Digital Library: No conditions. Results ordered -Date Deposited. 2024-03-29T10:39:14ZEPrintshttp://digilib.unila.ac.id/images/sitelogo.pnghttp://digilib.unila.ac.id/2016-06-22T07:12:25Z2016-06-22T07:12:25Zhttp://digilib.unila.ac.id/id/eprint/22748This item is in the repository with the URL: http://digilib.unila.ac.id/id/eprint/227482016-06-22T07:12:25ZTHE IMPACT OF THE ANNOUNCEMENT OF INSIDER TRADING
SANCTION ON ABNORMAL RETURN AND TRADING VOLUME
ACTIVITY
(Case Study of PT Perusahaan Gas Negara (Persero) Tbk During The Period
of October 2007 To January 2008)Insider trading is the trading of securities performed by those classified
as "insiders" of the company, of these securities based on the existence of inside
information that is important and contains material facts. Insider trading
categorized as a crime in the capital market. The Bapepam-LK announced nine
people that involved in insider trading case on PGN stocks. As reported by
website hukumonline.com on Thursday December 27, 2007.
The objective of this research is to find out whether there is a significant
difference between before and after the announcement of insider trading sanction
to the abnormal return and its trading volume activity. This research used event
study method, with abnormal return and trading volume activity as the variable.
The data that used in this research is secondary data. The research object was PT
Perusahaan Gas Negara (Persero) Tbk. The research conducted on October 26,
2007 to January 16, 2008, it was 30 days as estimation period, ten days before the
event, ten days after the event, and one day when the event happened as the
window period. So total of the research time is 51 days.
The statistical test that used to test the hypothesis was paired sample ttest,
but make sure that the data was normally distributed. The test result shows
that H1 is accepted but H2 is rejected, it means there is no significant difference in
abnormal return before and after the announcement of insider trading sanction,
but there is a significant difference on trading volume activity before and after the
announcement of insider trading sanction.
Keyword : abnormal return, event study, trading volume activity. 1211011047 DONNA VITASARI Svitasaridonna@gmail.com