Analysis The Impact of Tax Amnesty Policy 2016 To The Abnormal Return and Trading Volume Activity in Banking Companies Listed in Indonesia Stock Exchange
Yani Permatasari; Novita Ardiyanti

Universitas Airlangga

Abstract

Purpose: This research aims to demonstrate the empirical evidence of the effect of the tax amnesty policy applied in Indonesia to abnormal return and trading volume activity in the banking companies listed in Indonesia Stock Exchange during 2016-2017 divided into three different periods. Methods: Event Study of Tax Amnesty Policy method was used in this study begins from July 1st 2016 until December 31st 2017. The samples used in this research consists of 35 banking companies listed in Indonesia Stock Exchange. The first hypothesis test using wilcoxon signed rank test. The dependent variables are abnormal return and trading volume activity of the stock. The independent variable is the Tax Amnesty Policy information published. Result: The result of this study showed that variable of tax amnesty policy gives trading volume activity significant effect in the first period rather than in the latter period. Meanwhile, tax amnesty policy applied has no significant effect to the abnormal return.

Keywords: Event Study, Abnormal Return, Trading Volume Activity

Topic: Financial Management and Accounting