ANALYSIS OF PRE- AND POST-ANNOUNCEMENT DIFFERENCES IN MERGERS AND ACQUISITIONS ON ABNORMAL RETURNS AND TRADING VOLUME ACTIVITY (A Study of Companies Listed on the Indonesia Stock Exchange, 2020-2024)
Keywords:
abnormal return, event study, Indonesia Stock Exchange, mergers and acquisitions, trading volume activityAbstract
The announcement of mergers and acquisitions (M&A) is widely recognized as a significant corporate event that carries informational value capable of influencing investor behavior in capital markets. However, empirical evidence regarding the consistency of market reactions to M&A announcements remains mixed, particularly in the context of emerging markets during periods of heightened uncertainty. This study aims to analyze differences in abnormal returns and trading volume activity before and after M&A announcements among companies listed on the Indonesia Stock Exchange during the 2020–2024 period, a timeframe characterized by post-pandemic economic recovery and shifting corporate consolidation patterns. A quantitative event study approach was employed using a sample of 30 companies selected through purposive sampling. Abnormal returns were calculated using the market-adjusted model, while trading volume activity was measured as the ratio of traded shares to total shares outstanding. Hypothesis testing was conducted using the Wilcoxon Signed-Rank Test across two event windows of ±5 days and ±25 days, following the confirmation of non-normal data distribution through the Kolmogorov-Smirnov and Shapiro-Wilk tests. The results indicate that M&A announcements do not consistently generate significant differences in either abnormal returns or trading volume activity across both event windows, leading to the rejection of all four hypotheses. Sporadic significant reactions observed on isolated days suggest the presence of prior market anticipation or information leakage before the official announcement date. These findings support the semi-strong form of the Efficient Market Hypothesis and highlight the need for more transparent M&A disclosure practices to improve market efficiency on the Indonesia Stock Exchange.
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