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All Journal JURNAL AKUNTANSI KEUANGAN DAN MANAJEMEN Jurnal Akuntansi, Keuangan, Perpajakan dan Tata Kelola Perusahaan
Pratama, Riyan Dika
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Industrial & Manufacturing Engineering Mathematics Social Sciences

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PENGARUH ANOMALI PASAR TERHADAP PERILAKU INVESTOR DALAM MEMPERTIMBANGKAN RETURN SAHAM DI BURSA EFEK INDONESIA Pratama, Riyan Dika; Nirwana, Sheli; Sundari, Uun; Wahyu Putri, Ovet
Jurnal Akuntansi, Keuangan, Perpajakan dan Tata Kelola Perusahaan Vol. 2 No. 2 (2024): Desember
Publisher : Yayasan Nuraini Ibrahim Mandiri

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.70248/jakpt.v2i2.939

Abstract

Penelitian ini bertujuan untuk menguji fenomena efek Minggu, efek minggu keempat, dan efek Januari di Bursa Efek Indonesia, serta dampaknya terhadap hasil return saham. Metode penelitian yang digunakan meliputi analisis data umpan balik harian indeks LQ45 dari Juli 2009 hingga Mei 2020. Teori efisiensi pasar yang menjadi acuan dalam studi ini mencakup bentuk lemah, semi-kuat, dan kuat, sebagaimana dijelaskan oleh Fama (1970). Hasil penelitian menunjukkan bahwa efek Minggu, minggu keempat, dan Januari tidak memiliki pengaruh signifikan terhadap return saham. Temuan ini mendukung konsep pasar efisien, di mana harga-harga di pasar mencerminkan informasi yang tersedia. Kesimpulan dari penelitian ini menegaskan pentingnya memahami anomali pasar dan implikasinya terhadap teori efisiensi pasar. Kata Kunci: Anomali Pasar, Bursa Efek Indonesia, Mental Accounting, Hipotesis Pasar Efisien
Determinants of Stock Returns with Tax Risk as a Moderating Variable Pratama, Riyan Dika; Junaidi, Ahmad; Yuniarti, Rina
Jurnal Akuntansi, Keuangan, dan Manajemen Vol 7 No 2 (2026): Maret
Publisher : Penerbit Goodwood

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35912/jakman.v7i2.6126

Abstract

Purpose: This study aims to analyze the effects of financial performance, firm size, macroeconomic factors, and tax avoidance on stock returns, with tax risk as a moderating variable, in LQ45 companies listed on the Indonesia Stock Exchange during 2020-2024. Research methodology: This study employs a quantitative approach using secondary data obtained from annual financial reports, Bank Indonesia, and the Central Statistics Agency. The sample consists of 45 LQ45 companies selected through purposive sampling, resulting in 165 firm-year observations. Data analysis was conducted using panel data regression with Moderated Regression Analysis (MRA) through Eviews 13 to examine both direct and moderating effects. Results: The results indicate that return on assets, firm size, inflation, interest rates, and tax avoidance have no significant effect on stock returns, while the current ratio shows a negative and significant effect. Furthermore, tax risk significantly moderates the relationships between several independent variables and stock returns, either weakening or strengthening their effects depending on the level of fiscal uncertainty faced by firms. Conclusions: These findings suggest that stock returns are not solely determined by financial and macroeconomic indicators but are also influenced by fiscal uncertainty reflected in tax risk, which alters investor perceptions and market responses. Limitations: This study is limited to LQ45 companies and a five-year observation period, which may restrict the generalizability of the results to other sectors or longer time horizons. Contributions: This study provides empirical evidence of the moderating role of tax risk in stock return determination. This study contributes to the literature by integrating tax risk as a moderating variable, which remains relatively underexplored in the context of the Indonesian capital market.
Co-Authors Ahmad Junaidi Anjelina, Dea Nirwana, Sheli Rina Yuniarti, Rina Sagita, Virni Sundari, Uun Wahyu Putri, Ovet