The impact of tax amnesty policy in 2016 on the abnormal return and trading volume activity in banking companies

This research aimed to demonstrate the empirical evidence on the effect of tax amnesty policy in Indonesia to abnormal return and trading volume activity in banking companies listed in Indonesia Stock Exchange during 2016-2017. Event Study of Tax Amnesty Policy method was used in this study from July 1^st 2016 until December 31^st 2017. The sample of this research was 35 banking companies listed in Indonesia Stock Exchange. The first hypothesis was test using Wilcoxon signed rank test. The dependent variables were abnormal return and trading volume activity of the stock, while the independent variable was the Tax Amnesty Policy. This study showed that tax amnesty policy gave trading volume activity significant effect in the first period rather than in the latter period. Meanwhile, tax amnesty policy had no significant effect to the abnormal return.