ANALISIS LIKUIDITAS DAN ABNORMAL RETURN SAHAM SEBELUM DAN SESUDAH PERISTIWA STOCK SPLIT

AKHSAN, DELIAN BAHTIAR (2021) ANALISIS LIKUIDITAS DAN ABNORMAL RETURN SAHAM SEBELUM DAN SESUDAH PERISTIWA STOCK SPLIT. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to identify market reactions on the days around the implementation of the stock split as seen from stock liquidity (trading volume activity and bid-ask spread) and abnormal returns. Identification is done by looking at the difference in the average value of the trading volume activity, the bid-ask spread and the abnormal return five days before and five days after the stock split corporate action. The population in this study were publicly traded companies that carried out stock split corporate actions in the period 2015 to 2019. The sample selection was carried out by purposive sampling with the sample criteria of go public companies that took stock split corporate actions and did not take other corporate actions around the observation period . In addition, these shares are actively traded on the IDX and the data is available during the observation period. The observation period in this study was 5 days before the stock split event to 5 days after the stock split event. The expected return value using the market-adjusted model for the abnormal return. From the results of this study, it was found that there was no difference in stock liquidity as measured using the trading volume activity (TVA) and the bid-ask spread before and after the stock split corporate action. There are differences in abnormal returns before and after the stock split corporate action. The difference in abnormal returns occurs in a negative direction after the stock split event. Keywords: Stock Split, Liquidity, Trading Volume Activity (TVA), Bid-Ask Spread, Abnormal Return. Penelitian ini bertujuan untuk mengidentifikasi reaksi pasar pada hari-hari sekitar pelaksanaan stock split yang dilihat dari likuiditas saham (trading volume activity dan bid-ask spread) dan abnormal return. Identifikasi dilakukan dengan melihat perbedaan nilai rata-rata dari trading volume activity, bid-ask spread dan abnormal return lima hari sebelum dengan lima hari sesudah dilakukannya aksi korporasi stock split. Populasi pada penelitian ini adalah perusahaan go public yang melakukan aksi korporasi stock split pada periode tahun 2015 sampai dengan 2019. Pemilihan sampel dilakukan secara purposive sampling dengan kriteria sampel perusahaan go public yang melakukan aksi korporasi stock split dan tidak melakukan aksi korporasi lain pada sekitaran periode pengamatan. Selain itu saham tersebut aktif diperdagangkan di BEI dan datanya tersedia selama periode pengamatan. Periode pengamatan pada penelitian ini adalah 5 hari sebelum peristiwa stock split sampai dengan 5 hari setelah peristiwa stock split. Nilai return ekspektasi menggunakan model pasar disesuaikan pada abnormal return. Dari hasil penelitian ini didapat diaktan bahwa tidak terdapat perbedaan likuiditas saham yang diukur menggunakan trading volume activity (TVA) dan bid-ask spread pada sebelum dan sesudah peristiwa aksi korporasi stock split. Terdapat perbedaan abnormal return pada sebelum dan sesudah peristiwa aksi korporasi stock split. Perbedaan abnormal return terjadi kearah negatif setelah dilakukannya peristiwa stock split. Kata Kunci : Stock Split, Likuiditas, Trading Volume Activity (TVA), Bid-Ask Spread, Abnormal Return.

Item Type: Thesis (S2)
NIM/NIDN Creators: 55118120032
Uncontrolled Keywords: Stock Split, Likuiditas, Trading Volume Activity (TVA), Bid-Ask Spread, Abnormal Return.
Subjects: 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum > 658.3 Personnel Management/Manajemen Personalia, Manajemen Sumber Daya Manusia, Manajemen SDM
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum > 658.5 Management of Production/Manajemen Produksi
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum > 658.6 Quality Management/Manajemen Kualitas
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum > 658.7 Management of Supplies/Manajemen Persediaan
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum > 658.8 Marketing, Management of Distribution/Marketing, Manajemen Distribusi
Divisions: Pascasarjana > Magister Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 08 Dec 2021 07:41
Last Modified: 08 Dec 2021 07:41
URI: http://repository.mercubuana.ac.id/id/eprint/50536

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