Analisis Overreaction Hypothesis Pada Indeks Saham Lq45 Sebelum Dan Sesudah Pelaksanaan Tax Amnesty (Studi Kasus Pada Perusahaan-Perusahaan Yang Terdaftar Di Indeks Lq45 Periode Sebelum Dan Sesudah Pelaksanaan Tax Amnesty)

Abstract

. This study aims to determine whether the phenomenon of overreaction hypothesis on the LQ45 stock index caused by the implementation of the tax amnesty in July 2016 - March 2017. The existence of overreaction is characterized by a reversal between the winner and the loser stock seen from the Abnormal Return value. The sample in this study were companies in the LQ45 Index before and after the implementation of the tax amnesty. Samples are divided into winner and loser based on Abnormal Return ranking and market adjusted model. This study uses period of 4 quarters (12 months) before the implementation of the tax amnesty, from July 2015-June 2016 and 4 quarter period (12 months) after the implementation of the tax amnesty from April 2017 to March 2018. The results obtained found symptoms of the overreaction hypothesis on the LQ45 Stock Index in the winner before and after the tax amnesty period. This is indicated by the reversal of the abnormal return in the negative direction by some winner shares.

Keywords: : Overreaction Hypothesis, Winner-Loser, Abnormal Return.

      Tax Amnesty