scholarly journals PENGARUH STOCK SPLIT TERHADAP PERUBAHAN HARGA SAHAM YANG LISTED DI BURSA EFEK SURABAYA

2016 ◽  
Vol 7 (1) ◽  
pp. 56
Author(s):  
Sugiyono Sugiyono
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Price Index ◽  
Volume Activity ◽  
Index Model ◽  
Single Index Model ◽  
Closing Price ◽  
Stock Split ◽  
Sample Test ◽  
Actual Return

Stock   Split   merupakan kebijakwnaan yang ditempuh perusahaan untuk memperoleh tanggapan positip   dari  imestor,  dengan  split  diharapkan   volume  perdagangan   saham meningkat, dengan demikian return pemenang saham meningkat juga. Untuk membuktikan, maka diperlukan penxamatan pada sekitar hari pemecahan saham atau jendela pengamatan, yang meliputi data closing price, index harga saham gabungan, dan trading volume activity, serta jumlah saham yang beredar untuk setiap perusahaan anggata sampel. Kemudian dilakukan perhitungan-perhitungan terhadap Actual  return, Market return, Persamaan  regresi single index model, uji sign fikansi persamaan  regresi, Hxpected  return, Abnormal  return,  Rata-rata  abnormal  return, Likuiditas  saham.Pengujian  dilakukan  dengan  one sample  test maupun dengan gmup sample  test  terhadap Averafge  Abnormal  return,  Likuiditas saham,  maupun Average  Actual  return.Hasil pengujian menunjukan: investor tidak mempero/eh abnormal return, abnormal return soma antara sebelum dan sesudah split likuiditas saham meningkat pada hari-hari tertentu sesudah split, likuiditas perdagangan saham sesudah split lebih besar dibanding sebelum split, average actual return tidak herheda dengan nol, actual return sesudah split sama dengan sebelum split.   

scholarly journals REAKSI PASAR MODAL INDONESIA TERHADAP PEMILIHAN PRESIDEN AMERIKA SERIKAT TAHUN 2020

2021 ◽  
Vol 7 (2) ◽  
pp. 189-202
Author(s):  
Jidan Apriyanto ◽  
Sri Mulyantini ◽  
Nurmatias Nurmatias
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Abnormal Returns ◽  
T Test ◽  
Rank Test ◽  
Volume Activity ◽  
Index Model ◽  
Single Index Model ◽  
Signed Rank ◽  
Signed Rank Test

ABSTRAKTujuan penelitian ini adalah untuk mengetahui reaksi pasar modal Indonesia ketika terjadi peristiwa politik di Internasional. Perusahaan LQ45 periode Agustus 2020–Januari 2021 dipilih sebagai populasi dan sampel dengan menggunakan metode sample jenuh. Teknik single index model digunakan untuk mencari abnormal return.  Periode jendela peristiwa lima belas hari, dan tiga puluh hari periode estimasi dengan teknik analisis data gabungan antara One Sample t-test, One Sample Wilcoxon Signed Rank Test, dan Paired Sample t-test. Hasil analisis menunjukan tidak terdapat imbal hasil tak normal yang signifikan di sekitar periode peristiwa, tetapi kondisi abnormal return sebelum dan sesudah peristiwa pilpres AS 2020 mengalami perbedaan yang signifikan. Terdapat trading volume activity yang signifikan selama lima belas hari di sekitar periode peristiwa tersebut. Terjadi reaksi di LQ45 pada abnormal return tetapi tidak signifikan dengan trading volume activity yang signifikan. Dengan mempertimbangkan kedua hal tersebut pada saat terjadinya suatu peristiwa politik, investor dapat mengambil sikap dengan menggunakan analisis mendalam tentang kecenderungan return yang terdapat di sebuah pasar modal. ABSTRACTThe purpose of this research is to determine the reaction of the Indonesian capital market when international political events occur. LQ45 companies for the period August 2020–January 2021 were selected as the population and sample, using the saturated sample method. With the single index model technique to find the abnormal return. The event window period is fifteen days, and the estimation period is thirty days with a combined data analysis technique between One Sample t-test, one sample Wilcoxon Signed Rank Test and Paired Sample t-test. The results of the analysis showed that there were no significant abnormal returns around the event period, but the abnormal return conditions before and after the 2020 US presidential election experienced significant differences. There was significant trading volume activity for fifteen days around the event period. There was a reaction in LQ45 on abnormal returns but not significant with significant trading volume activity. By considering these two things when a political event occurs, investors can take a stand by using an in-depth analysis of the trend of returns in a capital market.

scholarly journals Analisis Efek Ramadhan Terhadap Abnormal Return dan Trading Volume Activity pada Perusahaan Yang Masuk dalam Jakarta Islamic Index (JII) di Bursa Efek Indonesia Periode 2014-2018

AL-TIJARY ◽  
2019 ◽  
Vol 5 (1) ◽  
pp. 37-47
Author(s):  
Ahmad Faih ◽  
Rohmatun Nafiah
Keyword(s):  
Significant Influence ◽  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Price Index ◽  
Stock Exchange ◽  
Secondary Data ◽  
T Test ◽  
Volume Activity ◽  
Stock Price Index

This study is a study of events aimed at knowing the effects of Ramadhan, to companies listed on the Jakarta Islamic Index on the Indonesia Stock Exchange period 2014-2018, using abnormal return and trading volume activity indicators. This study uses secondary data in the form of daily stock price index for the period 2014-2018 , Composite Stock Price Index (IHSG) and trading volume, with the population of companies entering the Jakarta Islamic Index on The Indonesian Stock Exchange , The statistical test used to test the hypothesis is the normality test, and the paired sample t-test. Result of T-test on Abnormal Return between year 2014-2018 know that there is no significant influence between Ramadhan month to abnormal return from year 2014 until 2018. While for T-test on trading volume activity between year 2014 until 2018 know that only in 2014, 2015, and 2017, 2018 there are significant influence which means the market responds to the event. The result of the test of Ramadhan event has the information even though it does not happen in every year of the research period, this is because Ramadhan is a routine event occuring in Indonesia so investors have been able to predict how the stock movemonts in Indonesia Stock Exchange.

Analisis Perbandingan Abnormal Return dan Trading Volume Activity Sebelum dan Sesudah Stock Split Periode 2015-2016

2020 ◽  
Vol 13 (2) ◽  
Author(s):  
Andri Hirmawan
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Volume Activity ◽  
Stock Split ◽  
Range Test

Abstrak Penelitian ini bertujuan untuk menganalisis perbandingan efek yang terjadi pada abnormal return dan aktivitas volume perdagangan sebelum dan sesudah peristiwa stock split pada saham syariah dan saham konvensional. Penelitian ini berfokus pada apakah ada perbedaan atau tidak dalam menanggapi peristiwa stock split di kelas saham syariah dan kelas saham konvensional. Metode analitik yang digunakan dalam menguji hipotesis adalah metode Uji Wilcoxon Signed Range. Populasi dalam penelitian ini dibagi menjadi dua kategori, stok syariah dari semua emiten yang melakukan stock split dalam Indeks Saham Syariah Indonesia (ISSI) dan stok konvensional dari semua emiten yang melakukan stock split di Bursa Efek Indonesia (BEI). Hasil Wilcoxon Signed Range Test terhadap rata-rata return saham abnormal dari saham syariah dan saham konvensional ditemukan bahwa terdapat perbedaan yang signifikan pada abnormal return sebelum dan sesudah stock split dengan signifikansi 0,036 0,05. Hasil Wilcoxon Signed Range Test terhadap rata-rata aktivitas volume perdagangan saham Islami dan konvensional menyatakan perbedaan adalah aktivitas volume perdagangan signifikan sebelum dan setelah stock split dengan signifikansi 0,035

scholarly journals Analisis Perbandingan Abnormal Return,Trading Volume Activity, dan Bid-Ask Spread Sebelum dan Sesudah Stock Split

2018 ◽  
Vol 7 (1) ◽  
pp. 34
Author(s):  
Fahrizal Anwar ◽  
Nadia Asandimitra
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Bid Ask Spread ◽  
Stock Split ◽  
Before And After ◽  
Bid Ask Spreads

Stock splits or stock split is to break a piece of stock into n shares so that the new price per share after the stock split is 1 / n of the previous price.This study aims to investigate the market reaction to the announcement of the stock split the company listed in Indonesia Stock Exchange Period 2012-2013. The market reaction is indicated by the presence or absence of abnormal return differences, trading volume activity, and bid-ask spreads before and after the stock split announcement.Type of research is a study of events (event study).The study sample as many as 17 companies based on purposive sampling.Testing is done with a period of 5 days before and 5 after the announcement of the stock split.The technique of data analysis performed using paired sample t-test on abnormal returns while Wilcoxon signed ranks test on trading volume activity and bid-ask spreads.

Efek Hari Libur Lebaran Pada Emiten Yang Terdaftar Dalam ISSI Periode 2011-2013

2015 ◽  
Vol 2 (5) ◽  
pp. 372
Author(s):  
Venny Julia Utomo ◽  
Leo Herlambang
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Volume Activity ◽  
Stock Trading ◽  
Market Reactions ◽  
Average Abnormal Return ◽  
Before And After ◽  
Sample Test ◽  
Abnormal Trading Volume ◽  
The Difference

This research aims to analyze the market reactions of Eid Mubarak Holiday which is indicated by the presence of average abnormal return and average abnormal trading volume activity on issuers in ISSI list within 2011-2013 period, and especially for the issuers which engaged in the field of food and drinking product industries, also retail industries as well.The method used in this research is event study which will analyze the alteration of price movements and volume of stock trading before and after Eid Mubarak Holiday. The hypothesis of this research is the presence of trading reaction that indicated by average normal return and the difference of average abnormal trading volume activity before and after Eid Mubarak Holiday. This research testing uses one sample-test to seek if there are any average normal returns around Eid Mubarak Holiday, while paired sample-test is used to test the difference of average normal trading volume activity before and after Eid Mubarak Holiday. The writer did the research within 41 days, divided into two periods. 30 days before Eid Mubarak Holiday and 10 days after Eid Mubarak Holiday. The amount of sample in this research is 31 issuers which have met the sampling criteria using purposive sampling.The result of the first hypothesis indicates that there is insignificant average abnormal return, while the second hypothesis indicates the difference of significant average abnormal trading volume activity.

scholarly journals Analisis Perbandingan Trading Volume Activity, Bid-Ask Spread dan Abnormal Return Sebelum dan Sesudah Adanya Pengumuman Stock Split pada Perusahaan yang Terdaftar di Bursa Efek Indonesia Periode Januari 2015-Oktober 2018

Telaah Bisnis ◽  
2020 ◽  
Vol 19 (2) ◽  
pp. 95
Author(s):  
Anis Zakiyah ◽  
Hari Nurweni
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Rank Test ◽  
Volume Activity ◽  
Bid Ask Spread ◽  
Stock Split ◽  
Before And After ◽  
Signed Rank Test

This study aims to analyze the differences in trading volume activity, bid-ask spread, and abnormal returns before and after the announcement of a stock split in companies listed on the Indonesia Stock Exchange from January 2015 to October 2018. A sample of 39 companies announced a stock split during the period are selected based on certain criteria. The Wilcoxon Signed Rank test is used to analyze the differences in trading volume activity, bid-ask spread, and abnormal returns, five days before and after the announcement. The use of nonparametric statistical analysis was carried out because the data were not normally distributed. The results show that there is no difference in trading volume activity around the announcement of the stock split. On the other hand, the bid-ask spread and abnormal return are statistically different around the announcement of the stock split.

scholarly journals REAKSI PASAR TERHADAP PERISTIWA STOCK SPLIT DI BURSA EFEK INDONESIA

2019 ◽  
Vol 8 (4) ◽  
pp. 2252
Author(s):  
I Putu Purwata ◽  
I Gst. Bgs Wiksuana
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Rank Test ◽  
Volume Activity ◽  
Signed Rank ◽  
Wilcoxon Signed Rank Test ◽  
Stock Split ◽  
Signed Rank Test

Penelitian ini bertujuan untuk mengetahui reaksi pasar terhadap peristiwa stock split yang diukur dengan mengamati perbedaan abnormal return (AR) dan trading volume activity (TVA) antara sebelum dan sesudah peristiwa stock split. Penelitian ini menggunakan pendekatan event study dengan periode pengamatan 10 hari sebelum peristiwa stock split, satu hari peristiwa stock split, dan 10 hari sesudah peristiwa stock split. Data sekunder diperoleh di BEI. Sampel pada penelitian ini sebanyak 43 perusahaan yang melakukan stock split pada tahun 2015 sampai 2017. Metode pengumpulan data yang digunakan dalam penelitian ini adalah data sekunder berupa harga saham, indeks harga saham gabungan dan volume perdagangan saham. Selanjutnya Uji hipotesis yang digunakan adalah Wilcoxon Signed Rank Test dengan menggunakan program SPSS versi 24. Kesimpulan dari penelitian ini adalah terdapat reaksi pasar yang terjadi, terlihat adanya perbedaan yang signifikan antara abnormal return (AR) dan trading volume activity (TVA) sebelum dan sesudah peristiwa stock split. Kata kunci: reaksi pasar, peristiwa stock split, abnormal return, trading volume activity.                  

scholarly journals ANALISIS TRADING VOLUME ACTIVITY DAN AVERAGE ABNORMAL RETURN SEBELUM DAN SESUDAH MELAKUKAN PEMECAHAN SAHAM (STOCK SPLIT) PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA.

2017 ◽  
Vol 18 (2) ◽  
pp. 164
Author(s):  
Anita Tri Utami
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Volume Activity ◽  
Event Window ◽  
Bid Ask Spread ◽  
Analysis Technique ◽  
Average Abnormal Return ◽  
Stock Split ◽  
Before And After

This research is titled “Analysis of Trading volume activity and Average Abnormal Return beforeand after the stock split pada companies listed on the bursa efek indonesia” . this researchaims to analysing is there any differences between the abnormal return and the trading volumeactivity before and after the stock split. The data that have been used in this research are thedaily stock price and the IHSG of the companies who did the stock split in 2011 till 2015.Bythe purposive sampling methods, there is 32 companies who did the stock split that listed onthe bursa efek indonesia. Analysis technique that has been used is Uji normalitas dan uji bedadua sampel berhubungan uji wilcoxon with the event window is 5 days before and 5 days afterthe stock split.The result of this research is show that there is 0,024 < 0,05 significant valuefrom the Pengujian Uji Beda between trading volume activity before and trading volume activityafter stock split. Based on that fact, there is 0,033 < 0,05 significant value from pengujian ujibeda between abnormal return before and bid-ask spread after the stock split. Thus can beinterpreted that there is a difference between abnormal return before and after stock split. Sothat the Indonesia Capital market is yet efficient and yet strong enough by the stock split.Keywords: Stock split, Abnormal Return, Trading volume activity.

scholarly journals The Impact of Stock Split on the Performance in Indonesian Manufacturing Companies

2018 ◽  
Vol 9 (1) ◽  
pp. 39
Author(s):  
Natali Yustisia
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Wilcoxon Test ◽  
Manufacturing Companies ◽  
Volume Activity ◽  
Bid Ask Spread ◽  
Stock Split ◽  
Kolmogorov Smirnov ◽  
The Impact

The purpose of this research was to analyze whether the stock split had an impact on liquidity and return stock in 18 manufacturing companies listed on the Indonesia Stock Exchange (BEI) from 2012 to 2015. The stock performance used in this research was trading volume activity, bid-ask spread, and abnormal return in five days before and five days after the stock split. Data analysis method used was quantitative method by using SPSS 21 with the Kolmogorov-Smirnov normality test, paired sample t-test, and Wilcoxon test. The findings indicate that stock split does not affect the trading volume activity, bid-ask spread, and abnormal return.

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