Pengaruh Kenaikan Pajak Pertambahan Nilai (PPN) 11% Terhadap Indeks Harga Saham Gabungan (IHSG), Harga Saham, Dan Abnormal Return Pada Saham LQ45 Yang Terdaftar Di Bursa Efek Indonesia

Erwin Rizki Zulva Vaurina, Ardi Hamzah

Abstract


The purpose of this study is to determine whether there is an effect of an 11% Value Added Tax (VAT) increase on the Composite Stock Price Index (JCI), stock prices, and abnormal returns on LQ45 shares listed on the Indonesia Stock Exchange. This study uses an event study, with observations of JCI, stock prices, and abnormal returns during the event period, which is 10 days before to 10 days after the 11% Value Added Tax (VAT) increase. The population of this study is all shares of companies listed on the LQ45 stock index list. The sampling technique is carried out by saturated sampling method with as many as 45 samples. The data analysis used is the Paired Sample T-test for data normality tests, and uses Wilcoxon's Signed rank test as a non-parametric statistical test intended for variables that have data that are not normally distributed in the normality test results. The results of the analysis of the Paired Sample T-test showed that there was JCI in the period before and after, and the results of the analysis of Wilcoxon's Signed rank test showed no abnormal difference in return, and stock prices in the period before and after the 11% Value Added Tax (VAT) Increase on LQ45 shares.

Keywords


Value Added Tax, JCI, Stock Price, Abnormal Return

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References


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