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Pengaruh Dislosure dan Trading Volume Terhadap Reaksi Pasar pada Perusahaan Industri Tekstil yang Go-Public di Indonesia

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Oleh Dr. H. Tuhardjo, S.E., M.Si, Ak.   
Pengaruh Dislosure dan Trading Volume Terhadap Reaksi Pasar pada Perusahaan Industri Tekstil yang Go-Public di Indonesia

Abstract: This stock market based-research was aimed at knowing the effect of disclosure and trading volume on market reaction. The variable of disclosure was proxed with the amount of bid-ask spreads, as well as market reaction with abnormal return. This event study was administered at 16 textile industries listed in Jakarta Stock Exchange, which were taken using census sampling. The observation was conducted on event date, in which each date of trading for period of 2000 and 2001 was used, by which data pooling was obtained, which was the combination of time series and cross section. Using regression analysis, it was found that bid-ask spreads and trading volume gave significant effect on abnormal return, with Fcalculation of 23,901 was higher than Ftable 1,697 and R2 was 0.6224. Partially, bid-ask spreads had dominant, significant effect on abnormal return with r2 was 0.3961.
Keywords: disclosure, bid-ask spreads, trading volume, abnormal return, and market efficiency

Artikel di atas dimuat Jurnal ILmu Pengetahuan Sosial: Jurnal IPS dan Pengajarannya, ISSN: 0854-8250, Tahun 38, Nomor 3, November 2004, Penerbit: Fakultas Ekonomi Universitas Negeri Malang, halaman: 623-640, Terakreditasi Dikti No. 34/DIKTI/Kep/2003

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