EARNINGS ANNOUNCEMENT, ABNORMAL RETURNS, AND MARKET EFFICIENCY IN INDONESIA EQUITY MARKET: AN ANALYSIS FROM INDUSTRIAL FACTOR PERSPECTIVE

Abstract

The paper examines the market efficiency of nine industry sectors of the IDX market. Using an event window of 30 days post-earnings announcement stock returns after the public announcement of the financial statements as of 31 December 2018, the study tests the significance of cumulative average abnormal returns surrounding the earnings announcement. The study concludes that there are significant variances in the market efficiency towards earnings announcement across nine industry sectors in IDX. The finding indicates that the industry-specific factors influence the level of abnormal returns surrounding the earnings announcement. However, the findings reject the market efficiency in agriculture (AGRI) and property, real estate, and building (PROP) industries. The results illustrate that the miscellaneous industry (MISC) reacts immediately to the earnings announcement, but its significance is only for a short period. The infrastructure, utilities, and transportation (INFRA) industry show delays in its response to the announcement but continuously significant for a relatively long period. Other industries of mining (MINING), basic industry and chemicals (BASIC), construction, real estate, and building (CONS), financial (FIN), as well as trading, services, and investments (TSI), report significant negative CAARs in all investigated windows. The One Way ANOVA testing concludes that the nine industries' cumulative average abnormal returns on IDX are significantly different from each other sectors.