DISCLOSURE OF ACCOUNTING INFORMATION AND STOCK RETURN VOLATILITY IN INDONESIA FIRM LISTED IN INDONESIA STOCK EXCHANGE PERIOD JANUARY 2004 - JUNE 2006.

ISMAYA, ANNA (2009) DISCLOSURE OF ACCOUNTING INFORMATION AND STOCK RETURN VOLATILITY IN INDONESIA FIRM LISTED IN INDONESIA STOCK EXCHANGE PERIOD JANUARY 2004 - JUNE 2006. Other thesis, FAKULTAS EKONOMI.

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Abstract

Recent studies have shown the existence of a relationship between the disclosure of accounting information and economic effects. The disclosure of value-relevant accounting information reduces the information asymmetry on the market and, consequently, the risk of investors making mistakes in their decisions, which fosters the atfraction of foreign capital, This paper has the pu{pose of investigating if there is a relationship between level of accounting information disclosure and the volatility of stock returns of lndonesian firms. The hypothesis tested is that firms with higher levels of disclosure present lower volatility of stock returns. The research design involves a sample including 30 firms listed on the Indonesia stock exchange (DX) from January 2004 until June 2006 (30 months). The samples are selected by using purposive sampling method. Cross-firm linear regression SPSS version 14 is used for analynng the samples. The results can conclude that higher level of accounting information disclosure posses shares with lower stock return volatility.

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