PENGARUH PENGUMUMAN STOCK SPLIT TERHADAP VOLUME PERDAGANGAN SAHAM , ABNORMAL RETURN DAN BID ASK SPREAD (STUDI PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE TAHUN 2015-2019)

PUTRI, RIMADA DIAMANTA (2020) PENGARUH PENGUMUMAN STOCK SPLIT TERHADAP VOLUME PERDAGANGAN SAHAM , ABNORMAL RETURN DAN BID ASK SPREAD (STUDI PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE TAHUN 2015-2019). S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This research is motivated by companies that carry out corporate actions in the form of stock splits. This corporate action aims to increase the liquidity of outstanding shares and also provide a positive signal for the company's future performance so that investors are more interested in getting a bigger gain. To find out whether this signal is true or not, a market efficiency test is needed which proves that the stock split has an effect on changes in stock trading volume, abnormal returns, and the bid ask spread. This type of research used in this research is an event study with a quantitative approach, namely 5 days before and 5 days after the company announced the stock split. There is a sample of 66 companies that conducted stock splits and listed on the Indonesia Stock Exchange for the period 2015 - 2019. The type of data used in this study is secondary data in the form of daily average data on sales of shares, number of shares outstanding, and stock price (close price). , the composite stock price index (IHSG), stock offers and bids during the period 2015 - 2019. The results of the normality test of the three variables in this study were not normally distributed so the Wilcoxon signed ranks test was carried out with the results (1) the difference between the volume of stock trading before and after the stock split (2) There is a difference between the abnormal return before and after the stock split (3) There is no difference between the bid ask spread before and after the stock split. Keywords: Corporate Action, Stock Split, Event Study, Trading Volume Activity, Abnormal Return, Bid Ask Spread. Penelitian ini dilatarbelakangi oleh perusahaan yang melakukan aksi korporasi atau corporate action berupa stock split. Aksi korporasi tersebut bertujuan untuk meningkatkan likuiditas saham yang beredar dan juga memberikan sinyal positif terhadap kinerja perusahaan di masa yang akan datang sehingga para investor lebih tertarik untuk mendapatkan gain yang lebih besar. Untuk mengetahui benar atau tidaknya sinyal tersebut, diperlukan pengujian efisiensi pasar yang membuktikan bahwa stock split berpengaruh terhadap perubahan volume perdagangan saham, abnormal return, dan bid ask spread. Jenis penelitian yang digunakan dalam penelitian ini adalah event study dengan pendekatan kuantitatif yaitu 5 hari sebelum dan 5 hari sesudah perusahaan mengumumkan stock split. Terdapat sampel sebanyak 66 perusahaan yang melakukan stock split dan terdaftar di Bursa Efek Indonesia periode tahun 2015 – 2019. Jenis data yang digunakan dalam penelitian ini adalah data sekunder berupa rata-rata data harian penjualan saham, jumlah saham beredar, harga saham (close price), indeks harga saham gabungan (IHSG), offer dan bid saham selama periode tahun 2015 – 2019. Hasil penelitian uji normalitas terhadap ketiga variabel dalam peneltitian ini adalah tidak terdistribusi secara normal sehingga selanjutkan dilakukan uji wilcoxon signed ranks test dengan hasil (1) Tidak terdapat perbedaan antara volume perdagangan saham sebelum dan sesudah stock split (2) Terdapat perbedaan antara abnormal return sebelum dan sesudah stock split (3) Tidak terdapat perbedaan antara bid ask spread sebelum dan sesudah stock split. Kata Kunci : Aksi Korporasi, Stock Split, Event Study, Volume Perdagangan Saham, Abnormal Return, Bid Ask Spread.

Item Type: Thesis (S2)
Call Number CD: CD/551. 20 044
Call Number: TM/51/21/045
NIM/NIDN Creators: 55117110096
Uncontrolled Keywords: Aksi Korporasi, Stock Split, Event Study, Volume Perdagangan Saham, Abnormal Return, Bid Ask Spread.
Subjects: 300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 338 Production, Industrial Economics/Produksi, Ekonomi Industri
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 338 Production, Industrial Economics/Produksi, Ekonomi Industri > 338.7 Joint Ventures/Perusahaan Bersama
300 Social Science/Ilmu-ilmu Sosial > 380 Commerce, Communications, Transportation (Perdagangan, Komunikasi, Transportasi) > 380.1-380.9 Standard Subdivisions of Commerce, Communications, Transportation/Subdivisi Standar Dari Perdagangan, Komunikasi, Transportasi > 380.1 Commerce (Trade)/Perdagangan
300 Social Science/Ilmu-ilmu Sosial > 380 Commerce, Communications, Transportation (Perdagangan, Komunikasi, Transportasi) > 381 Commerce, Trade/Perdagangan
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum > 658.01-658.09 [Management of Enterprises of Specific Sizes, Scopes, Forms; Data Processing]/[Pengelolaan Usaha dengan Ukuran, Lingkup, Bentuk Tertentu; Pengolahan Data] > 658.04 Management of Enterprises of Specific Forms/Pengelolaan Usaha dengan Bentuk Tertentu > 658.045 Corporations/Perusahaan
Divisions: Pascasarjana > Magister Manajemen
Depositing User: Putra Arsy Anugrah
Date Deposited: 15 Nov 2021 04:00
Last Modified: 25 Apr 2022 01:27
URI: http://repository.mercubuana.ac.id/id/eprint/50243

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