MINISTRY OF EDUCATION AND TRAINING
UNIVERSITY OF ECONOMICS HO CHI MINH CITY

LA NGỌC GIÀU

INVESTORS’ REACTION TO THE STOCK TRADING
ANNOUNCEMENT OF INTERNAL SHAREHOLDERS,
STAKEHOLDERS AND MAJOR FOREIGN HOLDERS –
EVIDENCE FROM VIETNAM STOCK MARKET

Major: Finance and Banking (Banking)
Code: 9340201

SUMMARY OF Ph.D THESIS

HỒ CHÍ MINH CITY - 2019


The thesis was completed in University of Economics Ho
Chi Minh City
Supervisors: Assoc. Prof. Vo Xuan Vinh, Ph.D and Than Thi Thu Thuy, Ph.D
Reviewer 1: .........................................................
Reviewer 2: ...........................................................
Reviewer 3: ...........................................................
The thesis will be presented to the school-level thesis
evaluation board at:………..
At .......... time .........date ..............
month....................year………..
The thesis can be found
at: ..........................................................


Thirdly, the thesis analyzes the Investors’ reaction based on stock price and trading volume
to the impact of information that the foreign investors become majority shareholders or no longer
majority shareholders.
1.3. Questions
• How does the stock price fluctuate to the stock trading announcement of internal
shareholders?
• How does the trading volume fluctuate to the stock trading announcement of internal
shareholders?
• How does the stock price fluctuate to the stock trading announcement of stakeholders?
• How does the trading volume fluctuate to the stock trading announcement of stakeholders?

1According to Circular No. 155/2015/TT-BTC on 06 October 2015 guiding to announce information in the

stock market, the internal people are the internal shareholders.


4

• How does the stock price fluctuate when information that the foreign investors become
majority shareholders or no longer majority shareholders is announced?
• How does the trading volume fluctuate when information that the foreign investors become
majority shareholders or no longer majority shareholders is announced?
1.4. Object
The thesis examines the Investors’ reaction to the stock trading announcement of internal
shareholders, stakeholders and major shareholders being foreign investors.
1.5. Study’s scope
The study includes the announcements of stock transaction registration of internal
shareholders, stakeholders; and foreign investors from companies listed on Ho Chi Minh City Stock
Exchange over the period from 2008 to 2015.
1.6. Implementation order

also an import channel in managing the macroeconomic policies in many countries around the
world. In Vietnam, the stock market was officially formed on 11 July 1998 according to Decree No.
48/CP on Stock and Stock market, on the same day, the Prime Minister signed Decision No.
127/1998/QĐ-TTg to establish Ho Chi Minh City Securities Trading Center.
2.3. Legal regulations on information announcement
2.3.1. Legal documents stipulating information announcement
The information announcement is institutionalized by legal documents, when taking part in
listing on the stock exchanges, the companies must comply with information announcement.
The information announcement is stipulated specifically in Stock laws and specificized by
Circulars as Circular No. 38/2007/TT-BTC on 18/4/2007, Circular No. 09/2010/TT-BTC on
15/01/2010, Circular No. 52/2012/TT-BTC on 05/04/2012, and most recently, Circular No.
155/2015/TT-BTC on 06/10/2015. The related information announcement is stipulated specifically
as follows (2):
2.3.2. Information announcement
The objects are announced according to Circular No. 155/2015/TT-BTC on 06/10/2015
2.3.3. Means of information announcement
As according to Circular No.155/2015/TT-BTC on 06/10/2015
2.3.4. Time of information announcement with internal shareholders and stakeholders
According to Circular No.155/2015/TT-BTC on 06/10/2015.
2.4. Investors’ reaction based on stock price and trading volume to the announced information
2.4.1. Investors’ reaction based on stock price to the announced information
The semi-strong efficient market hypothesis is applied in this thesis to explain the investors’
reaction to the stock trading announcement of shareholders and investors, with implication that the
stock price will automatically be adjusted to update the announced information. The Abnormal
Return is defined by Brown & Warner (1980) as the difference between actual return and expected
return of this stock. Definition of abnormal return turns around the date of information
announcement to make basis for concluding the efficiency of the market.

2According to Circular No. 155/2015/TT-BTC on 06 October 2015 guiding to announce information in the stock
market, the internal people are internal shareholders.

return. This is the reason for creating changes in stock price and trading volume.
2.5.2. Signaling theory
The Signaling theory believes that the behaviors and decisions of the internal shareholders,
stakeholders and foreign investors being majority shareholders can contain the sign for other
shareholders and implies the information that others do not have. The Signaling theory shows that
when the internal shareholders or stakeholders register stock transaction, that can lead to the
changes in stock price and trading volume in the market.
For the transactions of the foreign investors, every transaction contains the signs about the
different expectations on the company. On the contrary, when the foreign investors want to reduce
the stock holding rate to be no longer majority shareholders, the management policies as well as
transparency can change, thus, the company’s performance decreases.
2.5.3. Efficient market hypothesis
The investors’ reaction when the company announces information is explained by the
Efficient market hypothesis of Farma (1970). This hypothesis believes that a market is considered to
be efficient if the stock price reflects all information about this stock. Therefore, an investors can’t
earn the abnormal return (Pindyck & Rubinfeld 2009) from stock transaction in the market.


7

Although the Efficient market hypothesis is applied widely in the financial theories, some
studies state that the market is non-efficient. (Aharony & Swary 1980; Asquith & Mullins Jr 1983;
Bajaj & Vijh 1995; Bernheim & Wantz 1992; Charest 1978; Dyl & Weigand 1998; Grinblatt et al.
1984; Lie 2005; Woolridge 1982). These studies prove the existence of the abnormal return before
and after the date of information announcement.
2.6. Overview of previous studies
According to statistic data of (Kothari & Warner 2005) from 1974 to 2000, there were 565
studies posted in the prestigious magazines in the world. Some typical studies:
2.6.1. The studies related to information of dividend payment
Studies of Pettit (1972), Charest (1978), Aharony & Swary (1980), Woolridge (1982), Asquith &

9

2.8. Thesis’s Study Hypothesis
Firstly, the study hypothesis relates to the impacts of stock transaction registration of the
internal shareholders on price and trading volume:
 Hypothesis 1a: The stock price increases due to buying transaction registration of the internal
shareholders.
 Hypothesis 1b: The stock price decreases due to selling transaction registration of the internal

shareholders.
 Hypothesis 2a: The trading volume increases due to the stock buying registration announcement
of the internal shareholders.
 Hypothesis 2b: The trading volume increases due to stock selling registration announcement of
the internal shareholders.
Secondly, the study hypothesis relates to the impacts of stock transaction registration of the
stakeholders.
 Hypothesis 3a: The stock price increases due to stock buying registration of the stakeholders.
 Hypothesis 3b: The stock price decreases due to stock selling registration of the stakeholders
 Hypothesis 4a: The trading volume increases due to the stock buying registration announcement
of the stakeholders.
 Hypothesis 4b: The trading volume increases due to the stock selling registration announcement

of the stakeholders.
Thirdly, the study hypothesis relates to transactions of the majority shareholders being foreign
investors.
 Hypothesis 5a: The stock price increases when the information that the foreign investors become
the majority shareholders is announced.
 Hypothesis 5b: The stock price decreases when the information that the foreign investors are no
longer majority shareholders is announced.
 Hypothesis 6a: The trading volume increases when the foreign investors become the majority


Event day

Equivalent to each event selected to study, the event day is the date the information on
events is announced on website of Ho Chi Minh City Stock Exchange.
 Event window, estimate window and window after event

Three windows in the event framework used to study include: i) Event window is selected
to be 31 days, from -15th date (before the date of announcement 15 days) to +15th date (after the
date of announcement 15 days) including 0 date (the event day), ii) Estimate window is 120 days
from -16th date to -135th date, iii) Window after event is from +16th date to +30 date, 15 days in
total.
3.1.2.3. Measurement of investors’ reaction is shown through the stock price
Measurement of investors’ reaction is shown through the stock price and considered through
the existence of cumulative normal return and abnormal return.
 Abnormal return (ARi,t)
According to Brown & Warner (1980), the abnormal return is the difference between actual
return and expected return of the stock. In this study, AR is calculated as follows:
AR i,t = R i,t – E (Ri,t)
Method 1
The expected return is adjusted by the market’s return(Rm,t)
E (Ri,t) = Rm,t
Method 2
E (Ri,t) = α i,t + β i,t R m,t
 Average Abnormal Return (AARt)


11

 Cumulative Average Abnormal Return CAAR (t1, t2)

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(Source: Summary of PhD student)


14

CHAPTER 4: INVESTORS’ REACTION TO THE STOCK TRANSACTION
REGISTRATION ANNOUNCEMENT OF INTERNAL SHAREHOLDERS
4.1. The Investors’ reaction based on stock price and trading volume to the stock buying
registration announcement of internal shareholders
The left results in Table 4.1 prove the existence of the abnormal return on the date of
information announcement and two days later. Thus, the information implicated in the stock buying
registration announcement of internal shareholders is good for the market, shown through that the
market has positive response with this information, the stock price ends the downtrend and starts to
increase since the date of stock buying registration announcement of internal shareholders. The
stock price constantly decreases before the date of information announcement, that shows the
internal shareholders’ behavior of buying stocks is an important strategy to stop the down impetus
of stocks in the market. Additionally, the market does not react to all information implicated on the
date of announcement but continues to react on the following days, which shows that the stock
market in Vietnam is not efficient in the semi-strong form of the Efficient market hypothesis.
The investors’ reaction based on the abnormal trading volume to the stock buying
registration announcement of the internal shareholders is shown at the right of Table 4.1. The results
show that the trading volume increases on the date of announcement and the reaction of the stock
price on the date of announcement, they indicate that the market has position reaction to the
information of buying stocks of the internal shareholders through the increase in liquidity along
with increase in stock price.
Table 4.1: Test results of abnormal return and abnormal trading volume to the stock buying
registration announcement of the internal shareholders
Abnormal return
Abnormal trading volume

-1
-0,08%
-0.89
0.40
0.11
2.13**
0
0,61%
6.53***
5.41***
0.24
4.83***
1
0,38%
4.12***
3.97***
0.15
2.95***
2
0,19%
2.08**
2.25**
0.13
2.68***
3
0,07%
0.79
1.63
0.20
4.05***

4.04***
[0;30]
1,61%
3.5***
2.73***
0.08
2.11**
[-15;15]
0,17%
0.33
0.81
0.08
2.57**
***; **; * with the respective meaning level at 1%; 5%; 10%.
(Source: The PhD student calculates and summarizes).


15

4.2. The Investors’ reaction based on stock price and trading volume to the stock selling
registration announcement of the internal shareholders with the different selling rate
Results in Table 4.2 implicate that the information of stock buying of the internal
shareholders, even low, prevents the decline in stock price and brings positive sign to the market.
The trading volume and stock liquidity are improved significantly before, on and after the event
day.
Table 4.2: Test results of abnormal return and abnormal trading volume to the stock selling
registration announcement of the internal shareholders with small sale ratio.
Abnormal return
Abnormal trading volume
T

-0,21%
-1.83*
0.77
0.12
2.08**
0
0,12%
1.08
-1.27
0.11
2.01**
1
0,31%
2.72***
-2.63***
0.08
1.33
2
0,03%
0.22
0.18
0.16
2.8***
3
0,02%
0.18
-1.66*
0.13
2.34**
4

1,33%
2.23**
0.67
0.00
0.10
[-15;15]
-0,49%
-0.80
-1.95*
0.02
0.52
***; **; * with the respective meaning level at 1%; 5%; 10%.
(Source: The PhD student calculates and summarizes).
Table 4.3 indicates the test result of the market’s reaction to the stock buying registration
announcement of the internal shareholders in case of big sale ratio. The result shows that the event
of big sale ratio of the internal shareholders have significant and positive impacts on price and
trading volume. This result further supports the theory of the asymmetric information and the
signaling theory,
Table 4.3: Test results of abnormal return and abnormal trading volume to the stock buying
registration announcement of the internal shareholders with big sale ratio.
Abnormal return
Abnormal trading volume
T
AAR1
T stat
Z-value
AAV
T stat
-5
-0,15%

7.92*** -6.09***
0.37
5.32***
1
0,47%
3.48*** -3.08***
0.21
3.1***
2
0,36%
2.67*** -3.37***
0.11
1.55


16

T

Abnormal return
AAR1
T stat
Z-value
0,15%
1.14
-0.65
-0,22%
-1.60
0.90
0,09%

1,77%
3.35***
1.58
0.23
4.01***
[0;30]
1,89%
2.67***
0.70
0.18
3.02***
[-15;15]
0,75%
0.88
0.41
0.14
2.88**
***; **; * with the respective meaning level at 1%; 5%; 10%.
(Source: The PhD student calculates and summarizes).
Thus, the above results show that the market has reaction to the information of buying
stocks of the internal shareholders, even small and big sale ratio. However, the market has stronger
and clearer reaction in case of big sale ratio. These results further support the theory of the
asymmetric information and the signaling theory.
4.3. The market’s reaction based on stock price and trading volume to the stock selling
registration announcement of the internal shareholders
The results in Table 4.4 indicate that the stock price constantly increases before the internal
shareholders register to sell stocks. This implicates that the internal shareholders choose the time
when the stock price in the market increase to register to sell. The above identification is
strengthened when the cumulative abnormal return before the announcement is positive with high
rate and has statistic meaning at 1% (CAAR [-15;-1]:4.47%).

7.36***
-4.88***
0.26
4.16***
-2
0,56%
7.31***
-2.39**
0.33
5.24***
-1
0,38%
4.9***
-3.46***
0.31
4.91***
0
-0,04%
-0.57
0.58
0.25
4***
1
-0,15%
-2**
1.71*
0.26
4.05***
2
-0,08%


17

Abnormal return
Abnormal trading volume
AAR1
T stat
Z-value
AAV
T stat
[-15;-1]
4,47%
11.16***
7.29***
0.16
5.90***
[0;15]
-1,10%
-3.41***
-4.82***
0.21
6.73***
[0;30]
-1,73%
-3.88***
-4.94***
0.15
4.92***
[-15;15]
3,37%


t
-5
-4
-3
-2
-1
0
1
2
3
4
5

Abnormal return
AAR1
0,44%
0,51%
0,64%
0,71%
0,47%
0,06%
-0,02%
0,00%
0,05%
-0,04%
-0,02%

T stat
4.26***

0.19
3.4***
0.18
3.23***
0.27
4.74***
0.24
4.24***
0.14
2.55**
0.19
3.35***
0.20
3.48***
0.18
3.24***
0.24
4.34***
0.20
3.58***


18

Abnormal return

t
AAR1

T stat

-1.02
0.08
1.83*
[-15;15]
5,06%
7.55***
5.89***
0.12
3.17***
***; **; * with the respective meaning level at 1%; 5%; 10%.
(Source: The PhD student calculates and summarizes).
Table 4.6: Test results of abnormal return and abnormal trading volume to the stock selling
registration announcement of the internal shareholders with big sale ratio.
Abnormal return
Abnormal trading volume
t
AAR1
T stat
Z-value
AAV
T stat
-5
0,39%
3.16***
-2.48**
0.25
3.18***
-4
0,36%
2.97***

1.98**
0.27
3.42***
2
-0,18%
-1.45
2.4**
0.24
3.02***
3
-0,29%
-2.38**
2.31**
0.41
5.17***
4
-0,11%
-0.86
2.06**
0.39
4.91***
5
-0,14%
-1.12
2.56**
0.32
4.02***
Framewor
k
CAAR

announcement of the internal shareholders is considered to be the good information for the market
and the internal shareholders buy stocks as an important strategy to stop the downtrend of stocks in
the market. On the contrary, the information implicated in the stock selling registration
announcement of the internal shareholders is considered as bad information for the market. The
stock price decreases and forms the downtrend on the date of announcement of stock selling
registration of the internal shareholders, the trading volume increases suddenly on the days around
the event day. Besides, the study’s results show there is phenomena that the investors in the market
imitate the internal shareholders to implement transactions. The results further support the theory of
the asymmetric and the signaling theory.


19

CHAPTER 5: INVESTORS’ REACTION TO THE STOCK TRANSACTION
REGISTRATION ANNOUNCEMENT OF STAKEHOLDERS
5.1. The Investors’ reaction based on stock price and trading volume to the stock transaction
registration announcement of the stakeholders being the individuals.
5.1.1. The Investors’ reaction based on stock price and trading volume to the stock buying
registration announcement of the stakeholders being the individuals.
Table 5.1 shows that before the date of information announcement, the stock price in the
market declines, however, after the event day, the stock price increases, the abnormal return
AAR[1]:0.38% with the meaning of 5% and maintains on the following days.
The results in Table 5.1 (the right) show that the trading volume increases right on the date of
stock buying registration and maintains to the end of the 13th date. They are evidences for that the
trading volume is significantly improved since the date of information announcement.
From above results, we can see that the stock buying registration announcement of the
stakeholders being the individuals is considered as a good sign. There is phenomena that the other
investors imitate the stakeholders to implement or increase transactions.
Table 5.1: Test results of abnormal return and abnormal trading volume to the stock buying
registration announcement of the stakeholders being individuals

0.15
1.49
-1
-0,32%
-1.87*
-0.23
0.13
1.26
0
0,44%
2.55**
2.56**
0.24
2.38**
1
0,38%
2.24**
2.29**
0.32
3.11***
2
0,22%
1.28
1.10
0.21
2.1**
3
0,16%
0.94
0.70

1.76*
0.22
3.14***
[0;30]
2,45%
2.31**
1.36
0.14
2.03**
[-15;15]
1,42%
1.28
1.76*
0.14
2.35**
***; **; * with the respective meaning level at 1%; 5%; 10%.
(Source: Summary of calculation results of the PhD student).
5.1.2. The Investors’ reaction based on stock price and trading volume to the stock buying
registration announcement of the stakeholders being the individuals with the different sale
ratio
Table 5.2 and Table 5.3 respectively show the test results for the existence of the abnormal
return to the stock buying registration announcement with small and big sale ratio of the
stakeholders being individuals.
With the registration announcement of small sale ratio, the results in Table 5.2 do not give
the evidence about the investors’ reaction based on the stock price when the stock purchase


20

information is announced, this shows that the abnormal return on the date of information

0,28%
1.32
-0.82
0.24
1.58
-1
-0,75%
-3.52***
1.98**
0.06
0.39
0
0,23%
1.08
-1.57
0.27
1.77*
1
0,32%
1.48
-1.94*
0.21
1.35
2
0,25%
1.15
-1.20
0.18
1.15
3

[0;15]
0,88%
0.89
-0.26
0.21
1.92*
[0;30]
1,78%
1.31
-0.45
0.09
0.83
[-15;15]
0,10%
0.07
-0.07
0.14
1.42
*;**;*** with the respective meaning level at 10%;5%;1%.
(Source: Summary of calculation results of the PhD student)
With the registration announcement of big sale ratio, the results in Table 5.3 show the
abnormal trading volume on [0] and [1] date and the cumulative average abnormal return at window
after event has positive values. Additionally, the stock liquidity is improved since the event day, that
the existence of the positive abnormal trading volume from [0] date to [15] date mostly has statistic
meaning when testing.
From above results, we can see the big sale ratio of the stakeholder individuals, the market
has clear reaction to the information and the information implicated in the buying registration
announcement is good. Besides, after comparison, we can find out the investors’ reaction to the
registration announcement of big sale ratio of stakeholder individuals has the similar results with
the ones the internal shareholders.

0,07%
-0.28
1.02
0.02
0.19
-1
0,07%
0.30
-1.21
0.15
1.39


21

T

Abnormal return

Abnormal trading
volume
AAV
T stat
0.21
1.97**
0.46
4.27***
0.24
2.25**
0.40

0.24
0.83
Framewor
CAA
k
R
T stat
Z-value
MAAV
T stat
[-15;-1]
0,45%
0.40
-0.65
0.03
0.39
[0;15]
2,35%
1.94*
0.09
0.25
2.71***
[0;30]
3,44%
2.15**
0.09
0.24
2.44**
[-15;15]
2,80%

-5
0,26%
2.66***
-0.69
0.24
4.75***
-4
0,67%
6.91***
-4.3***
0.27
5.23***
-3
0,48%
4.94***
-1.99**
0.23
4.44***
-2
0,54%
5.63***
-3.65***
0.28
5.46***
-1
0,33%
3.37***
-2.64***
0.27
5.27***

5
-0,05%
-0.54
-0.05
0.15
2.89***
Framewor
CAAR
T stat
Z-value
MAAV
T stat


22

t

Abnormal return
AAR1

T stat

Abnormal trading volume
Z-value

AAV

T stat


stakeholders respectively. The results indicate that investors’ reaction to the announcement of little,
much sell registration of personal stakeholders has commonality.
Table 5.5: Abnormal return and abnormal trading volume inspection results to the
announcement of stock sell registration of individual stakeholders with small sale ratio.
Abnormal return
Abnormal trading volume
T
AAR1
T stat
Z-value
AAV
T stat
-5
-4
-3
-2
-1
0
1
2
3
4
5
Frame
[-15;-1]
[0;15]
[0;30]
[-15;15]

0.28%

0.21
0.21%
1.69*
-1.66*
0.27
0.01%
0.06
0.27
0.15
-0.12%
-0.94
1.60
0.11
CAAR
T stat
Z-value
MAAV
5.17%
9.11***
6.28***
0.13
-0.26%
-0.53
-3.9***
0.16
-1.27%
-1.82*
-4.21***
0.10
4.91%

Z-value
AAV
T stat
-5
0.24%
1.69*
0.35
0.33
4.56***
-4
0.81% 5.77***
4.66***
0.32
4.5***
-3
0.51% 3.64***
1.99**
0.23
3.24***


23

Abnormal return
Abnormal trading volume
AAR1
T stat
Z-value
AAV
T stat

-0.06%
-0.42
0.04
0.27
3.74***
4
0.24%
1.69*
1.68*
0.30
4.2***
5
0.03%
0.23
1.79*
0.17
2.35**
Frame
CAAR
T stat
Z-value
MAAV
T stat
[-15;-1]
3.79% 5.62***
4.97***
0.18
3.88***
[0;15]
-0.10%

Table 5.7: Abnormal return and abnormal trading volume inspection results to the
announcement of stock purchase registration of organizational stakeholders
Abnormal return
Abnormal trading volume
T
AAR1
T stat
Z-value
AAV
T stat
-5
-0.01%
-0.06
0.35
-0.04
-0.47
-4
0.35%
2.34**
-0.53
-0.04
-0.53
-3
0.20%
1.31
-0.41
-0.10
-1.24
-2
0.01%

0.88
-1.04
0.14
1.63
4
-0.22%
-1.43
0.86
0.03
0.33
5
0.07%
0.50
0.48
0.02
0.29
Frame
CAAR
T stat
Z-value
MAAV
T stat
[-15;-1]
0.33%
0.54
-1.67*
-0.14
-2.45**
[0;15]
1.79%

-0.05
-0.90
***; **; * means 1%; 5%; 10% respectively.
(Source: Calculated and summarized by the Research Student).
5.2.2. Investors’ reaction is expressed through stock price and stock trading volume to the
announcement of stock purchase registration of organizational stakeholders with different
purchase ratios.
With announcement of small purchase registration (Table 5.8) of organizational
stakeholders, stock prices’ reaction to the disclosed information with evidence of positive abnormal
return value existence with meaning level of 5% at the event date and existed to the 3 rd day. On the
other hand, accumulated abnormal return is positive at time frame after disclosure date of
information with meaning level of 1% for non parameters inspection. Trading volume’s fluctuation
is not significant and obvious, however, stock liquidity is generally improved. Thus, event of
announcement of small purchase registration of organizational stakeholders has short term positive
impact on stock price and no obvious impact on trading volume.
Table 5.8: Abnormal return and abnormal trading volume inspection results to the
announcement of stock purchase registration of organizational stakeholders with small
purchase ratios.
Abnormal trading
Abnormal return
volume
t
AAR1
T stat
Z-value
AAV
T stat
-5
0.20%
0.91

1.41
0.08
0.75
1
0.33%
1.54
1.59
0.06
0.55
2
0.54%
2.5**
2.49**
0.14
1.37
3
0.10%
0.45
-0.02
0.09
0.86
4
-0.56% -2.58***
-1.63
0.02
0.20
5
0.19%
0.90
0.16

-0.07
-1.10
***; **; * means 1%; 5%; 10% respectively.
(Source: Calculated and summarized by the Research Student).
With announcement of big purchase registration (table 5.9) of organizational stakeholders,
mean positive abnormal return exits at the disclosure date of information and maintains until the
fourth day together and mean accumulated abnormal return at time frame after the disclosure date
of information also has very high positive value. Stock volume also has positive fluctuations
(increase in liquidity) but inconsiderable. Similar to case of small purchase registration, event of


25

announcement of big purchase registration of organizational stakeholders has short term positive
impact on stock price and no obvious impact on trading volume.
Table 5.9: Abnormal return and abnormal trading volume inspection results to the
announcement of stock purchase registration of organizational stakeholders with big
purchase ratios.
Abnormal return
Abnormal trading volume
t
AAR1
T stat
Z-value
AAV
T stat
-5
-0.22%
-1.02
0.76

0.17
1.12
1
1.23%
5.8***
-3.55***
0.17
1.13
2
0.31%
1.46
-0.32
0.34
2.28**
3
0.17%
0.79
-1.40
0.19
1.29
4
0.13%
0.62
-0.32
0.08
0.53
5
-0.04%
-0.21
0.76

-0.05
-0.54
***; **; * means 1%; 5%; 10% respectively.
(Source: Calculated and summarized by the Research Student).
5.2.3. Investors’ reaction is expressed through stock price and stock trading volume to the
announcement of stock sell registration of organizational stakeholders.
Results of Table 5.10 prove that before the event of continuous increase in stock price is
expressed through positive abnormal return existence and accumulated abnormal return at time
frame before announcement. However, at the announcement date, stock price decreases and this
lasts to the second day after disclosure date of information and days after that.
Investors’ reaction, in perspective of volume, to abnormal trading volume is positive from
day [-5] to day [15]. In addition, average daily indicator for abnormal trading volume for period
before ad after the event, MAAV[-15;-1]: 0.10 has statistical meaning at level of 5%; MAAV[0;15]:
0.22 has statistical meaning at level of 1% and MAAV[0;30]: 0.17 with meaning level of 1%.
We can see the information contained in announcement of stock sell registration of
organizational stakeholders is bad information. Stock price immediately decreases and forms a
trend of decrease in stock price from the announcement date.
Table 5.10: abnormal return and abnormal trading volume inspection results to the
announcement of stock sell registration oforganizational stakeholders
Abnormal return
Abnormal trading volume
t
AAR1
T stat
Z-value
AAV
T stat
-5
0.24%
1.99**