PERBEDAAN ABNORMAL RETURN DAN VOLUME PERDAGANGAN SAHAM SEBELUM DAN SESUDAH PENGUMUMAN SUSTAINABILITY REPORTING AWARD (SRA) TAHUN 2017

Abstract

This study aims to prove empirically the differences of abnormal return and trading
volume that occurred before and after the announcement of Sustainability Reporting
Award (SRA) in 2016. The number of samples used in this study were 9 companies
consisting of listed companies in Indonesia Stock Exchange which won the SRA 2016
award by using sustainability reporting as indicators based on GRI G-4. The data used
are secondary data in the form of daily closing stock price, composite stock price index
(IHSG), and daily stock trading volume obtained from www.idx.co.id and
www.finance.yahoo.com with 11 days observation period. Calculation of abnormal
return using market-adjusted model while for trading volume of stock using trading
volume activity (TVA). Hypothesis testing is done by using Wilcoxon Sign Rank test.
The results showed that there was no difference in abnormal return and stock trading
volume before and after thevannouncement of Sustaianability Reporting Award (SRA)
in 2016.