Fakultas Ekonomi Universitas Negeri Malang
Jl. Semarang No.5 Malang, 65145.

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Makaryanawati: Telp. +62 341 585 914, Fax. +62 341 552 888


The objective of this study was to determine the capital market reaction on the announcement of Corporate Governance Perception Index (CGPI) 2011. The variables used in this study were stock prices over the closing price and trading volume of shares. The type of analysis was comparative descriptive study which compared the stock price and trading volume before and after the CGPI 2011 award-winning announcement for the companies listed in IDX. Observations were made during the period of 10 trading days; five days before and five days after the CGPI 2011 announcement. The data analysis instrument used in this study was the Wilcoxon Signed Ranks Test with significance level α = 5%. The results showed that there was no difference between stock prices before and after the announcement of CGPI 2011, there were differences in the trading volume activity before and after announcement of CGPI 2011 at the companies of CGPI 2011 winners that were listed in IDX. Based on these results, it could be concluded that stock price of the sample companies could not be affected by the information content of CGPI 2011 because the sample companies were fundamentally strong companies. The award announcement could affect the shares trading volume in the capital market.


Keywords: corporate governance perception index, stock price, trading volume.


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