JEFMS Journal

ABSTRACT:

This study aims to examine the market reaction to tax reform. Tax reform was carried out by the government on the issue of post-covid economic recovery and responding to environmental changes. This policy has a new tax regulation policy in Indonesia in the form of a carbon tax, an increase in VAT, and an increase in income tax. This research is event study research. The population of this study is companies listed on the Indonesia Stock Exchange on October 7, 2021. The data are taken from Yahoo Finance, totalling 753 companies. The sampling method used is the purposive sampling method, with the sample in the form of the Kompas 100 index and each company sector listed on the Indonesia Stock Exchange with a total of 9 sectors with an observation period of 10 days, 5 days, and 3 days before and after the ratification (-10.10), (-5.5), and (-3.3). The market reacted to the tax reform, and there was a significant abnormal return (p-value <0.05). Companies in the agricultural and mining sectors are companies that are of interest to investors. In contrast, companies in the financial, trade, services, and investment sectors are not attractive to investors with negative cumulative abnormal returns.

KEYWORDS:

Undang-Undang Harmonisasi Peraturan Perpajakan, tax reform, carbon tax, tax policy, market reaction, abnormal return

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