REACTION OF LQ-45 STOCKS AT INDONESIAN STOCK EXCHANGE TOWARDS BOMB EXPLOSION AT MH. THAMRIN STREET, JAKARTA AND TAX AMNESTY DECISION

BRAMANTO ADI NEGORO, Eddy Junarsin, S.E., M.B.A., Ph.D.

2017 | Tesis | S2 Manajemen

Penelitian ini bertujuan untuk menguji dua kejadian, pertama adalah ledakan bom di Thamrin, yang dievaluasi berdasarkan abnormal return pasar dan aktivitas volume perdagangan. Ledakan bom yang tercermin dari kabar buruk tersebut memiliki efek negatif, yang akan mempengaruhi nilai pasar saham LQ-45. Kedua, pajak atas Indeks LQ-45 di Bursa Efek Indonesia, yang dievaluasi berdasarkan tingkat abnormal pasar dan aktivitas volume perdagangan. Keputusan amnesti pajak itu mencerminkan nilai saham LQ-45 yang baik. Sampel dalam penelitian ini adalah 41 saham untuk ledakan bom dan 45 saham untuk keputusan amnesti pajak. Penelitian ini menggunakan metode studi kejadian untuk menguji kedua kejadian, oleh karena itu penelitian ini menggunakan model pasar sebagai model pemeriksaan. Hasil tesis ini menunjukkan bahwa ledakan bom dan keputusan amnesti pajak dipengaruhi oleh pergerakan harga saham yang mengakibatkan abnormal return signifikan selama window period. Penelitian ini juga menghasilkan rata-rata abnormal return sebelum dan sesudah kejadian tidak berbeda secara signifikan untuk kedua kejadian. Selain itu, dalam hal aktivitas volume perdagangan kedua peristiwa tersebut tidak menunjukkan adanya perbedaan yang signifikan antara sebelum dan sesudah suatu peristiwa.

This research aimed to examine two event, firstly is whether bomb explosion at Thamrin street has influenced on share price of LQ-45 Index in the Indonesian Stock Exchange, which was evaluated based on market abnormal returns and trading volume activity. Bomb explosion that reflected a bad news has a negative effect, which would be influence market value of LQ-45 stocks. Secondly is whether tax amnesty decision has influenced on share price of LQ-45 Index in the Indonesian Stock Exchange, which was evaluated based on market abnormal returns and trading volume activity. Tax amnesty decision that reflected a good news has a positive effect, which would be influence market value of LQ-45 stocks. Sample in this research were 41 stocks at LQ-45 index for bomb explosion and 45 stocks for tax amnesty decision. This research used an event study method in order to examining of both events, therefore this research used market model as examination model. The result of this thesis shown that bomb explosion and tax amnesty decision affected through stock price movement that resulted abnormal return significantly during window period. This research also resulted average abnormal return before and after an event are not different significantly for both events. Moreover, in terms on trading volume activity both events are not shown that there is a different significantly between before and after an event.

Kata Kunci : bomb explosion, tax amnesty decision, LQ-45, abnormal return, trading volume activity, event study.