Recap by Volatility

Low Medium High

CAR Volatility CAR Volatility CAR Volatility 1
0.067137207 0.031975814 -0.0048 0.0395951465 0.0178 0.060969429 1
0.038711006 0.025672505 0.136559 0.041337827 -0.0653 0.060969429 1
0.050318390 0.021933456 -0.11773 0.0358338365 0.03435 0.053812103 1
0.049703022 0.021933456 -0.01028 0.0358338365 0.051507 0.08031605 1
0.075841458 0.032561331 -0.04391 0.0358338365 -0.0226 0.070239588 1
0.064282403 0.033522030 -0.03364 0.0358130753 -0.03925 0.101978173 2
0.05107 0.047296733 0.0842 0.101978173 2
-0.03887 0.042718172 0.028103 0.073568785 2
-0.16302 0.042718172 -0.00126 0.073568785 2
-0.01499 0.039322285 -0.00077 0.095334718 2
0.010043 0.048109931 0.043027 0.094929724 3
5.77% 2.79% -2.09% 4.04% 0.143854 0.071704468 3
0.044582 0.071704468 3
2.45% 7.78% 3
3
3 0.045405
3 0.089206
4 -0.035
3 -0.06914
5
2 -0.04566
3 -0.09205
6 -0.01139
5 -0.05106
4
2
3 -0.06745
1 0.062657
2
3
2
Recap by Size
Small Medium Large
CAR Cap CAR Cap CAR
-0.04566 514087 13.1501477908 0.0178 7198200 15.7893415527 0.03435
-0.09205 441957 12.9989678713 -0.0653 22367330 16.9231119701 0.051507
-0.06745 84290 11.342018513 0.067137 5753049 15.5652405331 0.05107
-0.01139 504302 13.130930574 -0.0048 9552010 16.0722621615 0.049703
0.062657 640457 13.369937263 0.136559 14685990 16.5024045361 -0.00126
0.045405 159984 11.9828290892 -0.11773 3239148 14.9908208902 -0.00077
0.089206 114576 11.6489936372 -0.01028 8940605 16.0061138182
-0.035 546000 13.2103742547 -0.04391 3906619 15.178182852
-0.06914 417478 12.9419871273 -0.03364 3081939 14.9410695023
-0.05106 120000 11.6952470218 -0.0226 4092612 15.224693955
-0.06914 417478 12.9419871273 -0.03887 7720392 15.8593756979
-0.16302 4092612 15.224693955
0.038711 31544540 17.2669110733
0.050318 16464000 16.6166867371
0.075841 13272350 16.4011934818
-0.03925 4551687 15.3310084914
0.0842 26040340 17.0751574321
0.028103 24499460 17.0141616345
0.043027 12149850 16.312827382
0.064282 5572800 15.5334081786
-0.01499 3488728 15.0650477578
0.143854 4981926 15.4213271212
0.044582 38268440 17.4601360936
0.010043 4468800 15.3126304742
-2.21% 360,055.36 1.04% 11,663,892.79 3.08%
 Large
Cap
64116180 17.97621
280858400 19.45336
287433216 19.4765
73593936 18.11407
41321848 17.5369
423360000 19.86373

195,113,930.00
Low Volatility Small Size CAR interaksi
0.032652436 159984 0.045405 5223.867 4
0.032652436 114576 0.089206 3741.186
0.03147301 546000 -0.035 17184.26
0.026071104 417478 -0.06914 10884.11 Size
AVERAGE CAR= 0.007619
Low Volatility Medium Size CAR
0.0319758143 5753049 0.067137 183958.4 5
0.025672505 31544540 0.038711 809827.4
0.021933456 16464000 0.050318 361112.4
0.032561331 13272350 0.075841 432165.4
0.03352203 5572800 0.064282 186811.6
AVERAGE CAR= 0.059258
Low Volatility Large Size CAR
0.021933456 73593936 0.049703 1614169 1
AVERAGE CAR= 0.049703
Medium Volatility Small Size CAR
0.0358338365 514087 -0.04566 18421.71 4
0.0358130753 441957 -0.09205 15827.84
0.046668553 504302 -0.01139 23535.04
0.039322285 120000 -0.05106 4718.674
AVERAGE CAR= -0.05004
Medium Volatility Medium Size CAR
0.0395951465 9552010 -0.0048 378213.2 10
0.041337827 14685990 0.136559 607086.9
0.0358338365 3239148 -0.11773 116071.1
0.0358338365 8940605 -0.01028 320376.2
0.0358338365 3906619 -0.04391 139989.1
0.0358130753 3081939 -0.03364 110373.7
0.042718172 7720392 -0.03887 329801
0.042718172 4092612 -0.16302 174828.9
0.048109931 4468800 0.010043 214993.7
0.039322285 3488728 -0.01499 137184.8
AVERAGE CAR= -0.02807
Medium Volatility Large Size CAR
0.047296733 287433216 0.0511 13594652 1
AVERAGE CAR= 0.0511
High Volatility Small Size CAR
0.1036266486 84290 -0.06745 8734.69 2
0.070239588 640457 0.062657 44985.44
AVERAGE CAR= -0.0024
High Volatility Medium Size CAR
0.0609694293 7,198,200 0.0178 0.001085 9
0.0609694293 22367330 -0.0653 1363723
0.070239588 4092612 -0.0226 287463.4
 0.101978173 4551687 -0.03925 464172.7
0.101978173 26040340 0.0842 2655546
0.073568785 24499460 0.028103 1802396
0.094929724 12149850 0.043027 1153382
0.071704468 4981926 0.143854 357226.4
0.071704468 38268440 0.044582 2744018
AVERAGE CAR= 0.026047
High Volatility Large Size CAR
0.0538121031 64116180 0.03435 3450226 4
0.0803160503 280858400 0.051507 22557437
0.073568785 41321848 -0.00126 3039998
0.095334718 423360000 -0.00077 40360906
AVERAGE CAR= 2.10%
40
 Volatility
Low Medium High
Small 4 4 2 10
Medium 5 10 9 24
Large 1 1 4 6
10 15 15 40
Volatility Recap Tertile Max 21
6.10% 7 3.00 3.00
3.20% 19 1.00 1.00
5.38% 8 2.00 2.00 3.20%
3.96% 13 2.00 2.00 5.38%
4.13% 12 2.00 2.00
3.58% 15 1.00 2.00
3.58% 16 1.00 1.00
2.57% 20 1.00 1.00
4.73% 10 2.00 2.00
7.02% 6 3.00 3.00
4.27% 11 2.00 2.00
2.19% 21 1.00 1.00
3.26% 18 1.00 1.00
10.20% 1 3.00 3.00
7.36% 4 3.00 3.00
9.53% 2 3.00 3.00
9.49% 3 3.00 3.00
3.35% 17 1.00 1.00
3.93% 14 2.00 2.00
7.17% 5 3.00 3.00
4.81% 9 2.00 2.00
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 Data TA
Stock split 2015
Market Volatility Company CAR Market Capitalization (million)
January 3.15% 1.00 LTLS -3.50% 546,000
February 2.22% 1.00
March 3.13% 1.00
April 4.73% 2.00
May 2.61% 1.00 LEAD -6.91% 417,478
June 4.53% 2.00
3.93% 2.00 BALI -1.50% 3,488,728
July
3.93% ASJT -5.11% 120,000
August 8.88% 3.00
September 5.42% 3.00
7.17% 3.00 DSNG 14.39% 4,981,926
October
7.17% MIKA 4.46% 38,268,440
November 4.68% 2.00
December 4.81% 2.00 MERK 1.00% 4,468,800
Category
small

small

medium
small

medium
medium

medium
 Data TA
Stock split 2014
Market Volatility Company CAR Market Capitalization (million)
January 5.70% 3.00
1.00 INAI 4.54% 159,984
February 3.27%
1.00 ALMI 8.92% 114,576
March 5.03% 3.00
April 4.87% 3.00
May 4.30% 2.00
June 2.76% 1.00
July 3.35% 1.00 TOTO 6.43% 5,572,800
August 2.44% 1.00
September 2.85% 1.00
October 4.87% 3.00
November 2.48% 1.00
December 3.19% 1.00
Category

small 1.00
small 1.00

Medium
 Data TA
Stock split 2013
Market Volatility Company CAR Market Capitalization (million)
January 3.26% 1.00
February 2.45% 1.00
March 4.52% 2.00
April 3.26% 1.00 JPFA 7.58% 13,272,350
May 5.10% 3.00
3.00 ARNA -3.92% 4,551,687
June 10.20%
3.00 SMRA 8.42% 26,040,340
3.00 AMRT 2.81% 24,499,460
July 7.36%
3.00 TOWR -0.13% 41,321,848
August 9.53% 3.00 TLKM -0.08% 423,360,000
September 9.49% 3.00 JKON 4.30% 12,149,850
October 3.58% 1.00
November 4.66% 2.00
December 4.33% 2.00
Category

Medium 1.00
3.00
Medium 3.00
Medium 3.00
Medium 3.00
Large
Large
Medium
 Data TA
Stock split 2012
Market Volatility Company CAR Market Capitalization (million)
January 3.70% 2.00
February 4.67% 2.00 PTRO -1.14% 504,302
March 2.57% 1.00 PWON 3.87% 31,544,540
April 3.05% 1.00
May 4.73% 2.00 ASII 5.11% 287,433,216
June 3.00 MDRN 6.27% 640,457
7.02%
3.00 IMAS -2.26% 4,092,612
July 2.00 KREN -3.89% 7,720,392
4.27%
2.00 DKFT -16.30% 4,092,612
August 3.04% 1.00
September 3.80% 2.00
October 1.00 ACES 5.03% 16,464,000
2.19%
1.00 KLBF 4.97% 73,593,936
November 2.51% 1.00
December 1.93% 1.00
Category

Small
Medium

Large
Small
Medium
Medium
Medium

Medium
Large
 Data TA
Stock split 2011
Market Volatility Company CAR Market Capitalization (million)
January 8.03% 3.00 BBRI 5.15% 280,858,400
February 3.96% 2.00 LSIP -0.48% 9,552,010
March 4.13% 2.00 BTPN 13.66% 14,685,990
April 2.67%
May 3.76%
2.00 PBRX -11.77% 3,239,148
2.00 AUTO -1.03% 8,940,605
June 3.58%
2.00 INTA -4.57% 514,087
2.00 MAIN -4.39% 3,906,619
1.00 SSIA -3.36% 3,081,939
July 3.58%
1.00 JTPE -9.21% 441,957
August 9.10%
September 12.54%
October 10.36% 3.00 MTSM -6.75% 84,290
November 6.50%
December 3.87%
Category
Large
Medium
Medium

Medium
Medium
Small
Medium
Medium
Small

Small
 Data TA
Stock split 2010
Market Volatility Company CAR Market Capitalization (million)
January 4.00%
February 4.85%
March 4.83%
April 4.78%
May 12.10%
June 3.00 TURI 1.78%  7,198,200
6.10%
3.00 CTRA -6.53% 22,367,330
July 3.20% 1.00 DILD 6.71% 5,753,049
August 4.58%
September 4.98%
October 3.40%
November 5.19%
December 5.38% 2.00 CPIN 3.43% 64,116,180
Category

medium
medium
medium

large
 2.776 3.245

2.776

Table 1 Regression result for volatility and size

Panel A: Results distinguished by VIX (market volatility) tercile
Low volatility Medium volatility High volatility
0.245 0.353 -0.136
0.494 0.197 0.630
Test of the difference between high volatility and low volatility terciles:
F-Stat 79.376 p-value 0.000
Panel B: Results distinguished by size (market capitalization) tercile
Small size Medium siza Large size
-0.493 0.424 0.148
0.634 0.039 0.780
Test of the difference between high volatility and low volatility terciles:
F-Stat 27.192 p-value 0.000
Table 2 Regression result for volatility and size, combined
Low volatility Medium volatility High volatility
Small size -0.800 0.407 1.000
0.200 0.593
Medium size -0.685 0.748 0.193
0.202 0.013 0.618
Large size - - -0.148
- - 0.852