REACTION OF INDONESIA CAPITAL MARKET TO UNUSUAL MARKET ACTIVITY ANNOUNCEMENTS

ABSTRACT: Announcement of unusual market activity (UMA) is an announcement indicating that there aretrading activities and / or price movements of an unusual effect at a certain time which according to the stockexchange assessment has the potential to interfere with the regular, fair and efficient securities trading. Thisstudy aims to empirically prove the existence of UMA announcement information content by observing how thecapital market reacts after the announcement is received by the market. This research is an event study with anevent window for 2 days of observation (t0 and t1). This research was conducted on companies that entered theUMA radar in 2018 until 2019. The number of samples that met the purposive sampling criteria was 38 UMAannouncements. Market reaction is measured using abnormal returns. The analysis technique used is the onesample t-test. The test results show that there is no abnormal return after the announcement is received by themarket, this is in accordance with the purpose of the announcement of the UMA itself. The researchimplications theoretically support the theory of information content in an announcement. While the practicalimplications of this research are to be able to give an idea to the Indonesia Stock Exchange that the informationcontent in the UMA announcement is able to restore disrupted market efficiency.

Keywords: Abnormal Return, Event Study, UMA