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

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 were consisting of sectoral indexes listed on the Indonesia Stock Exchange during the study period. The data used were secondary data in the form of 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. ABSTRAKPenelitian ini merupakan studi peristiwa yang bertujuan untuk menemukan bukti empiris reaksi investor pasar modal Indonesia terhadap pemberlakuan Tax Amnesty. Populasi penelitian ini adalah saham-saham yang konsisten terdaftar dalam Bursa Efek Indonesia selama periode penelitian. Data yang digunakan adalah data sekunder berupa indeks sektoral harian lima hari sebelum dan lima hari setelah peristiwa. Uji statistik yang digunakan untuk menguji hipotesis adalah Paired Sample t-test. Hasil perhitungan Paired Sample t-test menunjukkan bahwa tidak terdapat abnormal return positif signifikan pada periode di sekitar tanggal peristiwa, serta pada periode antara Sebelum dan Saat peristiwa pemberlakuan Tax Amnesty. Hasil penelitian juga membuktikan bahwa tidak terdapat perbedaan posifit signifikan rata-rata trading volume activity pada periode antara sebelum dan saat, saat dan setelah, serta sebelum dan setelah peristiwa pemberlakuan Tax Amnesty. Secara umum dapat disimpulkan bahwa investor tidak merespon peristiwa pemberlakuan Tax Amnesty sebagai sebuah berita yang baik.

Market Reactions to Domestic Market Obligation (Dmo) Coal Price Policy Changes: Evidence From Indonesia

“…This resear ch contradicts Wibowo and Darmanto (2017) research, which in their research results show that the tax amnesty policy announcement does not have an impact on abnormal returns. The policy is a long-term policy, which is the effect will be felt in the next few years so that investors do not need to respond to the tax amnesty policy immediately.…”

“…On the other hand, there are several studies with different results. The events of changes in government policies are not responded to by the market so that there is no significant abnormal return (Purba, 2017;Wibowo and Darmanto, 2017). The above studies show that not all government events issued by the government can cause reactions in the capital market.…”

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