Pengaruh publikasi laporan keuangan tahunan terhadap volume perdagangan dan perubahan harga saham (studi pada perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia tahun 2006-2008)

Oleh :
Ade Kusuma Dewi - F1206076 - Fak. Ekonomi dan Bisnis

ABSTRACT This research aims to find out the effect of financial statement publication on the trading volume and stock price change in the manufacturing companies enlisted in Indonesian Stock Exchange. This research employed secondary data obtained from Indonesia Business Daily and Database of MM UNS Library. The sampling technique employed was purposive proportional random sampling, in which the criteria used was the manufacturing company actively traded during 2006-2008 period, publishing annual report per 31 December, and having data completeness. Thus, 68 companies were obtained as the sample. The hypotheses proposed are: (1) there is a significant difference of annual financial statement publication on the stock trading volume, (ii) there is a significant difference of annual financial statement publication on the stock price, and (iii) there is a significant difference of annual financial statement publication on abnormal return. The measurement of Trading volume becoming the research variable is represented by Trading Volume Activity (TVA), while the Stock Price is represented by Abnormal Return (AR). The method of analyzing used was t test (Paired Sample T Test). The result of analysis shows that (i) there is a significant difference before and after the financial statement publication of 2006 and 2008 on the TVA mean, while for 2007, there is no significant difference, (ii) there is a significant difference before and after the financial statement publication of 2006, 2007 and 2008 on the Stock Price mean, and (iii) there is a significant difference before and after the financial statement publication of 2006, 2007 and 2008 on abnormal return. Thus, the hypothesis proposed is partially supported and partially not supported (rejected). Keywords: Annual Financial Statement Publication, Trading Volume Activity, Stock Price, Abnormal Return