Articles

The Impact of Audited Financial Statement Announcements on Stock Returns and Liquidity: Evidence from LQ45 Companies in Indonesia

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This study examines the impact of Audited Financial Statement Announcements on Stock Return and Stock Liquidity in companies listed in the LQ45 index on the Indonesia Stock Exchange during the 2021-2023 period. Using a quantitative approach, this research analyzes time-series data over an 11-day event window (five days before, the announcement day, and five days after). A total of 33 companies were selected through purposive sampling based on specific criteria. Stock liquidity is measured using trading volume activity and bid-ask spread, while data analysis was conducted using descriptive statistics and paired sample t-tests. The findings indicate that (1) audited financial statement announcements significantly affect stock liquidity-both trading volume and bid-ask spread-in the short term; (2) there is no significant impact on stock returns across all event periods; and (3) overall, the market responds more strongly in terms of liquidity than price movement, suggesting that audited financial reports serve as relevant signals for investor behavior, particularly in emerging markets.

Optimizing Investment Portfolio of a State-Owned Company Pension Fund

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The Pension Fund of PT Pos Indonesia (Dapenpos) is considering cutting off all its stock from the portfolio and trying to find the optimal portfolio to increase the funding ratio level. This research is using Modern Portfolio Theory (MPT) by Markowitz to solve the current issue faced by the company by optimizing company’s current portfolio, company’s stock universe, and optimizing modified portfolio of company. Portfolio optimization of the company is complying to the OJK regulation as well as company’s investment direction with constant government bond proportion of 30% and unchanged proportion of both direct investment and property assets. The historical existing portfolio of Dapenpos from 2017 to 2021 has an expected return of 8.83% with standard deviation of 3.45%, so it is suggested that both mutual fund and stock portfolio should be emptied and reallocated to time deposit and corporate bond. The efficient frontier from current portfolio optimization indicated that Dapenpos could get a higher return of 9.31% by choosing portfolio above the optimal frontier. The optimal LQ45 index has a range of return from 6.90% as its Global Minimum Variance (GMV) to 27.46% as its optimal portfolio suggestion. GMV LQ45 is the preferable portfolio to modify the existing portfolio, with an optimal modified portfolio expected retrurn’s range of 7.37% to 9.28%. The decision of the fund manager to cut all the stock from its portfolio is validated by MPT tools with strategic reallocation to time deposit and corporate bond in gaining potential higher return with similar risk.

 

JCI Correlation with JII and LQ45 on The Indonesia Stock Exchange

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Investors who invest want to earn profits from the funds invested in the capital market. This study will see whether Economic Growth, SBI, Dollar Exchange, LQ-45 and JII affect the JCI.

The method of analysis is multiple regression (Multiple Regression Analysis) and the research data is processed using the SPSS (Statistical Package for Social Science) program and the research period is from 2010 to 2021.

The conclusion is that Economic Growth, SBI, Dollar Exchange and JII have no significant effect on the JCI, while LQ-45 has a significant effect on the JCI. Simultaneously Economic Growth, SBI, Dollar Exchange, LQ-45 and JII have a significant effect on the JCI for the period 2010 to 2021.