Islamic Stock Market Reaction against Tax Amnesty Announcement
Muhammad Satriyo Wibowo and Puji Sucia Sukmaningrum
Faculty of Economics and Business, Universitas Airlangga, Indonesia
Abstract
Abstract The Indonesian Government has made a policy that is quite bold and highly impact the company and the economy i.e. endorsement policy tax amnesty in 2016. This research aims to investigate the Sharia stock market reaction against the policy. The sample of this research is the 100 companies listed on the Indeks Saham Syariah Indonesia (ISSI). Research methods using event study; market adjusted model by looking at changes in Average Abnormal Return (AAR) and Trading Volume Activity (TVA) before and after the announcement. The result of the research shows there is a difference of the AAR and TVA before and after the announcement. Investors viewed positively the information content of the tax amnesty policy. The Government has made a very good policy and support improvement in the quality of corporate governance and company performance.
Keywords: tax amnesty; market reaction; Average Abnormal Return; trading volume activity; event study; Islamic stock
Topic: Islamic Capital Market