Reaksi Pasar terhadap Merger dan Akuisisi: Analisis Abnormal Return, Volatilitas Saham, TVA, dan Investor Attention Perusahaan Manufaktur di Bursa Efek Indonesia

Fadhilla Anindita Hapsari

doi:10.61132/santri.v4i5.2680

Authors

Fadhilla Anindita Hapsari Universitas Tanjungpura

DOI:

https://doi.org/10.61132/santri.v4i5.2680

Keywords:

Abnormal Return, Investor Attention, Mergers And Acquisitions, Stock Volatility, Trading Volume Activity

Abstract

Corporate actions such as mergers and acquisitions are corporate strategies that can impact financial conditions, ownership structures, and firm value in the capital market. This study aims to analyze market reactions to merger and acquisition announcements by examining abnormal returns, stock volatility, trading volume activity, and investor attention regarding manufacturing companies listed on the Indonesia Stock Exchange (IDX) during the 2020–2025 period. The study employs an event study methodology with a 21-trading-day event window, comprising the 10 days prior to and the 10 days following the announcement date. The sample consists of 28 companies selected using purposive sampling criteria. Statistical testing was conducted using the Paired Samples T-test for abnormal returns and investor attention, while the Wilcoxon Signed-Rank test was used for stock volatility and trading volume activity. The results indicate significant differences in abnormal returns, stock volatility, and trading volume activity between the pre- and post-announcement periods. However, no significant difference was found regarding investor attention between the two periods. These findings provide empirical evidence regarding changes in specific market indicators surrounding merger and acquisition announcements.

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