IMPACT OF TAX AMNESTY ESTABLISHMENT IN INDONESIA YEAR 2016-2017 ON ABNORMAL RETURN AND TRADING VOLUME ACTIVITY IN INDONESIA STOCK EXCHANGE (AN EVENT STUDY IN LQ-45 INDEX LISTED ON INDONESIA STOCK EXCHANGE PERIODE JULY 2016-MARCH 2017)

Abstract

ABSTRACT The purposes of this study are to examine the impact of Tax Amnesty establishment year 2016-2017 on the average of abnormal return and the average of trading volume activities in Indonesia Stock Exchange (BEI) before and after its establishment. Event study method was used in this study by doing paired sample t-test. The data used was secondary data and it was obtained from Indonesia Stock Exchange. The samples in this research are stocks listed in LQ-45 by using purposive sampling. The finding in this study indicated that there was a significant different on abnormal return after tax amnesty establishment, but there was no significant different on abnormal return before tax amnesty establishment. While there was an absence of significant different of trading volume activity before and after tax amnesty establishment. This result generally tells that tax amnesty establishment was a good news for investors, but the information content has spread very fast which lead investors were able to interpret the information and result all the possibilities have been predicted by the investors. As a result the investors reacted differently before and after tax amnesty establishment.Keyword: tax amnesty, abnormal return, trading volume activit