Tax Amnesty Establishment, Abnormal Return and Trading Volume Activity in Indonesia Stock Exchange
Tax Amnesty Establishment, Abnormal Return and Trading Volume Activity in Indonesia Stock Exchange

Summary/Abstract: The aims of this study are to examine the impact of Tax Amnesty establishment in Indonesia year 2016-2017 on the average of abnormal return and the average of trading volume activities on Indonesia Stock Exchange (BEI) before and after its establishment. This study utilized event study method by doing paired sample t-test. The data used was secondary data and was obtained from Indonesia Stock Exchange. The population consisted of 45 companies listed on Indonesia Stock Exchange LQ-45 and the samples were selected by applying purposive sampling. The results of this study indicated that there was no significant different on abnormal return before tax amnesty establishment, while in contrast there wasa significant different on abnormal return after tax amnesty establishment. Despite the facts from abnormal return results, trading volume activity results an absence of significant different before and after tax amnesty establishment. These results generally tell that tax amnesty establishment was a good news for investors before, but then the information content had been spreading very fast which lead investors were able to interpret the information and result all the possibilities already predicted. These facts showed the reason of investors reacted differently before and after tax amnesty establishment.

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