The confidence interval analysis for stocks with “Unusual Market Activity”

In order to protect investors, the capital market authorities actively monitor stock price movements. Unusual movements have resulted in the capital market authorities announcing unusual market activity (UMA). This study uses firms that obtain UMA status in the announcement period from March to April 2023. To analyze UMA, the study uses confidence interval estimation. The results of this study indicate that UMA status tends to be proven by paying attention to the classification of critical values and the range of data.


Introduction
Unusual market activity (UMA) is a phenomenon that often occurs in capital market trading activities. According to Kurniawan (2017), UMA tends to be defined as unusual stock movements and trading within a certain period of time. In general, the purpose of announcing the status of UMA by the Indonesia Stock Exchange is so that investors can more carefully consider their investment decisions regarding the financial performance of a firm and the economic information that influences it.
Furthermore, Anas and Nugroho (2017), and Kurniawan (2017) explain that UMA tends to be associated with the short-term goals of investors to obtain abnormal returns. The finding of Permatasari and Tambun (2021) implies that UMA tends to be caused by potential information asymmetries from insiders to outsiders that might occur in the future.
The purpose of this study is to analyze the stock price movements of issuers with UMA status. Lye et al. (2021) emphasize that the announcement of UMA by the capital market authorities is an effective market intervention mechanism in order to increase investment certainty and information efficiency. However, Lye et al. (2021) also explain that the announcement of UMA will only reduce information uncertainty and not reduce information asymmetry. Sayidah (2012) explains that information asymmetry is part of agency theory which emphasizes the existence of moral hazard between principals and agents. According to Sayidah (2012), dan Sirat (2017), information asymmetry is a condition in which a party does not transparently fully disclose the information to other parties with the aim of obtaining benefits. Muslim and Widyastuti (2019) emphasize that investors tend to avoid information asymmetry, especially regarding profit information.

Literature review
According to Perwira and Darsono (2015), increasing in information asymmetry tends to increase the cost of equity even though this condition is not significant in the capital market. But, the findings of Irdawati et al. (2021) imply that information asymmetry which tends to be high will actually make investors increase their expected returns. However, Jasman (2016), and Wijaya and Herwiyanti (2023) also find that information asymmetry has negative relationship with the cost of equity to investors. In addition, Junaidi (2018), Dasmaran and Odeh (2020), Feronika et al. (2021), Putra et al. (2021, and Wijaya and Herwiyanti (2023) prove that information asymmetry tends to increase the earnings management practices.

Research method
The sample of this study is the listed firms on the Indonesia Stock Exchange with UMA announcement in period of March to April 2023. This study uses the daily closing price as data for the period December 31 2022 or at the time of the initial public offering (IPO) until the UMA status is announced. In term to analyze the UMA for stock prices, this study uses the formula of confidence interval (CI) estimation as follows.
X̅ is mean for the stock price, Z is the critical value (90%, 95%, and 99%), and the σ is standard deviation. If the μ (or the stock price at cut off point) is out the range (less than lower or over the upper limits) then it is called UMA. Table 1 shows that the UMA status mostly dominated by unusual increases and unusual patterns. In addition, the standard deviation (SD) of several stocks such as CHIP, CUAN, and KONI tends to be high, indicating that these stocks are more volatile in the capital market. In the next step, this study tests the confidence interval estimation. Table 2 shows that BHAT has an unusual pattern where the first three days have a price above the upper limit and the stock price in the last six days is less than the lower limit of the confidence interval (at level 90%, 95%, and 99%).  Table 3 shows that the BMSR share prices are less than the lower bound of the confidence interval at the 90% level. Similar results are also obtained at the levels of 95% and 99%. These results show that the share prices of BMSR are unusually decreasing.  Table 4 shows that BOGA's share prices are less than lower limits at confidence levels of 90%, 95%, and 99%. These results indicate that BOGA stock prices tend to experience an unusual decrease rather than an unusual pattern as stated in the UMA status. Less lower limit Less lower limit Unusual 20230310 1225 Less lower limit Less lower limit Less lower limit Unusual 20230313 1215 Less lower limit Less lower limit Less lower limit Unusual 20230314 1210 Less lower limit Less lower limit Less lower limit Unusual 20230315 1210 Less lower limit Less lower limit Less lower limit Unusual 20230316 1215 Less lower limit Less lower limit Less lower limit Unusual 20230317 1230 Less lower limit Less lower limit Less lower limit Unusual 20230320 1230 Less lower limit Less lower limit Less lower limit Unusual

Result and discussion
The Contrarian: Finance, Accounting, and Business Research Volume 2, Issue 2, 2023 pp. 41-50 Table 5 shows that the stock prices of CHIP in the first six days are less than the lower limit and over the upper limit in the last five days. This condition indicates that the stock prices of CHIP tend to be an unusual pattern rather than unusual increase as stated in the UMA status. In addition, the stock prices on 16 February 2023 (or 20230216) and 24 February 2023 (or 20230224) tend to remain in confidence interval, especially at of 99%.  Table 6 shows that the stock price of CMNT on the first day still in confidence interval, especially at levels of 95% and 99%, but is less than lower limit at the level of 90%. Subsequent share prices tend to be less than the lower limit at levels of 90%, 95%, and 99%. Those results indicate that the stock prices tend to experience unusual decrease rather than an unusual pattern as stated in UMA status. 850 Less lower limit Less lower limit Less lower limit Unusual 20230309 820 Less lower limit Less lower limit Less lower limit Unusual 20230310 795 Less lower limit Less lower limit Less lower limit Unusual 20230313 780 Less lower limit Less lower limit Less lower limit Unusual 20230314 780 Less lower limit Less lower limit Less lower limit Unusual 20230315 815 Less lower limit Less lower limit Less lower limit Unusual 20230316 830 Less lower limit Less lower limit Less lower limit Unusual 20230317 835 Less lower limit Less lower limit Less lower limit Unusual 20230320 835 Less lower limit Less lower limit Less lower limit Unusual 20230321 845 Less lower limit Less lower limit Less lower limit Unusual 20230324 885 Less lower limit Less lower limit Less lower limit Unusual Table 7 shows that the stock price of CUAN at the first day still in the confidence interval, especially at levels of 95% and 99%, but is less than lower limit  13 March 2023 (or 20230313), the stock prices are at normal. The last day, the stock price is over the upper limit even though on the previous day the stock price tended to be normal at the level of 99%. Based on these results, share prices from CUAN tend to experience an unusual increase as stated in UMA status.  Table 8 shows that the stock prices of FWCT move beyond the confidence interval. At the levels of 90%, 95%, and 99%, the stock prices of FWCT are indicated to experience an unusual decrease.  Table 9 shows that the movement of the stock prices of GOOD tends to be outside the confidence interval. The results at the levels of 90%, 95%, and 99% show that stock prices are less than lower limit, thus indicating unusual decrease rather than unusual pattern as stated in UMA status.   Table 11 shows that the confidence interval estimation has similar results at levels of 90%, 95%, and 99%. These results indicate that the share prices of KONI tend to experience an unusual decrease. 2240 Less lower limit Less lower limit Less lower limit Unusual 20230329 2090 Less lower limit Less lower limit Less lower limit Unusual 20230330 1945 Less lower limit Less lower limit Less lower limit Unusual 20230331 1935 Less lower limit Less lower limit Less lower limit Unusual 20230403 1800 Less lower limit Less lower limit Less lower limit Unusual 20230404 1675 Less lower limit Less lower limit Less lower limit Unusual 20230405 1560 Less lower limit Less lower limit Less lower limit Unusual 20230406 1485 Less lower limit Less lower limit Less lower limit Unusual 20230410 1395 Less lower limit Less lower limit Less lower limit Unusual Table 12 shows that the share prices of MASA are over the upper limit at the levels of 90% and 95%. However, stock prices in the first two days indicated normal movement, especially at the level of 99%. Overall, if we take stock prices on the last few days, the stock prices of MASA will experience an unusual increase.
The Contrarian: Finance, Accounting, and Business Research Volume 2, Issue 2, 2023 pp. 41-50 2430 Over upper limit Over upper limit Over upper limit Unusual 20230214 2440 Over upper limit Over upper limit Over upper limit Unusual 20230215 2440 Over upper limit Over upper limit Over upper limit Unusual 20230216 2450 Over upper limit Over upper limit Over upper limit Unusual 20230217 2360 Over upper limit Over upper limit Over upper limit Unusual 20230220 2430 Over upper limit Over upper limit Over upper limit Unusual 20230221 2480 Over upper limit Over upper limit Over upper limit Unusual 20230222 2550 Over upper limit Over upper limit Over upper limit Unusual 20230223 2600 Over upper limit Over upper limit Over upper limit Unusual 20230224 2600 Over upper limit Over upper limit Over upper limit Unusual 20230227 2900 Over upper limit Over upper limit Over upper limit Unusual 20230228 3620 Over upper limit Over upper limit Over upper limit Unusual 20230301 4520 Over upper limit Over upper limit Over upper limit Unusual Table 13 shows that the movement of stock prices of MKTR in the last four days tends to experience an unusual increase. At levels of 90%, 95% and 99%, confidence interval estimation shows similar results.
In addition, the movement of stock prices in the first six days is indicated to be in normal conditions or still within the confidence interval.  Table 14 shows that stock prices from NATO tend to move unstable. This is indicated by the movement which is above the upper limit on the first two days and then experiencing an unusual decrease on the next days. These results indicate that the movement of stock prices from NATO tends to take the form of an unusual pattern.  Table 15 shows that the confidence interval estimation of SAGE has varied results. SAGE stock prices in the last six days tended to experience an unusual increase even though the previous days were in normal conditions or had less than lower limits. Overall, these results show that stock prices from SAGE tend to experience an unusual pattern, but if it is based on the last days, there will be indications of an unusual increase.  Table 16 shows that most of the stock prices from SFAN are less than lower limit, indicating the occurrence of an unusual decrease rather than unusual pattern. However, the share price on March 24, 2023 (or 20230324) is indicated to be within the confidence interval, especially at the 95% and 99% levels. Less lower limit Less lower limit Unusual 20230308 1810 Less lower limit Less lower limit Less lower limit Unusual 20230309 1825 Less lower limit Less lower limit Less lower limit Unusual 20230310 1820 Less lower limit Less lower limit Less lower limit Unusual 20230313 1825 Less lower limit Less lower limit Less lower limit Unusual 20230314 1820 Less lower limit Less lower limit Less lower limit Unusual 20230315 1825 Less lower limit Less lower limit Less lower limit Unusual 20230316 1815 Less lower limit Less lower limit Less lower limit Unusual 20230317 1825 Less lower limit Less lower limit Less lower limit Unusual 20230320 1815 Less lower limit Less lower limit Less lower limit Unusual 20230321 1820 Less lower limit Less lower limit Less lower limit Unusual 20230324 1830 Less lower limit Normal Normal Ambiguous The Contrarian: Finance, Accounting, and Business Research Volume 2, Issue 2, 2023 pp. 41-50 Table 17 shows that the stock prices of WINE in the first two days are still within the confidence range. However, the stock prices are then above the upper limit at levels of 90%, 95%, and 99%. Based on those results, the stock prices of WINE are unusually increasing.

Conclusion
In order to protect the investors, the capital market authority actively monitors stock price movements. One of the results of supervision by capital market authority is publishing the UMA status publicly. UMA status is given to firms that have unusual movements in stock prices so as to provide an opportunity for investors to rearrange their portfolios. This study contributes as a reference to the public regarding UMA including methods for analyzing UMA. This study proves that confidence interval estimation is able to detect unusual trends in stock prices during the March to April 2023 announcements. In addition, this study also finds that the classification of critical values and consideration of data ranges are crucial factors in justifying UMA.