REAKSI PASAR TERHADAP PENGUMUMAN STOCK SPLIT TAHUN 2016
Abstract: This study aims to
know if there is market reaction before and after stock split annuncement year
of 2016. This market reaction shows in is indicated by whether or not there is
difference in abnormal return, trading volume activity, bid-ask spread, and security
return variability.The types of research
that used in this study are event study.
The study used 16 firms as samples, selected by purposive sampling method. This
study used 5 days before and 5 days after stock split as the observation
period, using normality test (One Sample Kolmogorov Smirnov) and hypothesis
test (Wilcoxon Signed Ranks Test).
The result shows that there is no difference between abnormal return at
before-after stock split period. There is no difference between trading volume
activity at before-after stock split period. There is no difference between
bid-ask spread at before-after
stock split period. There is no
difference between security return variability at before-after stock split
period. This show that stock split annouchment does not have information
content or it has but the market not to reacted to the announcement.
Keywords: stock split,
abnormal return, trading volume activity, bid-ask spread, and security return
variability
Penulis: NAJMY A LA
Kode Jurnal: jpmanajemendd171147
