DAMPAK TINGKAT PENGUNGKAPAN INFORMASI PERUSAHAAN TERHADAP VOLUME PERDAGANGAN DAN RETURN SAHAM: PENELITIAN EMPIRIS TERHADAP PERUSAHAAN-PERUSAHAAN YANG TERCATAT DI BURSA EFEK JAKARTA
ABSTRACT: The purpose of this
study is to evaluate the effect of disclosure level to market indicators, such
as trading volume activity (TVA) and stock returns. This study also tries to
evaluate the difference in market indicators for companies with differences in
disclosure level: comprehensive and non-comprehensive.
This study adopts content analysis approach in generating disclosure
index, using data from annual reports of firms listed in the JSX in the periods
of 2000 - 2002. This study uses mean comparison analysis and regression
analysis, both linear and logistic, in testing the effect of disclosure level
to market indicators of companies with comprehensive and non-comprehensive
disclosure.
This study does not provide empirical evidence to support the effect of
disclosure level to both market indicators. However, this study finds that
there is a difference in TVA between companies with comprehensive and
non-comprehensive disclosure. These results lead to a conclusion that disclosure
in the annual reports may still not be a matter of considerable interest and
importance to investors. This study also finds that firm size and reported
income affect disclosure level.
Penulis: Dedi Junaedi
Kode Jurnal: jpakuntansidd050022
