Reaction of Indonesian Capital Market Investors to the Implementation of Tax Amnesty

Agung Wibowo, Susetyo Darmanto

Abstract


This study was an event study that aimed to find empirical evidence of the reaction of Indonesian capital market investors towards the implementation of tax amnesty. The population of this study was consisting of sectoral indexes listed on the Indonesia Stock Exchange during the study period. The data used were secondary data in the form of a daily sectoral index five days before and five days after the event. The statistical test used to test the hypotheses was paired sample t-test. The result showed that there was no significant positive abnormal return in the period around the event date, as well as the period between the pre-event and event date of the tax amnesty implementation. The result also proved that there was no significant difference between the average trading volume activity in the period between pre-event and event date, event date and post event, and pre-event and post event of the tax amnesty implementation. In general, it can be concluded that investors did not respond to the events of the tax amnesty implementation as good news.

DOI: https://doi.org/10.26905/jkdp.v21i4.1607


Keywords


Abnormal Return; Event Study; Investor Reaction; Tax Amnesty; Trading Volume Activity

Full Text:

PDF

References


Admati, A. R., & Pfleiderer, P. (1988). A theory of intraday patterns: Volume and price variability. The Review of Financial Studies, 1(1), 3-40.

Affandi, U., & Utama, S. (1998). Uji efisiensi bentuk setengah kuat pada Bursa Efek Jakarta. Manajemen Usahawan Indonesia.

Bhavani, G., & Kukunuru, S. G. (2016). Impact of EXPO 2020 on Dubai Financial Market–An event study on banks, investment and insurance sectors. International Journal of Financial Research, 7(2), 163.

Chan, K., & Fong, W.-M. (2000). Trade size, order imbalance, and the volatility–volume relation. Journal of Financial Economics, 57(2), 247-273.

Gopinath, S., & Krishnamurti, C. (2001). Number of transactions and volatility: an empirical study using high‐frequency data from Nasdaq stocks. Journal of Financial Research, 24(2), 205-218.

Gunarsih, T., & Perwitasari, A. W. (2017). TVA, abnormal return, and investor perception on changing of tick size 2 May 2016. Jurnal Keuangan dan Perbankan, 21(3), 366–375.

Hartono, J. (2008). Teori portofolio dan analisis investasi. Edisi Kelima. Yogyakarta: BPFE.

Haryanto, S. (2011). Reaksi investor terhadap pengumuman dividen di Bursa Efek Indonesia. Jurnal Keuangan dan Perbankan, 15(2), 213–220.

Izzeldin, M. (2007). Trading volume and the number of trades: a comparative study using high frequency data.

Mahajan, S., & Singh, B. (2008). An empirical analysis of stock price-volume relationship in Indian stock market. Vision, 12(3), 1-13.

Mahaputra, I., & Purbawangsa, I. B. A. (2015). Pengaruh peristiwa Pemilu legislatif 2014 terhadap perolehan abnormal return saham LQ 45 di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 4(5).

Manullang, M. (2004). Dasar-dasar manajemen. Yogyakarta: Gajah Mada University Press.

Pratama, I. G. B., Sinarwati, N. K., & Darmawan, N. A. S. (2015). Reaksi pasar modal indonesia terhadap peristiwa politik (Event study pada peristiwa pelantikan Joko Widodo sebagai presiden Republik Indonesia ke-7). JIMAT (Jurnal Ilmiah Mahasiswa Akuntansi S1), 3(1).

Rokhman, M. T. N., Didied, P., & Kiptiyah, S. (2009). Analisis return, abnormal return, aktivitas volume perdagangan dan bid-ask spread saham di seputar pengumuman stock split (Studi pada perusahaan manufaktur di BEJ). Wacana, Jurnal Sosial dan Humaniora, 12(4), 662-677.

Said, E. W. (2017). Tax policy in action: 2016 tax amnesty experience of the Republic of Indonesia. Laws, 6(4), 16.

Sukamulja, S. (2002). What blinks stock market prices? An empirical study from Jakarta Stock Exchange. Jurnal Ekonomi dan Bisnis Indonesia, 17(4), 428-439.

Xu, X. E., & Wu, C. (1999). The intraday relation between return volatility, transactions, and volume☆. International Review of Economics & Finance, 8(4), 375-397.




DOI: https://doi.org/10.26905/jkdp.v21i4.1607

Refbacks

  • There are currently no refbacks.


Bookmark and Share


Jurnal Keuangan dan Perbankan (Journal of Finance and Banking)

Diploma Program of Banking and Finance, Faculty of Economics and Business, University of Merdeka Malang

Published by University of Merdeka Malang

Mailing Address:
2nd floor Finance and Banking Building, Jl. Terusan Raya Dieng No. 57 Malang, East Java, Indonesia
Phone: +62 813-3180-1534
Email: jkp@unmer.ac.id

This work is licensed under a Creative
Commons Attribution-ShareAlike 4.0