PENGARUH PENGUMUMAN EARNING TERHADAP ABNORMAL RETURN DAN TINGKAT LIKUIDITAS SAHAM PADA PERUSAHAAN PERBANKAN DAN ASURANSI YANG TERDAFTAR DI BURSA EFEK INDONESIA

Abstract

Earnings announcement has information about campany financial performance that have been listed on capital market wich will affect the return for the investors. This research aim to know the earnings announcement impact on abnormal return and stock liquidity that measure with bid-ask spread and trading volume activity before, on the day, and after earnings announcement. Sample for this research are banking and insurance companies from 2010 untill 2012 by using purposive sampling. Kolmogorov-Smirnov test is used on normality test, then t-test for data by using paired sample t-test for normal data and Wilcoxon signed rank test for abnormal data. Results obtained from this study are there is no significant differences on abnormal return and bid-ask spread, but trading volume activity has significant differences.
Keyword: earning, abnormal return, stock liquidity