The Impact of Audited Financial Statement Announcements on Stock Returns and Liquidity: Evidence from LQ45 Companies in Indonesia

Abstract : This study examines the impact of Audited Financial Statement Announcements on Stock Return and Stock Liquidity in companies listed in the LQ45 index on the Indonesia Stock Exchange during the 2021-2023 period. Using a quantitative approach, this research analyzes time-series data over an 11-day event window (five days before, the announcement day, and five days after). A total of 33 companies were selected through purposive sampling based on specific criteria. Stock liquidity is measured using trading volume activity and bid-ask spread, while data analysis was conducted using descriptive statistics and paired sample t-tests. The findings indicate that (1) audited financial statement announcements significantly affect stock liquidity-both trading volume and bid-ask spread-in the short term; (2) there is no significant impact on stock returns across all event periods; and (3) overall, the market responds more strongly in terms of liquidity than price movement, suggesting that audited financial reports serve as relevant signals for investor behavior, particularly in emerging markets.