STOCK RETURN VOLATILITY DETERMINANTS: EVIDENCE FROM INDONESIA

Amrie Firmansyah, Ferry Irawan

Abstract


This research is aimed to investigate the impact of corporate tax risk on stock return volatility. The study may benefit investors, issuers, and regulators in decision-making process. We use several independent variables: tax risk, pre-book tax income, cash flow, accrual, leverage. Meanwhile, stock return volatility becomes dependent variable. We obtain data from Indonesia Stock Exchange (IDX) from 2010 until 2014 for tax risk and 2015 for other variables. Most of the observations are manufacturing companies that listed by January 1st 2010. Using purposive sampling, this research selected 56 firms as samples. The result of multiple regression performs several issues. Based on partial test, tax risk significantly affect stock return volatility. On the other hand, pre-book tax income, cash flow, accrual, leverage have no impact to dependent variable.

Keywords


Stock Return Volatility, Tax Risk

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