ANALISIS STOCK SPLIT TERHADAP TRADING VOLUME ACTIVITY, ABNORMAL RETURN DAN LIKUIDITAS SAHAM PADA PERUSAHAAN DI BURSA EFEK INDONESIA PERIODE 2010-2014

KESWANTO, SUGENG (2015) ANALISIS STOCK SPLIT TERHADAP TRADING VOLUME ACTIVITY, ABNORMAL RETURN DAN LIKUIDITAS SAHAM PADA PERUSAHAAN DI BURSA EFEK INDONESIA PERIODE 2010-2014. S2 thesis, Universitas Mercu Buana Bekasi.

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Abstract

ABSTRACT This study aims to analyze the volume of trading activity, abnormal return and liquidity of shares before and after the stock split, in order to determine the benefits of occurrences stock split. This study using event study, which was observed against the average trading volume activity, abnormal return and liquidity of stocks for five days before and five days after the event. This study uses secondary data including date of the stock split which is used as the event date (t0), the closing share price daily, Composite Stock Price Index (CSPI) daily number of shares traded on a daily basis, the number of shares outstanding or listed share during the period observation. Sampling method used is purposive sampling, with a total sample of 31 companies whose stock split period 2010-2014 and listed in the Stock Exchange. The results obtained from this study is there is no difference trading volume activity and abnormal return before and after the event of stock splits, but no significant difference to the bid ask spread as stock liquidity parameters. Keywords: stock split, trading volume activity, abnormal returns, liquidity of the stock, the bid-ask spread. http://digilib.mercubuana.ac.id/ iii ABSTRAK Penelitian ini bertujuan untuk menganalisis trading volume activity, abnormal return dan likuiditas saham sebelum dan sesudah stock split, dengan tujuan untuk mengetahui manfaat dari kejadian stock split. Penelitian ini menggunakan event study, dimana dilakukan pengamatan terhadap rata-rata trading volume activity, abnormal return dan likuiditas saham selama lima hari sebelum dan lima hari sesudah peristiwa. Penelitian ini menggunakan data sekunder yang meliputi tanggal stock split yang digunakan sebagai event date (t0), harga saham penutupan harian, Index Harga Saham Gabungan (IHSG) harian, jumlah saham yang diperdagangkan secara harian, jumlah saham yang beredar atau listed share pada saat periode pengamatan. Metode sampling yang digunakan adalah purposive sampling, dengan jumlah sampel sebanyak 31 perusahaan yang melakukan stock split periode tahun 2010–2014 dan terdaftar dalam BEI. Hasil yang diperoleh dari penelitian ini adalah tidak terdapat perbedaan trading volume activity dan abnormal return sebelum dan sesudah peristiwa stock split, namun ada perbedaan yang signifikan terhadap bid ask spread sebagai parameter likuiditas saham. Kata Kunci : stock split, trading volume activity, abnormal return, likuiditas saham, bid ask spread

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