ANALISIS DAMPAK PEMECAHAN SAHAM (STOCK SPLIT) TERHADAP TRADING VOLUME ACTIVITY dan ABNORMAL RETURN PADA SAHAM YANG TERDAFTAR DI BEI TAHUN 2011-2015
ABSTRACT: There
are some variety of corporate action policy that corporate is able to influence
the number of outstanding shares, and share’s value to attract the investor.
One of the corporate action is stock split. Stock split is splitting shares
amount by splitting the shares volume to generate the cheaper price of shares
and increase the share volume. This research conducted to verify the relationship
between stock split and abnormal return of share using market adjusted model
and trading volume activity using the wilcoxon rank signed test on the event
window which is 5 day before and 5 day after the stock split announcement day.
This research use the event
study with the Independent Sample t-test and normality tes as the method. The
research shows that the stock split announcement doesn’t give difference significantly
for the abnormal return, however the effect of stock split is significantly
negative to trading volume activity. There are some alteration in the amount of
abnormal return, but the amount is not significant. On the other hand, the
trading volume activity show the significant changes. The amount slightly go
down into negative side after the stock split.
Keywords:
Stock split, Abnormal return, Trading volume activity, Event study
Penulis: Benhard Partogi Situmorang,M. Kholiq Mahfud
