Abstract
This study aims to determine the difference of Trading Volume Activity that exceed before and after the determination of tax amnesty policy and to figure out the existence of abnormal return formed before and after the determination of the tax amnesty. This study uses the Events Study method with 100 days observation for the estimation period and 15 days for event period. The study used a group of perception banks that listed in BEI in 2016 period as population and 22 selected stocks to be sampled by using saturated sampling method. During the observation period, positive and negative abnormal returns with fluctuating movements were formed. Trading Volume Activity changes between before and after-tax amnesty policy. From these two results, it can be concluded that there was leakage of information before the event published that indicates the form of market efficiency of Indonesia is half strong (semistrong form). Further research is suggested to use the calculation method and time period different from this research in order to obtain more accurate results.
Highlights
Random walk implies that a series of stock price changes are independent of past price changes, so that historical data cannot be used to predict future stock price movements (Fama, 1965b)
The study uses two indicators, namely abnormal returns and trading volume activity, the conclusion is that the market reacts to events with different explanations
Abnormal return explains that the market reacts with changes in stock prices, where negative abnormal returns represent negative reactions from investors and positive abnormal returns represent positive reactions from investors to events
Summary
Random walk implies that a series of stock price changes are independent of past price changes, so that historical data cannot be used to predict future stock price movements (Fama, 1965b). The stock price on a certain day reflects market conditions on the same day and is not related to market conditions on the previous day. The random walk market price behavior is the basis for Fama in developing the concept of market efficiency which shows that investors are rational, competing with each other to eliminate the difference between actual return and the intrinsic value of shares. New information is a source of fundamental analysis, which is responded by investors, changing the intrinsic value and affecting stock prices. According to Fama (1965b), in a situation where new information is published, the real price (intrinsic value) will immediately change and move towards a new level of intrinsic value due to the rational behavior of investors. Investors are thought to have responded to the policy because in addition to the policy character which is closely related to potential the increase in state income from tax amnesty is the perception bank appointed to collect repatriation funds are listed members in the capital market
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