Stock market reaction towards SPECT events using CAPM adjusted return

Teddy Chandra

62 citations0/0 files storedDialnet (Universidad de la Rioja)

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Market Dynamics and Volatility

Abstract

The aim of the research is to analyze the market reaction \ntowards Tax Amnesty Policy. The indicators used in study are \nabnormal return and trading volume activity. Event study \nmethod is used to examine the market’s reaction and measure \nthe differences before and after the announcement of the tax \namnesty policy. The samples are all companies listed in LQ45 sector. Abnormal return is calculated using CAPM \nAdjusted Return technique. The results showed that there are \nno significant differences in abnormal returns before and after \nall events. The trading volume activity also showed no \nsignificant difference before and after all events.

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