Perbedaan Saham Blue Chip dan Non Blue Chip: Analisis Volume Perdagangan dan Return Saham Atas Kebijakan Stock Split

The stock split phenomenon is still challenging to understand the returns to companies and investors. A stock split is a corporate actions to break up more shares so that the price per share changes to a smaller one, which aims to increase stock liquidity. The purpose of this study is to analyze differences in trading volume, and stock returns before and after the company's stock split policy implemented in blue-chip and non blue-chip Indonesian companies in the 2017-2019 period, amounting to 34 companies. This study uses data analysis techniques in the Wilcoxon Signed Ranks Test and the Mann-Whitney T-Test. The results showed a significant difference to the average trading volume, but there was no significant difference to the average stock return before and after the stock split policy. The test results of the average difference between blue chip and non blue-chip companies have no significant differences. The company's market capitalization has no significant effect on stock returns and trading volume in the stock split period. The results of this study can be used as reference material for investors and companies in making decisions.

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ANALISIS LIKUIDITAS SAHAM SEBELUM, SAAT DAN SESUDAH PENGUMUMAN STOCH SPLIT

El-HARAKAH (TERAKREDITASI) ◽

10.18860/el.v8i1.4619 ◽

2008 ◽

Vol 8 (1) ◽

pp. 129

Author(s):

Agus Sucipto

Keyword(s):

Stock Price ◽

Trading Volume ◽

Market Reaction ◽

Volume Activity ◽

Stock Trading ◽

Stock Liquidity ◽

Bid Ask Spread ◽

Significant Difference ◽

Stock Split ◽

Before And After

Stock split announcement is one of information type published by emitent that is used to know market reaction. When stock split announcement contains information, the market reacts that is shown by the changing of stock price. This study is intended to describe the effect of stock split announcement to market reaction using event study. This approach is used to identify the reaction of the market which is an activity of trading volume and bid-ask spread of stock used to know stock liquidity. The findings show that there is no significant difference between stock trading volume activity before, during and after stock split announcement. Whereas, the period of before and after the announcement, there is a significant difference of stock trading volume activity. The finding of bid-ask spread stock shows that there is a significant difference in the period of before and after stock split announcement. But there is no significant difference in the period of before and after stock split announcement. Pengumuman pemecahan saham adalah salah satu jenis informasi yang diterbitkan oleh emiten yang digunakan untuk mengetahui reaksi pasar. Bila pengumuman pemecahan saham berisi informasi, pasar bereaksi yang ditunjukkan oleh perubahan harga saham. Penelitian ini bertujuan untuk mendeskripsikan efek pengumuman pemecahan saham terhadap reaksi pasar dengan menggunakan kajian peristiwa. Pendekatan ini digunakan untuk mengidentifikasi reaksi pasar yang merupakan aktivitas volume perdagangan dan pemecahan saham yang digunakan untuk mengetahui likuiditas saham. Temuan menunjukkan bahwa tidak ada perbedaan yang signifikan antara aktivitas volume perdagangan saham sebelum, selama dan setelah pengumuman pemecahan saham. Padahal, periode sebelum dan sesudah pengumuman, ada perbedaan yang signifikan dari aktivitas volume perdagangan saham. Temuan menunjukkan bahwa ada perbedaan yang signifikan pada periode sebelum dan sesudah pengumuman pemecahan saham. Namun tidak ada perbedaan yang signifikan pada periode sebelum dan sesudah pengumuman pemecahan saham.

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ANALISIS REAKSI PASAR BURSA EFEK INDONESIA SEBELUM DAN SESUDAH PENGUMUMAN RIGHT ISSUE TERHADAP ABNORMAL RETURN DAN LIKUIDITAS SAHAM (Studi Kasus Pada Perusahaan-Perusahan Yang Terdaftar Di Bursa Efek Indonesia Tahun 2015-2018 Sektor Infrastruktur)

Research Journal of Accounting and Business Management ◽

10.31293/rjabm.v3i2.4432 ◽

2019 ◽

Vol 3 (2) ◽

pp. 245

Author(s):

Yehofa Wajin

Keyword(s):

Stock Returns ◽

Trading Volume ◽

Quantitative Methods ◽

Stock Exchange ◽

Abnormal Returns ◽

Sampling Technique ◽

Stock Liquidity ◽

Significant Difference ◽

Before And After ◽

Rights Issue

Go public companies in order to increase funds, companies can conduct corporate actions, namely rights issues. Right issue is a new share offering from the company for old investors with a system offering it to an old investor first. The information about the rights issue was published as an announcement that could be used to see market reactions. This market reaction is measured by abnormal returns to see stock returns and trading volume activity to see stock liquidity.This research intend to see abnormal stock returns and stock liquidity before and after the announcement of the rights issue with a sample of infrastructure sector companies in the Indonesia Stock Exchange for the period 2015-2018 with purposive sampling technique of sample selection, according to predetermined criteria then obtained 6 companies.This research is a descriptive study using quantitative methods. The test used in this study is the normality test then using a paired sample t-test. The results of this study show no significant difference from abnormal returns and stock liquidity before and after the announcement of the rights issue.

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PERUBAHAN TINGKAT LIKUIDITAS SAHAM DAN ABNORMAL RETURN YANG DIPENGARUHI OLEH PERISTIWA PEMECAHAN SAHAM

JURNAL AKUNTANSI ◽

10.37932/ja.v8i2.73 ◽

2020 ◽

Vol 8 (2) ◽

pp. 135-145

Author(s):

Achmad Yusup Sulaiman ◽

Hidayat Darwis

Keyword(s):

Stock Returns ◽

Abnormal Return ◽

Stock Splits ◽

Stock Liquidity ◽

Purposive Sampling ◽

Stock Split ◽

Before And After ◽

Sample Technique ◽

Abnormal Stock Returns ◽

Corporate Actions

This study was conducted to determine the significance of changes in stock liquidity and abnormal stock returns before and after the stock split. The sample technique used in this study was purposive sampling and the criteria used included the issuer not taking other corporate actions at the same time as the stock split. The samples used in this study were 28 companies. The results of this study indicate that stock split events have a significant effect on the level of stock liquidity. Whereas for abnormal stock returns, stock splits do not affect the overall meaning, stock splits do not affect the level of abnormal stock returns

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ANALISIS HARGA SAHAM, VOLUME PERDAGANGAN SAHAM DAN VARIAN RETURN SAHAM TERHADAP BID ASK SPREAD PADA MASA SEBELUM DAN SESUDAH STOCK SPLIT PADA PERUSAHAAN YANG TERDAFTAR DI BEI TAHUN 2011 – 2015

Jurnal Akuntansi Bisnis ◽

10.30813/jab.v10i2.992 ◽

2018 ◽

Vol 10 (2) ◽

Author(s):

Kevin Immanuel ◽

Oktafalia Marisa Muzamil

Keyword(s):

Stock Prices ◽

Trading Volume ◽

T Test ◽

Wilcoxon Test ◽

Stock Splits ◽

Volume Activity ◽

Bid Ask Spread ◽

Significant Difference ◽

Stock Split ◽

Before And After

The stock split policy is taken by the company to keep stock prices not too high so that its stock can reach many investors and increase stock liquidity. This study also aims to measure whether there is a difference before and after the company does a stock split through bid ask spread.This research method uses event study about market reaction to information from stock split announcement.This type of research includes descriptive research using quantitative data, while data collection techniques consist of library techniques and documentation techniques. The results showed that the test for normality only trading volume activity (TVA) that qualify and can do paired samples t-test, while the stock price, the variant return and bid ask spread is done by using Wilcoxon test because it does not pass the test of normality. In the paired sample t-test, the results show that there is significant trading activity volume difference before and after stock split. In the Wilcoxon test, the results show that there is no significant price difference before and after stock split, there is no significant difference of return variance before and after stock split, and there is no significant bid ask spread before And after stock splits.The conclusions can be drawn based on the results of the study that the market conditions are in the bearish market and investors do not provide a quick feedback to the stock split. However, stock splits have increased liquidity from firms due to stock splits to n per sheets and reduced asymmetry costs to be borne by investors. Suggestions from researchers to investors are investors can take advantage of stock split events and must be observant in seeing the stock of a particular company that has prospects, good performance and good reputation in the community. For the company, the company should be wise in determining the ratio for stock prices to be optimal and consider whether the stock market is bearish / bullish market when doing stock split policy.Keywords: stock prices, return, trading volume activity, bid ask spread, and stock split

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Analisis Pengaruh Stock Split Terhadap Volume Perdagangan Dan Return Saham yang Terdaftar di Bursa Efek Indonesia pada Tahun 2011-2015

Jurnal Kajian Manajemen Bisnis ◽

10.24036/jkmb.10751200 ◽

2017 ◽

Vol 6 (1) ◽

Author(s):

Erni Masdupi ◽

Megawati Megawati ◽

Rio Irawan

Keyword(s):

Stock Returns ◽

Trading Volume ◽

Quantitative Research ◽

Stock Exchange ◽

Stock Trading ◽

Paired Sample ◽

Company Stock ◽

Stock Split ◽

Before And After ◽

Study Population

This reseach aims to determine the effect of the stock split analysis of the trading volume and stock returns. This study using a quantitative research design causal. In this study population is all companies doing stock split at the company, which is listed in the Indonesia Stock Exchange (IDX) on 2011-2015, whose number is not known and the sample totaling 22 companies. Data were collected by using documentation. Data analyzed using paired sample t-test. The results of this study indicate that (1) there was no change in the volume of stock trading before and after the stock split and (2) there was no difference in stock returns before and after the stock split on the company stock split in the Indonesia Stock Exchange (BEI) 2011-2015.

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Analysis of the Effect of Stock Split on Abnormal Stock Return and Share Liquidity

Eduvest - Journal Of Universal Studies ◽

10.36418/edv.v1i7.95 ◽

2021 ◽

Vol 1 (7) ◽

pp. 629-640

Author(s):

Jerri Priatno ◽

Freddy Freddy

Keyword(s):

Stock Returns ◽

Statistical Tests ◽

Abnormal Returns ◽

Stock Splits ◽

Research Approach ◽

Quantitative Research Methods ◽

Significant Difference ◽

Stock Split ◽

Before And After ◽

The Relationship

Strong companies will not be too affected by news issues about stock splits, but several other companies that do stock splits actually experience a decline in demand for their shares. This study aims to analyze the effect of stock splits on abnormal stock returns and stock liquidity. In this study, the authors use quantitative research methods with a descriptive research approach, because there are variables to be examined and the relationship aims to describe the characteristics or behavior of a population in a systematic and accurate way regarding the relationship between the variables to be studied. The population in this study are companies listed on the Indonesia Stock Exchange, namely companies that carried out stock splits in 2019. Based on the results of research, the authors draw the following conclusions: Based on statistical tests on abnormal returns, it was found that market reactions occurred during the day after the stock split, the first day until the fourth day after the stock split. Based on the results of the different tests on Abnormal Returns before and after the stock split, it shows that there is a significant difference between the returns before and after the stock split. Based on the results of the different tests on the average TVA before and after the stock split, it shows that there is a significant difference between TVA before and after the stock split.

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THE EFFECT OF STOCK SPLIT ANNOUNCEMENT ON THE TRADING VOLUME ACTIVITY, ABNORMAL RETURN, AND BID ASK SPREAD (STUDY ON COMPANIES LISTED ON THE IDX FOR THE PERIOD OF 2015 - 2019)

Dinasti International Journal of Economics, Finance & Accounting ◽

10.38035/dijefa.v1i4.546 ◽

2020 ◽

Vol 1 (4) ◽

pp. 696-709

Author(s):

Rimada Diamanta Putri Diamanta Putri ◽

Pardomuan Sihombing

Keyword(s):

Stock Price ◽

Trading Volume ◽

Stock Exchange ◽

Abnormal Returns ◽

Sampling Technique ◽

Stock Trading ◽

Bid Ask Spread ◽

Significant Difference ◽

Stock Split ◽

Before And After

This research is motivated by companies that carry out corporate actions in the form of stock splits. The corporate action aims to increase the liquidity of the outstanding shares and to give a positive signal to the company's performance in the future. To find out whether this signal is true or not, it is necessary to test market efficiency 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 is the event study research with a quantitative approach. A sample of 66 companies using purposive sampling technique. The company under study is a company that carried out a stock split and is 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 data on sales of shares, number of shares outstanding, stock price (close price), price index. joint stock, stock offer and bid during the period 2015 - 2019. The results of the research through the Wilcoxon Signed Ranks Test with the results (1) There is no significant difference between stock trading volume before and after the stock split; (2) There is a significant difference between abnormal returns before and after the stock split; (3) There is no significant difference between the bid ask spread before and after the stock split.

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REAKSI PASAR MODAL DARI DAMPAK PERISTIWA HARI BESAR AGAMA ISLAM TERHADAP ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SAHAM PERUSAHAAN INDEKS JII YANG TERDAFTAR DI BURSA EFEK INDONESIA

Jurnal Manajemen Universitas Bung Hatta ◽

10.37301/jmubh.v15i1.17122 ◽

2020 ◽

Vol 15 (1) ◽

pp. 59-69

Author(s):

Septiana Endang Subekti ◽

Ika Yustina Rahmawati

Keyword(s):

Stock Returns ◽

Abnormal Return ◽

Trading Volume ◽

Secondary Data ◽

Volume Activity ◽

Significant Difference ◽

Before And After ◽

Abnormal Stock Returns ◽

The Impact ◽

Observation Period

The purpose of this study is to analyze the capital market reaction from the impact of religious holidays which will be indicated by the presence or absence of abnormal return and trading volume activity. The sample used is the Jakarta Islamic Index (JII). This type of research is event study so that the observation period is used to see reactions before and after the event occurs. The events used in this study were the Birthday of the Prophet Muhammad, Isra Mi'raj, Eid al-Fitr, Eid al-Adha and Islamic New Year. The observation period used is from 2014 to 2017. The research period used was 7 days before the event and 7 days after the event. Data sources are obtained from Yahoo Finance, Sahamok.com and IDX. The data used in this study are secondary data, such as stock closing prices, IHSG closing prices and stock trading volume. The analytical tool used to test the hypothesis in this study is a paired t-test. The results showed that Eid al-Adha holidays had a significant difference to the abnormal return and trading volume activity before and after holidays. There were no significant differences in the abnormal return and trading volume activity before and after the Miraj Isra holiday. While the birthday of the Prophet Muhammad SAW, Eid holidays and Islamic New Year holidays there is no significant difference between abnormal stock returns and there are differences in trading volume activity before and after holidays.

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Capital Market Reaction Against Political Events (Event Study of Demonstration 212 Peaceful Action )

10.31227/osf.io/pux46 ◽

2018 ◽

Author(s):

Sri Utami Ady

Keyword(s):

Stock Returns ◽

Event Study ◽

Capital Market ◽

Stock Price ◽

Abnormal Return ◽

Trading Volume ◽

Share Price ◽

Stock Trading ◽

Significant Difference ◽

Before And After

This study aimed to explain the reaction of the capital market (Event study) 212 demonstrations peaceful protest events against the share price of PT Nippon Indosari Corpindo Tbk on December 2016. The study was conducted at PT Nippon Indosari Corpindo Tbk. As one of the companies affected directly the event. The data used the daily closing stock price data, daily stock trading volume, and the number of outstanding shares obtained from the Indonesia Stock Exchange. By using a t test analysis, there were three hypotheses in this study, namely whether the investor obtain abnormal return to their events (H1), whether there was a difference of abnormal return before and after the event (H2), whether there were differences in the volume of stock trading before and after the event (H3). Results of tests made clear that investors did not earn abnormal return to their peaceful protest demonstration event 212, the results of tests performed also explained that there was no significant difference in abnormal stock returns and trading volume before and after the event. This was because the Indonesian people already familiar with the demonstrations that occurred in the country, so that market participants were more calm in dealing with the situation. The reaction of investors to the event in the Indonesian capital market was quite low indicates the level of efficiency of the Indonesian capital market was still weak

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Study of Comparison of Stock Performance Before And After Doing Split Stock In Go Public Companies That Are Listing on The Idx Period 2013 – 2015

Aptisi Transactions On Technopreneurship (ATT) ◽

10.34306/att.v2i1.48 ◽

2019 ◽

Vol 2 (1) ◽

pp. 1-17

Author(s):

R.A. Norromadani Yuniati ◽

Latof Syeikhur Rabbani ◽

Mirza Safitri Agatha Putri

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Rank Test ◽

Volume Activity ◽

Security Return ◽

Significant Difference ◽

Stock Split ◽

Before And After ◽

The Difference

This study aims to determine the difference in abnormal return, trading volume activity, and security return variability before and after the stock split announcement on companies listed on the Indonesia Stock Exchange for the period 2013 - 2015. Testing the information content will be done by looking at differences in average abnormal return, average security return variability and average trading volume activity five days before and five days after the announcement of the stock split. The data analysis method that will be used is descriptive statistical analysis and different tests before and after the stock split announcement using the Wilcoxon signed rank test. The results of this study indicate that there are significant abnormal return differences before and after the stock split announcement, there is no significant difference in trading volume activity before and after the stock split announcement, and there is no significant difference in security return variability before and after the stock split announcement.

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