Repository Universitas Pakuan

Detail Karya Ilmiah Dosen

Vera Mita Nia, Noer Azam Achsani, Andi Buchari

Judul : DOES TAX AMNESTY INCREASE BANKâ€™S RETURN?

Abstrak :
Indonesian government held a tax amnesty policy to increase state revenue and attract taxpayer’s funds overseas (repatriation). Perception banks are appointed by the goverment to accommodate and manage the repatriation funds. Incoming funds can be considered as capital by the bank, which can increase its return and risk in stock market. The govenrment claimed that repatriation funds had increased share’s return of Indonesian stock market. One of the methods measure the rate of perception banks’s return and risk on the event above is the Three Fama-French Factor Model. This study aims to analyze the occurrence of changes in return (abnormal return) on the events around the tax amnesty. In addition, this study also analyzed the effect of bank-size and book-to-market equity of banks in abnormal return. The samples of this research are 10 banks with the highest market capitalization designated as perception bank. The observation period starts from the endorsement of the tax amnesty until period 1 of tax amnesty ended. This study was using panel data regression with pooled least square model. The result was found, abnormal return of the perception banks’ stock has occurs in event 1 testing. But event 1 happened pccurs simultaneously with profit taking action before Eid day, indicates that event 1 doesn’t cause abnormal return. Other event testing never happen in abnormal return. It means, Indonesian tax amnesty hadn’t increase the perception banks return. Banks-size and book-to-market equity of banks affect the abnormal return that occurs. Both factors become a consideration to the investors before making an investment.
KEYWORDS: Tax Amnesty, Bank’s Return

Tahun : 2017 Media Publikasi : Jurnal Internasional

Kategori : Jurnal No/Vol/Tahun : 6 / 5 / 2017

ISSN/ISBN : 2053-4086

PTN/S : IPB Program Studi : MANAJEMEN

Bibliography :
Charitou A, Constantinidis E. (2004). Size and book-to-marketfactors in earnings and stock returns: empirical evidence from Japan. Journal Online Department of Business Administration, University of Cyprus. See also URL,https://business.illinois.edu/accountancy/wpcontent/uploads/sites/12/2016/03/Charitou-and-Constantinidis.pdf. Das S, Pattanayak JK, Pathak P. (2014). A Study on cross-sectional dependence and independence approach in an eventstudy - A Case with Sensex. International Journal of Financial Management. New Delhi 4(3):11-27. Da Silva SF, Formentini BF, Donizete R, Neto AS. (2016). Companies distribute dividends and adopt corporate governance has abnormal returnin their actions? Revista ambiente contabil; Natal. 8(2):92-109. Eraslan V. (2013). Fama and Frenchthree factor model: Evidence from Istanbul Stock Exchange. Business and Economics Research Journal. 4(2):11- 22. Fama EF, French KR. (1992). The cross-section of expected stock returns. The Journal of Finance. 42(2): 427-465. Fama EF, Kenneth RF. (2000). The equitypremium.Journal of Finance, American Finance Association. 57(2): 637-659. Hamid Z, Hanif Ch A, Malook SS. (2012). Fama and Frenchthree factor model: Empirical evidence from financial market of Pakistan. African Journal of Business Management. 6(8): 2945-2950. Husnan S. (1998). Dasar-Dasar Teori Portofolio Dan Analisis Sekuritas,Ed ke-3. UPP AMP YKPN.Jogyakarta, Indonesia. Jogiyanto H. (2003). Teori Portofolio dan Analisis Investasi, Ed ke-II. BPFE-UGM. Jogjakarta. Indonesia. LeungTY, Rui OM, Wang SS.(2005). “Do stock splits really signal?”.Journal of Financial Economics. 161(2): 1 – 33. Lopez LJ, Fernando R. 2003. Tax Amnesties And Income Tax Complience. The Case Of Spain. London: Fiscal Studies. 24(1):73-96. Malhotra M, Thenmozhi M, Kumar A. (2013). Factors Influencing Abnormal Returns Around Bonus And Rights Issue Announcement. IUP Journal of Applied Finance. Hyderabad. 19(4) (Oct 2013) : 41-60. Mehmet N. (2015). The Effects Of Behavioral Economics On Tax Amnesty. International Journal of Economics And Financial Issues. 5(2):580-589. Ralph CB, Harald O, Hannes W. 2014. The Occurrence Of Tax Amnestyes: Theory And Evidence. IDEAS Working Paper Series from RePEc. St Louis. 2014. Salinger M. (1992). Standard errors in event studies. The Journal of Financial and Quantitative Analysis. 27(1): 39-53. Sarvanan K. (2012). Market reaction to devidend announcement: An empirical study using event study technique. Prestige International Journal of Management & IT– Sanchayan,1(1): 141-153. Shahid MKG. (2014). Determinants of changes in share prices in banking sector of Pakistan. Journal of Economic and Administrative Science. 30(2): 121-130. Rosenberg B, Reid K, Lanstein R. (1985). Persuasive evidence of market inefficiency.Journal of Portfolio Management.11(3):9-17Ang R.(1997).Buku Pintar Pasar Modal Indonesia.Media Staff Indonesia, Jakarta, Indonesia. Banz RW. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics. 9(1981):3-18. Binder JJ. (1998). The eventstudy methodology since 1969. Review of Quantitative Finance and Accounting. 11(1998): 111-137. Bintoro W. (2008). Kebijakan pengampunan pajak (tax amnesty) (Perspektif kerangka kerja implementasi Sunset Policy mendasarkan UU No 28 tahun (2007). Jurnal Masyarakat, Kebudayaan dan Politik, Th. XXI. No. 4(Oktober-Desember 2008): 328-335. Borgne ER, Seligman JS. 2005. Economic And Political Determinants Of Tax Amnesties In The US States. National tax association-tax Institute of America. IMF Working Paper. WP/06/222. Ceylan NB Dogan B, Berument MH. (2015). Three-factor asset pricing model an portofolio holdings of foreign investors: Evidence from an emerging market – borsa Istanbul. Ekonomska Istrazivanja. 28(1):467-486.

URL :

Document

back

@official_unpak	@unpak
@unpak	UNPAK TV

Welcome Repository Universitas Pakuan

Student's Achievments

Unggul, Mandiri & Berkarakter

Detail Karya Ilmiah Dosen

Vera Mita Nia, Noer Azam Achsani, Andi Buchari

Judul	:	DOES TAX AMNESTY INCREASE BANKâ€™S RETURN?
Abstrak	:	Indonesian government held a tax amnesty policy to increase state revenue and attract taxpayer’s funds overseas (repatriation). Perception banks are appointed by the goverment to accommodate and manage the repatriation funds. Incoming funds can be considered as capital by the bank, which can increase its return and risk in stock market. The govenrment claimed that repatriation funds had increased share’s return of Indonesian stock market. One of the methods measure the rate of perception banks’s return and risk on the event above is the Three Fama-French Factor Model. This study aims to analyze the occurrence of changes in return (abnormal return) on the events around the tax amnesty. In addition, this study also analyzed the effect of bank-size and book-to-market equity of banks in abnormal return. The samples of this research are 10 banks with the highest market capitalization designated as perception bank. The observation period starts from the endorsement of the tax amnesty until period 1 of tax amnesty ended. This study was using panel data regression with pooled least square model. The result was found, abnormal return of the perception banks’ stock has occurs in event 1 testing. But event 1 happened pccurs simultaneously with profit taking action before Eid day, indicates that event 1 doesn’t cause abnormal return. Other event testing never happen in abnormal return. It means, Indonesian tax amnesty hadn’t increase the perception banks return. Banks-size and book-to-market equity of banks affect the abnormal return that occurs. Both factors become a consideration to the investors before making an investment. KEYWORDS: Tax Amnesty, Bank’s Return
Tahun	:	2017	Media Publikasi	:	Jurnal Internasional
Kategori	:	Jurnal	No/Vol/Tahun	:	6 / 5 / 2017
ISSN/ISBN	:	2053-4086
PTN/S	:	IPB	Program Studi	:	MANAJEMEN
Bibliography	:	Charitou A, Constantinidis E. (2004). Size and book-to-marketfactors in earnings and stock returns: empirical evidence from Japan. Journal Online Department of Business Administration, University of Cyprus. See also URL,https://business.illinois.edu/accountancy/wpcontent/uploads/sites/12/2016/03/Charitou-and-Constantinidis.pdf. Das S, Pattanayak JK, Pathak P. (2014). A Study on cross-sectional dependence and independence approach in an eventstudy - A Case with Sensex. International Journal of Financial Management. New Delhi 4(3):11-27. Da Silva SF, Formentini BF, Donizete R, Neto AS. (2016). Companies distribute dividends and adopt corporate governance has abnormal returnin their actions? Revista ambiente contabil; Natal. 8(2):92-109. Eraslan V. (2013). Fama and Frenchthree factor model: Evidence from Istanbul Stock Exchange. Business and Economics Research Journal. 4(2):11- 22. Fama EF, French KR. (1992). The cross-section of expected stock returns. The Journal of Finance. 42(2): 427-465. Fama EF, Kenneth RF. (2000). The equitypremium.Journal of Finance, American Finance Association. 57(2): 637-659. Hamid Z, Hanif Ch A, Malook SS. (2012). Fama and Frenchthree factor model: Empirical evidence from financial market of Pakistan. African Journal of Business Management. 6(8): 2945-2950. Husnan S. (1998). Dasar-Dasar Teori Portofolio Dan Analisis Sekuritas,Ed ke-3. UPP AMP YKPN.Jogyakarta, Indonesia. Jogiyanto H. (2003). Teori Portofolio dan Analisis Investasi, Ed ke-II. BPFE-UGM. Jogjakarta. Indonesia. LeungTY, Rui OM, Wang SS.(2005). “Do stock splits really signal?”.Journal of Financial Economics. 161(2): 1 – 33. Lopez LJ, Fernando R. 2003. Tax Amnesties And Income Tax Complience. The Case Of Spain. London: Fiscal Studies. 24(1):73-96. Malhotra M, Thenmozhi M, Kumar A. (2013). Factors Influencing Abnormal Returns Around Bonus And Rights Issue Announcement. IUP Journal of Applied Finance. Hyderabad. 19(4) (Oct 2013) : 41-60. Mehmet N. (2015). The Effects Of Behavioral Economics On Tax Amnesty. International Journal of Economics And Financial Issues. 5(2):580-589. Ralph CB, Harald O, Hannes W. 2014. The Occurrence Of Tax Amnestyes: Theory And Evidence. IDEAS Working Paper Series from RePEc. St Louis. 2014. Salinger M. (1992). Standard errors in event studies. The Journal of Financial and Quantitative Analysis. 27(1): 39-53. Sarvanan K. (2012). Market reaction to devidend announcement: An empirical study using event study technique. Prestige International Journal of Management & IT– Sanchayan,1(1): 141-153. Shahid MKG. (2014). Determinants of changes in share prices in banking sector of Pakistan. Journal of Economic and Administrative Science. 30(2): 121-130. Rosenberg B, Reid K, Lanstein R. (1985). Persuasive evidence of market inefficiency.Journal of Portfolio Management.11(3):9-17Ang R.(1997).Buku Pintar Pasar Modal Indonesia.Media Staff Indonesia, Jakarta, Indonesia. Banz RW. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics. 9(1981):3-18. Binder JJ. (1998). The eventstudy methodology since 1969. Review of Quantitative Finance and Accounting. 11(1998): 111-137. Bintoro W. (2008). Kebijakan pengampunan pajak (tax amnesty) (Perspektif kerangka kerja implementasi Sunset Policy mendasarkan UU No 28 tahun (2007). Jurnal Masyarakat, Kebudayaan dan Politik, Th. XXI. No. 4(Oktober-Desember 2008): 328-335. Borgne ER, Seligman JS. 2005. Economic And Political Determinants Of Tax Amnesties In The US States. National tax association-tax Institute of America. IMF Working Paper. WP/06/222. Ceylan NB Dogan B, Berument MH. (2015). Three-factor asset pricing model an portofolio holdings of foreign investors: Evidence from an emerging market – borsa Istanbul. Ekonomska Istrazivanja. 28(1):467-486.
URL	: