a sign that the market will improve.
There are several event
study researches on a policy carried out by several researchers. Purnasari, et al (2015)
conducted an event study on the impacts of indonesia
raw minerals export ban on abnormal return and trading volume of metals and
minerals companies listed in Indonesia Stock Exchange. The results show that
there are no significant differences in abnormal returns before and after the
ban on the export of raw minerals in Indonesia. Thus, there are no differences
of abnormal return can be evidence that the market did not react to the ban on
exports of raw minerals.
Asriyatuzzahra,
et al (2021)
researched government stimulus policy facing the covid-19 pandemic on abnormal
share returns (Study on LQ-45 Shares). Stimulus policy is an economic policy in
terms of finance imposed by the government to overcome the economic crisis, in
this case due to the COVID-19 pandemic. Asriyatuzzahra,
et al (2021)
find that there was a market reaction when the announcement of the economic
stimulus event occurred during covid19. This market reaction can be seen from
the difference in abnormal returns before the announcement and after the
announcement.
Likewise, research
conducted by Handayani (2020),
abnormal return of Indonesian banking shares in the time of COVID 19: An event
study on the announcement of government regulation, POJK 11 of 2020 in banking
sector. This regulation contains countercyclical policies regarding the impact
of the spread of COVID-19. Countercyclical policies are policies to reduce
spending and increase taxes when the economy is in good shape, as well as
increase spending and raise tax collections when in a recession. The results in
this research indicate that the market reacts to the banking sector on the
announcement of government regulation (POJK
11 of 2020)
with a significant negative movement of abnormal return in all event periods.
Those researches may
indicate that the capital market in Indonesia has semi-strong market
efficiency. It happens because abnormal returns are generally found on the date
of the event and around the event. According to Machmuda,
et al. (2020),
the capital market in Indonesia is categorized as a semi-strong form of market
efficiency because the company's stock price adjustments occur quickly. Thus,
this research needs to be carried out with a period of events that should not
be too short so that the market reaction with a semi-strong efficient market
form can be captured as a whole.
From the explanation
above, the researcher has a research objective to find out whether there are
differences in abnormal returns and trading volume activitiy
before and after the coal export ban policy. This research uses an event study
to see whether there is a significant difference between abnormal returns and
trading volume activity before and after the coal export ban policy.
Hypothesis
Development
The ban on coal exports
is a policy established by the government. Government policies are formed to
solve problems on a large scale in the country (Bekkers,
et al, 2017).
This export ban policy has been taken to ensure supplies to power plants.
Specifically, it is implemented to ensure a sufficient supply for the� state-owned electric company which its stock
was running critically low. The announcement of the government�s policy
regarding the ban on coal exports can be a negative sentiment for coal
companies whose sales are mostly from export activities. These companies may
face a significant amount of income reduction as a result. Not only for the
companies, this information can also be bad news for the market. According to Mujib & Candraningrat (2021),
the Indonesian capital market is categorized as a semi-strong market because
the market price is formed starting from past information as well as current
published information. Thus, the market will react when it gets bad news from
the coal export ban event.
Minzani,
et al (2021)
assume that the market reaction can be seen by using abnormal returns. Abnormal
return is the difference between the actual return and the expected return. The
market reaction that occurs when there is bad news will make investors feel
worried about their investment in coal companies so that it is possible for
investors to sell their shares. The decision to sell shares made by investors
will affect the actual return formed so that it will change the abnormal return
value to be lower. This is suported by research conducted
by Asriyatuzzahra, et al (2021)
on the analysis of government stimulus policies in the face of the COVID-19
pandemic on abnormal returns. The study stated that there was a significant
difference between abnormal returns before and after the government�s stimulus
policies in dealing with COVID-19.
The market reaction that
occurs when there is good news will make investors less worried about their
investment in coal companies, thus allowing investors not to sell their shares
or other investors will feel interested in investing in coal companies. Easing of
the coal export ban policy is good news for investors and companies. The
decision not to sell shares made by investors or the decision to buy shares
made by other investors will affect the actual return formed so that it will
change the abnormal return value to be higher. This is supported by Wibowo & Sukmaningrum (2019)
research regarding the market reaction to a policy formed by the government in
the form of a tax amnesty. The study stated that there was a significant
difference between abnormal return before and after the tax amnesty policy.
Trading volume activity
is a tool to observe the reaction of the capital market through the movement of
trading volume in the capital market. Trading volume represents a critical
characteristic of financial markets, as it enables price discovery and
financial risk-sharing (Ante,
2020).
The concerns experienced by investors over the policy of the ban on coal
exports will influence investors to sell shares of coal companies so that they
can move the trading activities of the stocks of the companies concerned. The
impact of this incident will create a difference between trading volume
activity before and after the coal export ban policy. This is supported by
Suratna, et al (2021)
research regarding trading volume activity react to the government policy
namely large-scale social restrictions during covid-19 pademic.
The study stated that there was a significant difference between trading volume
activity before and after large-scale social restrictions.
The easing of the coal
export ban policy by the government will be good news for companies and
investors and will be an opportunity for other investors or traders to start
investing in coal companies. This will create movement in the trading volume
activities of the company concerned.. The impact of this incident will cause a
difference between trading volume activities before and after the coal export
ban policy. This is suported by research conducted by
Agustina, et al (2018)
on the impact of tax amnesty announcement towards share performance and market
reaction in indonesia. The study stated that there
was a significant difference between trading volume activity before and after
the tax amnesty announcement.
Based on the argument and
previous research findings, The hypotheses formed are as follows::
H1 : There is a difference between
abnormal return before and after the coal export ban policy.
H2 : There is a difference between trading
volume activity before and after the coal export ban policy.
H3 : There is a difference between
abnormal return before and after easing of the coal export ban policy.
H4 : There is a difference between trading
volume activity before and after easing of the coal export ban policy.
Research
Method
The research used in this
study is event study research. Event study is research that involves analyzing
the behavior of securities prices around the time of the incident or
announcement of information (Hartono,
2018).
The type of method used in this study is a quantitative method. The researcher
evaluates the stock data of coal companies at the time of the coal export ban
policy and at the time of easing of the coal export ban policy. Daily
historical data on coal companies listed on the Indonesia Stock Exchange were
collected and used as data analysis in this study. From the data obtained, the
researcher conducted a statistical test using paired-sample t-test to compare
the two sample averages before and after coal ban policy. The requirement for
conducting the paired sample t-test is that the sample data must be normally
distributed, therefore the researcher will conduct a normality test. If the
sample data is not normally distributed, a nonparametric test will be performed
using the Wilcoxon signed rank test. Besides that, the researcher also added several
additional analyzes with different samples on oil and gas sub-sector companies
in Indonesia and coal sub-sector companies in Australia and the USA.
The sampling technique
used in this study is purposive sampling, the technique of determining the sample
with certain considerations. The event period becomes 2 period, period 1 which
is the coal export ban policy period and period 2 which is easing of the coal
export ban policy period. The event of period 1 that has been determined is 7
days (d-3 to d+3) and the event of period 2 that has been determined is 7 days
(d-3 to d+3). In the research by Jegarut, et al (2021)
regarding the market reaction, using an event period of 7 days with 3 days
before the event and 3 days after the event. The purpose of the short-term
window period is to avoid confounding effects so that the results of the study
are not biased. The estimated length of the estimated period is 200 days (d-203
to d-4). The effective date of the coal ban policy is January 1, 2022 and the
effective date of easing of the coal ban policy is January 12, 2022. The sample
collected is 21 companies with criteria for coal sub-sector companies listed on
the Indonesia Stock Exchange and their shares are actively traded in the period
March 2021 - January 2022
Estimate Period and Event Period
|
Estimate
Period |
Event Period
1 |
Event Period
2 |
|||
|
|
|
|
|
|
|
�The formula used to calculate abnormal return
according to Chen & Liew (2019) is as follows:
Description:
AR������������� =
Abnormal return stock i in period t.
Rit�������������� = Actual return stock i in period t.
E(Rit)��������������������� = Expected return stock i in period t.
According to Jogiyanto in Suryanto (2015), the
formula that can be used in calculating the actual return is as follows:
Calculation of the
expected return using the Market Model according to Marisetty,
et al (2020) is as follows:
Description:
αi ��������������� =
intercept, independent on 𝑅𝑚.𝑡
βi���������������� =
slope, systematic risk, dependent on 𝑅𝑚.𝑡
Rm,t ����������������������� =
Market return in period t.
ei,t�������������� =
Securities residual error i in estimation period t.
The
following is the formula for trading volume activity according to Foster in Rahadi & Rahmi (2018):
Additional Analysis
The policy of banning
coal exports can create market reactions to other energy sectors. Apart from
coal, oil and gas are also included in the energy sector which produces fuel.
So the researchers will add oil and gas companies as an additional test. Thus,
there will additional several coal companies in other countries that carry out
large-scale coal export activities. According to the BP Statistical Review (2021),
there are several countries that carry out large-scale coal export activities
besides Indonesia, such as Australia and USA. Thus, the researchers will add
several samples such as oil and gas sub-sector companies in Indonesia and coal
sub-sector companies in Australia and the USA. The sample collected for oil
& gas companies listed on Indonesia Stock Exchange (IDX) is 11 companies,
for coal companies listed on Australia (ASX) Stock Exchange is 15 companies,
and for coal companies listed on NYSE & NASDAQ is 10 companies.
Result and
Discussion
A. Descriptive Statistic
Table
4
Descriptive
Statistics on IDX Coal Companies
|
Variable |
Obs |
Mean |
Std. Dev. |
|
AARBeforePeriod1 |
21 |
0.1119212 |
0.7958186 |
|
AARAfterPeriod1 |
21 |
-0.2903360 |
1.0602940 |
|
AARBeforePeriod2 |
21 |
-0.3077932 |
2.1171280 |
|
AARAfterPeriod2 |
21 |
0.7505031 |
2.3869770 |
|
ATVABeforePeriod1 |
21 |
0.0042590 |
0.0113938 |
|
ATVAAfterPeriod1 |
21 |
0.0028410 |
0.0062715 |
|
ATVABeforePeriod2 |
21 |
0.0026869 |
0.0047182 |
|
ATVAAfterPeriod2 |
21 |
0.0047551 |
0.0112013 |
Source : Output Stata 15
The results of the descriptive
analysis in Table 4 show that the abnormal return mean decreased from 0.1119 menjadi -0.2903 after the coal export ban. Likewise,
trading volume activity has decreased from 0.0028 to 0.0026. Different results
are shown by abnormal return mean and trading volume activity mean increased
after the easing of the ban on coal exports from -0.3077 to 0.7505 and from
0.0026 to 0.0047. This means that the coal export ban will reduce abnormal
return and trading volume activity. On the contrary, the easing of the coal
export ban will increase abnormal returns and trading volume activity.
B. Normality Test
Table 5
Descriptive Statistics on IDX Coal Companies
|
Shapiro-Wilk
W test for normal data |
||||||||
|
Variable |
COAL
(IDX) |
OIL
& GAS (IDX) |
COAL
(ASX) |
COAL
(NYSE & NASDAQ) |
||||
|
Obs |
Prob>z |
Obs |
Prob>z |
Obs |
Prob>z |
Obs |
Prob>z |
|
|
AARBeforePeriod1 |
21 |
0.21665 |
11 |
0.00376 |
15 |
0.16656 |
10 |
0.79530 |
|
AARAfterPeriod1 |
21 |
0.21781 |
11 |
0.87544 |
15 |
0.08667 |
10 |
0.22582 |
|
AARBeforePeriod2 |
21 |
0.00271 |
11 |
0.22496 |
15 |
0.56121 |
10 |
0.93206 |
|
AARAfterPeriod2 |
21 |
0.02114 |
11 |
0.56984 |
15 |
0.41393 |
10 |
0.16877 |
|
ATVABeforePeriod1 |
21 |
0.08784 |
11 |
0.35085 |
15 |
0.02557 |
10 |
0.20390 |
|
ATVAAfterPeriod1 |
21 |
0.21185 |
11 |
0.04230 |
15 |
0.06609 |
10 |
0.81665 |
|
ATVABeforePeriod2 |
21 |
0.12983 |
11 |
0.14311 |
15 |
0.37692 |
10 |
0.31902 |
|
ATVAAfterPeriod2 |
21 |
0.45199 |
11 |
0.08207 |
15 |
0.01638 |
10 |
0.88663 |
Source : Output Stata 15
In Table 5 there are
normality test results for IDX coal companies, the results of Prob>z on
abnormal return data for period 1, trading volume activity for periods 1 and 2
have a value of more than α (0.05), which means the data is normally
distributed. While the abnormal return data for period 2 is not normally
distributed because the results of Prob>z on abnormal return period 2 are
0.00271 and 0.02114 which is not more than α (0.05). There are normality
test results on IDX oil & gas companies, Prob>z results on abnormal
return data and trading volume activity for period 2 have a value of more than
α (0.05) which means the data is normally distributed. While the abnormal
return and trading volume activity data for period 1 are not normally distributed
because the results of Prob>z on abnormal returns and trading volume
activity for period 1 are 0.00376 and 0.04230 which is not more than α
(0.05). There are normality test results on ASX coal companies, the results of
Prob>z on abnormal return data for periods 1 and 2 have a value of more than
α (0.05) which means the data is normally distributed. While the trading
volume activity data for periods 1 and 2 are not normally distributed because
the results of Prob>z on trading volume activity periods 1 and 2 are 0.02577
and 0.01638 which is not more than α (0.05). There are normality test
results on NYSE & NASDAQ coal companies, Prob>z results on abnormal
return and trading volume activity data for periods 1 and 2 have a value of
more than α (0.05) which means the data is normally distributed.
C. Hypothesis Test
The researcher used
paired sample t-test to test variables that had data that were normally
distributed, but for variables that had data that were not normally
distributed, they were tested using the Wilcoxon signed-rank test. To see the
test results can be seen in table 6.
Table
6
IDX
Coal Companies Test Result
|
Test |
Paired Variable |
Obs |
t |
Sig 2 tailed |
|
|
Paired Sample T-test |
AARBeforePeriod1 |
AARAfterPeriod1 |
21 |
1.3886 |
0.1802 |
|
Paired Sample T-test |
ATVABeforePeriod1 |
ATVAAfterPeriod1 |
21 |
1.2390 |
0.2297 |
|
Wilcoxon Signed-rank Test |
AARBeforePeriod2 |
AARAfterPeriod2 |
21 |
- |
0.3945 |
|
Paired Sample T-test |
ATVABeforePeriod2 |
ATVAAfterPeriod2 |
21 |
1.2390 |
0.2297 |
Source
: Output Stata 15
The results of the paired
sample t-test show that the significance value of period 1 abnormal return is
0.1802 with a sample of 21 companies. It can be concluded that H0 is accepted
and H1 is rejected because the value of sig. (2-tailed) 0.1802 > level of
significant (0.05). This shows that there is no difference in market reaction
based on abnormal returns before and after the coal export ban policy. The
results of this research are in accordance with research conducted by Fauziah & Venusita (2021)
that there is no market reaction based on abnormal returns between before and
after the lockdown policy issued by the government during Covid-19. This proves
that government policies that are bad news are not necessarily a market
reference for overreacting in the form of panic selling so as to create large
abnormal returns on a regular basis.
In trading volume
activity period 1, the results of the paired sample t-test show that the
significance value is 0.2297 with the sample used as many as 21 companies. It
can be concluded that H0 is accepted and H2 is rejected because the value of
sig. (2-tailed) 0.2297 > level of significant (0.05). This shows that there
is no difference in market reaction based on trading volume activity before and
after the coal export ban policy. The results of this research are in
accordance with research conducted by Purnasari, et
al (2015)
that there is no market reaction based on trading volume activity between
before and after raw minerals export policy. This proves that the government's
policy in the form of an export ban is not a reference for investors to invest
or maintain their investment.
Data on abnormal return
period 2 were not normally distributed, therefore the researcher used the Wilcoxon
signed-rank test for testing. The results of the Wilcoxon signed-rank test in
table 6 show that the significance value of abnormal return for period 2 is
0.3945 with a sample of 21 companies. It can be concluded that H0 is accepted
and H3 is rejected because the value of sig. (2-tailed) 0.3945 > level of
significant (0.05). This shows that there is no difference in market reaction
based on trading volume activity before and after easing of the coal export ban
policy. The results of this research are in accordance with research conducted
by Adnan (2019)
that there is no market reaction based on abnormal return between before and
after tax reduction. Tax reduction is one of the programs to provide relief to
taxpayers. Likewise with the easing of the policy on the ban on coal exports,
which is to make it easier for coal companies to get income from exports. Tax
reduction is one of the programs to provide relief to taxpayers. Likewise with
the easing of the policy on the ban on coal exports, which is to make it easier
for coal companies to get income from exports. This proves that the easing of
policies that become good news does not necessarily contain important
information that can create significant abnormal returns. Therefore, policy
easing is not a reference for investors to make investment decisions.
Data on trading volume
activity period 2 is normally distributed so that the paired sample t-test can
be used. The results of the paired sample t-test show that the significance
value of trading volume activity for period 2 is 0.2297 with a sample of 21
companies. It can be concluded that H0 is accepted and H4 is rejected because
of the sig. (2-tailed) 0.2297 > level of significant (0.05). This shows that
there is no difference in market reaction based on trading volume activity
before and after easing of the coal export ban policy. The results of this
research are in accordance with research conducted by Muthaharia
& Yunita (2021)
that there is no market reaction based on trading volume activity between
before and after announcement new normal policy. One of the purposes of the new
normal is to reduce the policy of imposing restrictions on community activities
during the covid-19. This proves that the easing of a government policy does
not make the market react by moving trading volume activity because the easing
is not a reference for investors to invest.
D. Additional Analysis
IDX
Oil & Gas Companies
Table
7
IDX
Oil & Gas Companies Test Result
|
Test |
Paired Variable |
Obs |
t |
Sig 2 tailed |
|
|
Wilcoxon Signed-rank Test
|
AARBeforePeriod1 |
AARAfterPeriod1 |
11 |
- |
0.5937 |
|
Wilcoxon Signed-rank Test
|
ATVABeforePeriod1 |
ATVAAfterPeriod1 |
11 |
- |
0.7897 |
|
Paired Sample T-test |
AARBeforePeriod2 |
AARAfterPeriod2 |
11 |
-2.8313 |
0.0178 |
|
Paired Sample T-test |
ATVABeforePeriod2 |
ATVAAfterPeriod2 |
11 |
1.2828 |
0.1142 |
Source
: Output Stata 15
Testing of abnormal
return and trading volume activity variables in period 1 used the Wilcoxon
signed-rank test because the data on these variables were not normally
distributed. The results of the Wilcoxon signed-rank test in Table 7 show that
the significance values of abnormal returns and trading volume activity for
period 1 are 0.5937 and 0.7897 with 11 companies as samples. It can be
concluded that the stock market of IDX oil & gas companies did not react
significantly based on abnormal return movements or trading volume activity movements
on the coal export ban policy because of the sig. (2-tailed) 0.5937 &
0.7897 > level of significant (0.05).
The abnormal return and
trading volume activity data in period 2 are normally distributed so that the
test used is the paired sample t-test. The results of the paired sample t-test
in table 7 show that the significance value of abnormal return and trading
volume activity for period 1 is 0.0178 and 0.1142 with the sample used as many
as 11 companies. It can be concluded that the stock market of IDX oil & gas
companies reacted significantly based on the movement of abnormal returns to
easing of the coal export ban policy because of the sig. (2-tailed) 0.0178 <
level of significant (0.05). But not with trading volume activity which has a
sig value. (2-tailed) 0.1142 > level of significant (0.05) so it can be
concluded that the stock market of IDX oil & gas companies did not react
significantly based on the movement of trading volume activity on easing of the
coal export ban policy.
ASX Coal Companies
Table
8
ASX
Coal Companies Test Result
|
Test |
Paired Variable |
Obs |
t |
Sig 2 tailed |
|
|
Paired Sample T-test |
AARBeforePeriod1 |
AARAfterPeriod1 |
15 |
-0.0287 |
0.9775 |
|
Wilcoxon Signed-rank Test
|
ATVABeforePeriod1 |
ATVAAfterPeriod1 |
15 |
- |
0.0157 |
|
Paired Sample T-test |
AARBeforePeriod2 |
AARAfterPeriod2 |
15 |
0.4055 |
0.6912 |
|
Wilcoxon Signed-rank Test
|
ATVABeforePeriod2 |
ATVAAfterPeriod2 |
15 |
- |
0.0054 |
Source
: Output Stata 15
The abnormal return data
in period 1 is normally distributed so that the test used is the paired sample
t-test. The results of the paired sample t-test in table 8 show that the
significance value of abnormal return for period 1 is 0.9775 with 15 companies
used as samples. It can be concluded that the stock market of ASX coal
companies did not react significantly based on the movement of abnormal returns
on the coal export ban policy because the sig. (2-tailed) 0.9775 > level of
significant (0.05). Testing on trading volume activity for period 1 uses the Wilcoxon
signed-rank test because the trading volume activity data for period 1 is not
normally distributed. The results of the Wilcoxon signed-rank test showed the
value of sig. (2-tailed) 0.0157 < level of significant (0.05) with a sample
of 15 companies, so it can be concluded that the stock market of ASX coal
companies reacted significantly based on the movement of trading volume
activity on the coal export ban policy.
The variable period 2 has
similarities with the variable period 1 where the abnormal return data for ASX
coal companies is normally distributed while the trading volume activity data
is not normally distributed so that the testing in period 2 will be the same as
period 1, the abnormal returns will use the paired sample t-test and trading
volume activity will use the Wilcoxon signed-rank test. The results of these
tests have similarities with the results of period 1 such as the results of the
paired sample t-test showing that the stock market of ASX coal companies does
not react significantly based on abnormal return movements on easing of the
coal export ban policy because of the sig value. (2-tailed) 0.6912 > level
of significant (0.05). Likewise, the results of the Wilcoxon signed-rank test
show that the stock market of ASX coal companies reacted significantly based on
trading volume activity movements towards easing of the coal export ban policy
because of the sig value. (2-tailed) 0.0054 < level of significant (0.05).
NYSE
& NASDAQ Coal Companies
Table
9
NYSE
& NASDAQ Coal Companies Test Result
|
Test |
Paired Variable |
Obs |
t |
Sig 2 tailed |
|
|
Paired Sample T-test |
AARBeforePeriod1 |
AARAfterPeriod1 |
15 |
0.8325 |
0.4266 |
|
Paired Sample T-test |
ATVABeforePeriod1 |
ATVAAfterPeriod1 |
15 |
-2.2798 |
0.0486 |
|
Paired Sample T-test |
AARBeforePeriod2 |
AARAfterPeriod2 |
15 |
6.2197 |
0.0002 |
|
Paired Sample T-test |
ATVABeforePeriod2 |
ATVAAfterPeriod2 |
15 |
-1.2489 |
0.2432 |
Source
: Output Stata 15
All abnormal return data
and trading volume activity data in periods 1 and 2 for NYSE & NASDAQ Coal
Companies are normally distributed so that the test used is the paired sample
t-test. The results of the paired sample t-test in table 9 show that the
significance value of abnormal returns and trading volume activity for period 1
is 0.4266 and 0.0486 with 15 companies as samples. It can be concluded that the
stock market of NYSE & NASDAQ coal companies did not react significantly
based on abnormal return movements on the coal export ban policy because the
sig. (2-tailed) 0.4266 > level of significant (0.05). However, based on
trading volume activity, the stock market of NYSE & NASDAQ coal companies
reacted significantly because the sig. (2-tailed) 0.0486 < level of
significant (0.05).
In period 2, the results
of the paired sample t-test in tabl 9 show that the
significance value of abnormal returns and trading volume activity is 0.0002 and
0.2432 with 15 companies used as samples. These results explain that the stock
market of NYSE & NASDAQ coal companies reacted significantly based on the
movement of abnormal returns on easing of the coal export ban policy because
the sig value. (2-tailed) 0.0002 < level of significant (0.05). However,
based on trading volume activity, the stock market of NYSE & NASDAQ coal
companies did not react significantly because the sig. (2-tailed) 0.2342 >
level of significant (0.05).
Conclusions
Based on the results of
parametric and nonparametric tests using the paired sample t-test and the Wilcoxon
signed-rank test, it can be concluded that there is no difference in market
reaction in IDX coal companies based on abnormal return and trading volume
activity before and after the coal export ban policy. This could be caused by
other events that can make the market react at the same time as the days of
coal export ban policy so that investors respond more to other events. There is
also no difference in market reaction in IDX coal companies based on abnormal
return and trading volume activity before and after easing of the coal export
ban policy. This could be caused by other events that could make the market
react at the same time as the days of easing of the coal export ban policy so
that investors respond more to other events.
In additional test on the
coal export ban policy period, based on the result of the paired sample t-test
(parametric test) and Wilcoxon signed-rank test (nonparametric test) can be
concluded that there are differences in market reaction in ASX coal companies
and NYSE & NASDAQ coal companies based on trading volume activity before
and after the coal export ban policy. This difference can be interpreted that
the US coal stock market and Australian coal stock market react based on the
movement of trading volume activity on the coal export ban policy.
In additional test on
easing of the coal export ban policy period, based on the result of the paired
sample t-test (parametric test) and the Wilcoxon signed-rank test
(nonparametric test), it can be interpreted that there are differences in
market reaction in IDX oil & gas companies and NYSE & NASDAQ coal
companies based on abnormal return before and after easing of the coal export
ban policy. Likewise, there are differences in market reaction in ASX coal
companies based on trading volume activity before and after easing of the coal
export ban policy. Those difference can be interpreted that the Indonesian oil
& gas stock market and the US coal stock market react based on the movement
of trading volume activity on easing of the coal export ban policy. But the
Australian coal stock market react based on the movement of abnormal return on
easing of the coal export ban policy.
Future researchers are
expected to be able to expand research on other interrelated government
policies so that further researchers can conclude that government policies can
really influence market reactions or not. Future researchers are also expected
to be able to expand the event dates without any confounding events. Longer
event dates without confounding events are more valid in explaining market
reactions.
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First publication right: Syntax Literate: Jurnal Ilmiah
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