DAMPAK STOCK SPLIT: ANALISIS VOLUME DAN ABNORMAL RETURN SAHAM (STUDI EMPIRIS 2020-2022)
Keywords:
Stock Split, Trading Volume, Abnormal Stock Return, Event StudyAbstract
ABSTRACT
The purpose of this study is to prove whether or not there are differences in trading volume and abnormal stock returns before and after the stock split announcement. The sample of the study consisted of twenty-one companies listed on the Indonesia Stock Exchange for the period 2020-2022. The method used in this study is an event study with an observation period of five days before and after the stock split. The data used in this study are quantitative data consisting of daily stock closing price data, JCI, number of shares traded, and number of outstanding shares, which are analyzed using the Wilcoxon signed rank test. The results of the study indicate that there are differences in trading volume and abnormal stock returns before and after the stock split announcement. The existence of differences in trading volume and abnormal stock returns indicates that the information has been absorbed by the market so that investors provide a reaction to the stock split event.
Keywords: Stock Split; Trading Volume; Abnormal Stock Return; Event Study.
ABSTRAK
Penelitian ini bertujuan untuk membuktikan ada atau tidaknya perbedaan volume perdagangan dan abnormal return saham sebelum dan sesudah pengumuman stock split. Sampel penelitian terdiri dari dua puluh satu perusahaan go public di Bursa Efek Indonesia periode 2020-2022. Metode yang digunakan pada penelitian ini adalah studi peristiwa dengan periode pengamatan selama lima hari sebelum dan sesudah stock split. Data penelitian berupa data kuantitatif yang terdiri dari data closing price saham harian, IHSG, jumlah saham yang diperdagangkan, dan jumlah saham beredar, yang dianalisis dengan menggunakan uji beda wilcoxon signed rank test. Hasil penelitian menunjukkan bahwa terdapat perbedaan volume perdagangan dan abnormal return saham sebelum dan sesudah pengumuman stock split. Adanya perbedaan volume perdagangan dan abnormal return saham ini menandakan bahwa informasi telah diserap oleh pasar sehingga investor memberikan reaksi terhadap peristiwa stock split.
Kata Kunci: Stock split; Volume Perdagangan; Abnormal Return Saham; Event Study.
