Trading Volume Activity Memediasi Hubungan Perubahan Tarif Pajak Penghasilan Badan terhadap Return Saham
Abstract
Stock returns can describe the acquisition of returns on the buying and selling activities of shares carried out by investors. The rate of returns are received by investor can be influenced by elements from outside the company. This study aims to determine the reaction of the capital market as a result of changes in corporate income tax rates in 2020 on stock returns with trading volume activity as an intervening variable. The location of this research is in the Indonesia Stock Exchange by using 45 samples of companies obtained through the purposive sampling method. The data is taken by documentation method. The analysis technique used is path analysis with the single test as the final test. Based on the test results, the changes in corporate income tax rates have a positive effect on trading volume activity. Trading volume activity has a positive effect on stock returns. Changes in corporate income tax rates have a positive effect on stock returns. And trading volume activity can be an intervening variable in changes in corporate income tax rates on stock returns.
Keywords: Stock Returns; Trading Volume Activity; Change in Corporate Income Tax Rate.
Downloads
Download data is not yet available.
References
Ady, S. U. (2017). Eksplorasi Tingkat Efisiensi Pasar Modal Indonesia Studi Kasus Di Bursa Efek Indonesia. Ekspektra: Jurnal Bisnis Dan Manajemen, 1(2), 103.
Ahmad Taslim, A. W. (2016). Pengaruh Frekuensi Perdagangan Saham, Volume Perdagangan Saham, Kapitalisasi Pasar dan Jumlah Hari Perdagangan Terhadap Return Saham. Management Analysis Journal, 5(1), 5.
Amiruddin, A., & Arifin, Z. (2012). Pengaruh Perubahan Undang-Undang Pajak Penghasilan Tahun 2008 Terhadap Harga Saham Dan Kebijakan Dividen. Sinergi, 13(1), 70–77. Https://Doi.Org/10.20885/Sinergi.Vol13.Iss1.Art6
Aprisilya, T. (2016). Analisis Pengaruh Total Asset Turnover, Book To Market Ratio, Debt Equity Ratio Terhadap Expected Return Dengan Trading Volume Activity Sebagai Variabel Intervening (Studi Pada Perusahaan Perbankan Yang Terdaftar Pada BEI Periode 2011-2014). 5, 1–14.
Ariyani Indriastuti B. Zumrotun. (2017). Pengaruh Volume Perdagangan, Kurs Dan Risiko Pasar Terhadap Return Saham. Jurnal STIE Semarang. Vol. 9. No. 1.
Blouin, J. L., Fich, E. M., Rice, E. M., & Tran, A. L. (2020). Corporate Tax Cuts, Merger Activity, And Shareholder Wealth. In Journal Of Accounting And Economics. Https://Doi.Org/10.1016/J.Jacceco.2020.101315
Boonvorachote, T., & Lakmas, K. (2016). Price Volatility, Trading Volume, And Market Depth In Asian Commodity Futures Exchanges. Kasetsart Journal Of Social Sciences, 37(1), 53–58. Https://Doi.Org/10.1016/J.Kjss.2016.01.004
Chaslim, M., & Meiden, C. (2018). Relevansi Nilai Informasi Akuntansi Terhadap Harga Saham Yang Dimoderasi Konservatisme Akuntansi. Akuntansi Keuangan & Pasar Modal, 7(2), 179–203.
Dai, Z., Zhou, H., Wen, F., & He, S. (2020). Efficient Predictability Of Stock Return Volatility: The Role Of Stock Market Implied Volatility. North American Journal Of Economics And Finance, 52(July 2019), 101174. Https://Doi.Org/10.1016/J.Najef.2020.101174
Dai, Z., & Zhu, H. (2020). Stock Return Predictability From A Mixed Model Perspective. Pacific Basin Finance Journal, 60, 101267. Https://Doi.Org/10.1016/J.Pacfin.2020.101267
Delgado, F. J., Fernández-Rodríguez, E., Martínez-Arias, A., & Presno, M. J. (2019). Club Convergence In The Corporate Income Tax: The Case Of European Effective Rates. Physica A: Statistical Mechanics And Its Applications, 523, 942–953. Https://Doi.Org/10.1016/J.Physa.2019.04.212
Gary, R. F., Moore, J. A., Sisneros, C. A., & Terando, W. D. (2016). The Impact Of Tax Rate Changes On Intercorporate Investment. Advances In Accounting, 34, 55–63. Https://Doi.Org/10.1016/J.Adiac.2016.07.002
Gumanti, T. A., & Utami, E. S. (2002). Bentuk pasar efisien dan pengujiannya.
Hayashida, M., & Ono, H. (2016). Tax Reforms And Stock Return Volatility: The Case Of Japan. Journal Of Asian Economics, 45, 1–14. Https://Doi.Org/10.1016/J.Asieco.2016.04.002
Heyden, K. J., & Heyden, T. (2020). Market Reactions To The Arrival And Containment Of COVID-19: An Event Study. SSRN Electronic Journal, 101745. Https://Doi.Org/10.2139/Ssrn.3587497
I Gst Agung A. Densi Wulandari, Made Arie Wahyuni, E. S. (2017). Reaksi Investor Dalam Pasar Modal Terhadap Undang-Undang Tax Amnesty (Event Study Pada Perusahaan Yang Terdaftar Dalam LQ45 Di Bursa Efek Indonesia). JIMAT (Jurnal Ilmiah Mahasiswa Akuntansi) Undiksha, 7(1). Https://Doi.Org/10.23887/Jimat.V7i1.9504
Kamus Besar Bahasa Indonesia. Diakses melalui aplikasi KBBI EDISI V.
Khaddaf, M., . K. A. F., & . R. (2014). The Effect Of Earnings Aggressiveness, Earnings Smoothing On Return Of Stock. Journal Of Economics And Behavioral Studies, 6(6), 509–523. Https://Doi.Org/10.22610/Jebs.V6i6.512
Koubaa, Y., & Slim, S. (2019). The Relationship Between Trading Activity And Stock Market Volatility: Does The Volume Threshold Matter? Economic Modelling, 82(April 2018), 168–184. Https://Doi.Org/10.1016/J.Econmod.2019.01.003
Munthe, K. (2017). Perbandingan Abnormal Return Dan Likuditas Saham Sebelum Dan Sedudah Stock Split: Studi Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia. Jurnal Akuntansi, 20(2), 254. Https://Doi.Org/10.24912/Ja.V20i2.57
Peraturan Pemerintah Pengganti Undang-Undang No. 1 Tahun 2020. Tentang Kebijakan Keuangan Negara Dan Stabilitas Sistem Keuangan Untuk Penanganan Pandemi Corona Virus Disease 2019 (Covid- 19) Dan/Atau Dalam Rangka Menghadapi Ancaman Yang Membahayakan Perekonomian Nasional Dan/Atau Stabilitas Sistem Keuangan. (2020). Indonesia.
Pham, A. (2020). Effects Of Temporary Corporate Income Tax Cuts: Evidence From Vietnam. Journal Of Development Economics, 146, 102476. Https://Doi.Org/10.1016/J.Jdeveco.2020.102476
Putra, G. R., & Tjaraka, H. (2016). Pengaruh Perubahan Tarif Pajak Penghasilan Badan Terhadap Return Saham Dengan Liabilitas Pajak Tangguhan Sebagai Variabel Intervening Pada Perusahaan Manufaktur Yang Terdaftar di BEI (Periode 2008 – 2010). Infestasi, 12(1), 98. Https://Doi.Org/10.21107/Infestasi.V12i1.1804
Putri, W. A. (2017). Insentif Pajak Dalam Membentuk Keputusan Investasi. Moneter, 4 No 2(2), 1–7. Retrieved From Https://Ejournal.Bsi.Ac.Id/Ejurnal/Index.Php/Moneter/Article/View/2445
Rzayev, K., & Ibikunle, G. (2019). A State-Space Modeling Of The Information Content Of Trading Volume. Journal Of Financial Markets, 46(Xxxx), 100507. Https://Doi.Org/10.1016/J.Finmar.2019.100507
Sari, A. N. E. (2013). Universitas Bakrie. 3(1), 1.
Sugiyono. (2017). Statistik Untuk Penelitian (9th Ed.). Bandung: Alfabet.
Wardhani, L. S. (2012). Reaksi Pasar Modal Indonesia Terhadap Peristiwa Pemilihan Gubernur DKI Jakarta Putaran II 2012. Jurnal Ilmiah Mahasiswa Fakultas Ekonomi Dan Bisnis Universitas Brawijaya, 1(1). Retrieved From Www.Academia.Edu/Download/35572678/Main_Journal.Pdf
Xu, L., Gao, H., Shi, Y., & Zhao, Y. (2020). The Heterogeneous Volume-Volatility Relations In The Exchange-Traded Fund Market: Evidence From China. Economic Modelling, 85(July 2019), 400–408. Https://Doi.Org/10.1016/J.Econmod.2019.11.019
Xu, Z., Chevapatrakul, T., & Li, X. (2019). Return Asymmetry And The Cross Section Of Stock Returns. Journal Of International Money And Finance, 97, 93–110. Https://Doi.Org/10.1016/J.Jimonfin.2019.06.005
Zhang, Y., Wei, Y., Ma, F., & Yi, Y. (2019). Economic Constraints And Stock Return Predictability: A New Approach. International Review Of Financial Analysis, 63(November 2018), 1–9. Https://Doi.Org/10.1016/J.Irfa.2019.02.007
Ahmad Taslim, A. W. (2016). Pengaruh Frekuensi Perdagangan Saham, Volume Perdagangan Saham, Kapitalisasi Pasar dan Jumlah Hari Perdagangan Terhadap Return Saham. Management Analysis Journal, 5(1), 5.
Amiruddin, A., & Arifin, Z. (2012). Pengaruh Perubahan Undang-Undang Pajak Penghasilan Tahun 2008 Terhadap Harga Saham Dan Kebijakan Dividen. Sinergi, 13(1), 70–77. Https://Doi.Org/10.20885/Sinergi.Vol13.Iss1.Art6
Aprisilya, T. (2016). Analisis Pengaruh Total Asset Turnover, Book To Market Ratio, Debt Equity Ratio Terhadap Expected Return Dengan Trading Volume Activity Sebagai Variabel Intervening (Studi Pada Perusahaan Perbankan Yang Terdaftar Pada BEI Periode 2011-2014). 5, 1–14.
Ariyani Indriastuti B. Zumrotun. (2017). Pengaruh Volume Perdagangan, Kurs Dan Risiko Pasar Terhadap Return Saham. Jurnal STIE Semarang. Vol. 9. No. 1.
Blouin, J. L., Fich, E. M., Rice, E. M., & Tran, A. L. (2020). Corporate Tax Cuts, Merger Activity, And Shareholder Wealth. In Journal Of Accounting And Economics. Https://Doi.Org/10.1016/J.Jacceco.2020.101315
Boonvorachote, T., & Lakmas, K. (2016). Price Volatility, Trading Volume, And Market Depth In Asian Commodity Futures Exchanges. Kasetsart Journal Of Social Sciences, 37(1), 53–58. Https://Doi.Org/10.1016/J.Kjss.2016.01.004
Chaslim, M., & Meiden, C. (2018). Relevansi Nilai Informasi Akuntansi Terhadap Harga Saham Yang Dimoderasi Konservatisme Akuntansi. Akuntansi Keuangan & Pasar Modal, 7(2), 179–203.
Dai, Z., Zhou, H., Wen, F., & He, S. (2020). Efficient Predictability Of Stock Return Volatility: The Role Of Stock Market Implied Volatility. North American Journal Of Economics And Finance, 52(July 2019), 101174. Https://Doi.Org/10.1016/J.Najef.2020.101174
Dai, Z., & Zhu, H. (2020). Stock Return Predictability From A Mixed Model Perspective. Pacific Basin Finance Journal, 60, 101267. Https://Doi.Org/10.1016/J.Pacfin.2020.101267
Delgado, F. J., Fernández-Rodríguez, E., Martínez-Arias, A., & Presno, M. J. (2019). Club Convergence In The Corporate Income Tax: The Case Of European Effective Rates. Physica A: Statistical Mechanics And Its Applications, 523, 942–953. Https://Doi.Org/10.1016/J.Physa.2019.04.212
Gary, R. F., Moore, J. A., Sisneros, C. A., & Terando, W. D. (2016). The Impact Of Tax Rate Changes On Intercorporate Investment. Advances In Accounting, 34, 55–63. Https://Doi.Org/10.1016/J.Adiac.2016.07.002
Gumanti, T. A., & Utami, E. S. (2002). Bentuk pasar efisien dan pengujiannya.
Hayashida, M., & Ono, H. (2016). Tax Reforms And Stock Return Volatility: The Case Of Japan. Journal Of Asian Economics, 45, 1–14. Https://Doi.Org/10.1016/J.Asieco.2016.04.002
Heyden, K. J., & Heyden, T. (2020). Market Reactions To The Arrival And Containment Of COVID-19: An Event Study. SSRN Electronic Journal, 101745. Https://Doi.Org/10.2139/Ssrn.3587497
I Gst Agung A. Densi Wulandari, Made Arie Wahyuni, E. S. (2017). Reaksi Investor Dalam Pasar Modal Terhadap Undang-Undang Tax Amnesty (Event Study Pada Perusahaan Yang Terdaftar Dalam LQ45 Di Bursa Efek Indonesia). JIMAT (Jurnal Ilmiah Mahasiswa Akuntansi) Undiksha, 7(1). Https://Doi.Org/10.23887/Jimat.V7i1.9504
Kamus Besar Bahasa Indonesia. Diakses melalui aplikasi KBBI EDISI V.
Khaddaf, M., . K. A. F., & . R. (2014). The Effect Of Earnings Aggressiveness, Earnings Smoothing On Return Of Stock. Journal Of Economics And Behavioral Studies, 6(6), 509–523. Https://Doi.Org/10.22610/Jebs.V6i6.512
Koubaa, Y., & Slim, S. (2019). The Relationship Between Trading Activity And Stock Market Volatility: Does The Volume Threshold Matter? Economic Modelling, 82(April 2018), 168–184. Https://Doi.Org/10.1016/J.Econmod.2019.01.003
Munthe, K. (2017). Perbandingan Abnormal Return Dan Likuditas Saham Sebelum Dan Sedudah Stock Split: Studi Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia. Jurnal Akuntansi, 20(2), 254. Https://Doi.Org/10.24912/Ja.V20i2.57
Peraturan Pemerintah Pengganti Undang-Undang No. 1 Tahun 2020. Tentang Kebijakan Keuangan Negara Dan Stabilitas Sistem Keuangan Untuk Penanganan Pandemi Corona Virus Disease 2019 (Covid- 19) Dan/Atau Dalam Rangka Menghadapi Ancaman Yang Membahayakan Perekonomian Nasional Dan/Atau Stabilitas Sistem Keuangan. (2020). Indonesia.
Pham, A. (2020). Effects Of Temporary Corporate Income Tax Cuts: Evidence From Vietnam. Journal Of Development Economics, 146, 102476. Https://Doi.Org/10.1016/J.Jdeveco.2020.102476
Putra, G. R., & Tjaraka, H. (2016). Pengaruh Perubahan Tarif Pajak Penghasilan Badan Terhadap Return Saham Dengan Liabilitas Pajak Tangguhan Sebagai Variabel Intervening Pada Perusahaan Manufaktur Yang Terdaftar di BEI (Periode 2008 – 2010). Infestasi, 12(1), 98. Https://Doi.Org/10.21107/Infestasi.V12i1.1804
Putri, W. A. (2017). Insentif Pajak Dalam Membentuk Keputusan Investasi. Moneter, 4 No 2(2), 1–7. Retrieved From Https://Ejournal.Bsi.Ac.Id/Ejurnal/Index.Php/Moneter/Article/View/2445
Rzayev, K., & Ibikunle, G. (2019). A State-Space Modeling Of The Information Content Of Trading Volume. Journal Of Financial Markets, 46(Xxxx), 100507. Https://Doi.Org/10.1016/J.Finmar.2019.100507
Sari, A. N. E. (2013). Universitas Bakrie. 3(1), 1.
Sugiyono. (2017). Statistik Untuk Penelitian (9th Ed.). Bandung: Alfabet.
Wardhani, L. S. (2012). Reaksi Pasar Modal Indonesia Terhadap Peristiwa Pemilihan Gubernur DKI Jakarta Putaran II 2012. Jurnal Ilmiah Mahasiswa Fakultas Ekonomi Dan Bisnis Universitas Brawijaya, 1(1). Retrieved From Www.Academia.Edu/Download/35572678/Main_Journal.Pdf
Xu, L., Gao, H., Shi, Y., & Zhao, Y. (2020). The Heterogeneous Volume-Volatility Relations In The Exchange-Traded Fund Market: Evidence From China. Economic Modelling, 85(July 2019), 400–408. Https://Doi.Org/10.1016/J.Econmod.2019.11.019
Xu, Z., Chevapatrakul, T., & Li, X. (2019). Return Asymmetry And The Cross Section Of Stock Returns. Journal Of International Money And Finance, 97, 93–110. Https://Doi.Org/10.1016/J.Jimonfin.2019.06.005
Zhang, Y., Wei, Y., Ma, F., & Yi, Y. (2019). Economic Constraints And Stock Return Predictability: A New Approach. International Review Of Financial Analysis, 63(November 2018), 1–9. Https://Doi.Org/10.1016/J.Irfa.2019.02.007
Published
2021-08-26
How to Cite
WARDANI, Ni Nyoman Sri; BUDIARTHA, I Ketut.
Trading Volume Activity Memediasi Hubungan Perubahan Tarif Pajak Penghasilan Badan terhadap Return Saham.
E-Jurnal Akuntansi, [S.l.], v. 31, n. 8, p. 1896-1906, aug. 2021.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/66802>. Date accessed: 12 nov. 2024.
doi: https://doi.org/10.24843/EJA.2021.v31.i08.p02.
Issue
Section
Artikel
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
