ANALISIS PENGARUH PENGUMUMAN EARNING TERHADAP ABNORMAL RETURN DAN TINGKAT LIKUIDITAS SAHAM: Analisis Empiris pada Nonsynchronous Trading
Abstract: The objective of
this study is to examine the effect of the earnings information on market
reaction in the Jakarta Stock Exchange. The sample consists of 34 stocks of
firms from 2003 - 2004. The hypothesis was tested by market model (Brown and
Warner, 1985) and correcting the beta bias made use of Fowler and Rorke Method
(1983) with four lags and four leads. The significance of the difference of
market reactions was tested by Wilcoxon Signed Ranks test. The result of this
research shows that earning announcements is positively responded statistically
but not significantly by the market around the date of earning announcement.
The difference between stock liquidity before and after the earning
announcement is insignificant except trading volume.
Keywords: earning, market
reaction, stock liquidity
Penulis: Indah Kurniawati
Kode Jurnal: jpakuntansidd060010
