Analisa Abnormal Return dan Volume Perdagangan Saham Sebelum dan Sesudah Penerbitan Laporan Audit (Studi Empiris di Bursa Efek Indonesia)

Abstract

Capital market investors think that the issuance of audit reports issued by both Big Four and Non-Big Four accounting firms can provide positive signals that can be used as one of the basis for decision-making in investing in the capital market. The main objective of this study is to analyze whether there is a change in stock price as measured by average abnormal return (AAR) and changes in stock trading volume as measured by average trading volume activity (XTVA) before and after the announcement of the audit report. In conducting the analysis, this study uses an event study that observes the movement of AAR and XTVA during a window period of 7 days before and 7 days after the announcement of the audit report. The sample selection for this study used a purposive sampling method on the population of manufacturing companies listed on Indonesia Stock Exchange during the period from 2017 to 2018. In this study, using Paired Samples T-test with a significance of 5% or 0,05. Based on the results of the test conducted, it can be concluded that there is no significant difference to AAR and XTVA before and after the announcement of the audit report with an unqualified standard form audit opinion issued by Big Four and Non-Big Four accounting firm, and an unqualified audit opinion with an explanatory paragraph.

Keywords: Audit Report, Big Four and Non-Big Four accounting firm, Share price, Average abnormal return, Trading volume activity, Average trading volume activity, Event study