REAKSI INVESTOR TERHADAP PENGESAHAN UNDANG-UNDANG TAX AMNESTY

Abstract

This research is aimed to examine whether there are abnormal stock returns differences in LQ45 companies,
before and after the occurence of the announcement of the Enactment of Tax Amnesty Law by President Joko
Widodo on July 1st, 2016 ago. The stock return differences of these shares is represented by the changes of the
abnormal return. This research has been conducted event study methods with 30 days estimated periods and 11
days window periods. The samples has been determined by using purposive sampling on the companies which
are included in LQ45 companies in the period of February-July 2016. Based on the predetermined criteria, 45
companies have been selected as samples. The analysis techniques which have been applied in this research are: ttest,

and paired samples t-test. The results of the average abnormal return statistic test shows that there are no
differences between the average abnormal return before and after the announcement of the Enactment of Tax
Amnesty Law by President Joko Widodo on July 1st, 2016. This is caused by the failure which have occured in
Indonesia in implementing the Tax Amnesty Law, so some investors decided to wait and see.
Keywords: event study, abnormal return, the legitimation of tax amnesty.