ANALISIS PENGARUH SEBELUM DAN SETELAH STOCK SPLIT TERHADAP LIKUIDITAS SAHAM DAN DAMPAKNYA TERHADAP RETURN SAHAM (Survei Pada Perusahaan Yang Terdaftar di Bursa Efek Indonesia Tahun 2005-2015)

2017 ◽  
Vol 9 (2) ◽  
pp. 9-20
Author(s):  
Surtikanti - ◽  
Erwin Indra Kusumah
Keyword(s):  
Event Study ◽  
Stock Split

Pasar modal dibangun dengan tujuan menggerakkan perekonomian suatu negara melalui kekuatanswasta dan mengurangi beban negara. Investasi merupakan penundaan konsumsi pada saat inidengan tujuan mendapatkan tingkat pengembalian (return) yang akan diterima di masa yang akandatang. Stock split dibuat untuk menambah likuiditas pergerakan saham dan memungkinkan investorritel masuk lebih banyak sehingga aktivitas volume perdagangan lebih meningkat. Fenomena yangterjadi dibeberapa perusahan yang terdaftar di Bursa Efek Indonesia dibawah ini melakukan stocksplit dengan tujuan agar sahamnya menjadi likuid atau aktivitas volume perdagangan (trading volumeactivity) sahamnya makin besar setelah melakukan stock split, ternyata hal ini di Bursa EfekIndonesia tidak terjadi. Metode yang digunakan dalam penelitian ini adalah metode explonatorysurvey yang berdasarkan pada studi peristiwa (event study). Dengan menggunakan dua alat analisisyaitu analisis komparatif dan analisis jalur. Hasil penelitian menunjukkan bahwa terdapat perbedaanyang tidak signifikan pada likuiditas saham dan return saham sebelum dan setelah stock split terjadi.Sedangkan stock split berpengaruh signifikan terhadap likuiditas saham. Likuditas sahamberpengaruh signifikan terhadap return saham. Jadi stock split melalui likuiditas saham berpengaruhsignifikan terhadap return saham.   

scholarly journals Harga Saham Sebelum dan Sesudah Stock Split

2020 ◽  
Vol 3 (2) ◽  
pp. 390-395
Author(s):  
Junita Putri Rajana Harahap ◽  
Murni Dahlena Nasution
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Research Method ◽  
Price Difference ◽  
Significant Difference ◽  
Stock Split ◽  
Before And After ◽  
A Company

The stock split causes the stock price to be cheaper so that it will attract potential investors to buy the stock. This research was conducted to determine when it is time for a company to do a stock split, information available on the capital market can be used by investors for consideration before investors make a decision to invest in shares. The study aims to determine the changes that occur in stock prices before and after the stock split policy by the company. The research method used in this research is event study research with a quantitative approach. This study examines how significant the stock price difference is after a stock split policy. The sample used in this study were all companies that carried out the 2016-2018 stock split policy. The results of research on companies that become samples have shown that the average stock price before the announcement of the stock split policy has no significant difference with the average stock price after the announcement of the stock split policy Keywords : Stock Price, Stock Split

An Empirical Study of Stock Split Announcements of Select BSE Sectors Using Event Study Methodology

2015 ◽  
Vol 6 (1) ◽  
pp. 1 ◽  
Author(s):  
Asha Nadig
Keyword(s):  
Health Care ◽  
Stock Market ◽  
Event Study ◽  
Abnormal Returns ◽  
Market Model ◽  
Stock Splits ◽  
Consumer Durables ◽  
Stock Market Reaction ◽  
Stock Split ◽  
Indian Stock Market

This study examines the stock market reaction to stock splits between 2002 and 2013 of 6 sectors of BSE-Auto, Bankex, Consumer Durables, FMCG, Health Care and IT sectors to find out if the Indian stock market is semi-strong efficient or not. The methodology used is event study under the market model. Samples of 14 stock splits are considered spread across 6 sectors. The results indicate that there are significant positive abnormal returns prior to split announcements. On the day of split announcement, 1 sector reacts positively (Health Care-3.3%) and the 5 react negatively (Auto -1%, Bankex -0.9%, CD -0.3%, FMCG -1%, and IT-1%). The results indicate that the null hypothesis, H<sub>0</sub>1, that there is no significant AAR around the stock split announcement dates is accepted.

scholarly journals Dampak Stock Split terhadap Abnormal Return dengan Pendekatan Event Study pada Emiten yang Terdaftar di Bursa Efek Indonesia

2021 ◽  
Vol 4 (2) ◽  
Author(s):  
Achmad Azis Fauzi ◽  
Ali Mutasowifin
Keyword(s):  
Event Study ◽  
Sampling Method ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
T Test ◽  
Test Results ◽  
Study Approach ◽  
Stock Split ◽  
Range Theory ◽  
Sample Category

Investing in stock instruments in the capital market is interesting for many investors, both local and foreign. However, when the price of stocks is considered too expensive, that will reduce the purchasing power of investors towards these shares and the liquidity of the shares will decrease as well that will impact the decreasing returns of investors. Overcoming this condition, companies often take corporate action in the form of a stock split. This study analyzes the effect of stock split on abnormal returns of companies listed on the Indonesia Stock Exchange in 2015-2019. Using a purposive sampling method (nonprobability sampling) we obtained 34 companies as a research sample. We use the event study approach for data processing in finding abnormal returns and t-test as well. This study classifies samples into two categories, complex sample category, and sectoral industries. The result shows that for the complex category, there are three out of eleven days of events that have an impact on abnormal returns marked by the t-test results greater than t-table. Whereas in each sectoral industries there are only five affected sectors, three unaffected sectors and one sector cannot be tested due to insufficient data. This result is also consistent with theories related to the stock split, signaling theory, and trading range theory.

scholarly journals REAKSI PASAR ATAS STOCK SPLIT PADA PASAR MODAL SYARIAH INDONESIA DAN MALAYSIA PERIODE 2015-2019

2020 ◽  
Vol 7 (4) ◽  
pp. 734
Author(s):  
Fadlilah Fadlilah ◽  
Bayu Arie Fianto
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Abnormal Return ◽  
Market Reaction ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
T Test ◽  
Market Reactions ◽  
Stock Split ◽  
Observation Period

This study aims to determine the market reaction to the stock split in the market. This research uses a quantitative approach using the event study method to analyze market reactions to an event. The analysis technique uses the One Sample t-Test to see market reactions and the Independent Sample t-Test to determine whether there is a difference between the Indonesian and Malaysian Islamic capital markets with a 21-day observation period consisting of 10 days before the stock split announcement (t -10), day of stock stock announcement (t0 or t = 0), and 10 days after stock split announcement (t + 10). The results of this study, based on statistical tests with α = 5%, found a significant abnormal return around the stock split announcement on the Indonesian Islamic capital market. AAR significant as much as 4 days and CAAR significant as much as 18 days during the observation period. In the Malaysian Islamic capital market, abnormal returns were also found to be significant around the stock split announcement. AAR is significant for 3 days during the observation period, 1 day before the announcement of the stock split, during the announcement of the stock split, and 1 day after the announcement of the stock split. A significant CAAR of 19 days during the observation period. In the independent sample t-test, AAR Indonesia and Malaysia obtained sig. (2-tailed) of 0.658. In the CAAR test, Indonesia and Malaysia obtained sig. (2-tailed) of 0.563. So there is no difference between the Indonesian and Malaysian sharia capital market reactions.Keywords: Market Reaction, Stock Split, Abnormal Return, Event Study

scholarly journals ANALISIS ABNORMAL RETURN DAN LIKUIDITAS SAHAM SEBELUM DAN SESUDAH STOCK SPLIT PERIODE 2008-2012

2015 ◽  
Vol 11 (1) ◽  
pp. 10
Author(s):  
Wening Asriningsih
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
T Test ◽  
Rank Test ◽  
Signed Rank ◽  
Significant Difference ◽  
Wilcoxon Signed Rank Test ◽  
Stock Split ◽  
Before And After ◽  
Signed Rank Test

Abstrak: Analisis Abnormal Return dan Likuiditas Saham Sebelum dan Sesudah Stock Split Periode 2008-2012. Penelitian ini bertujuan untuk mengetahui perbedaan abnormal return dan likuiditas saham sebelum dan sesudah stock split di perusahaan yang terdaftar di Bursa Efek Indonesia periode 2008-2012. Penelitian ini menggunakan desain event study, dimana dilakukan pengamatan 10 hari sebelum dan 10 hari sesudah peristiwa. Analisis data yang digunakan dalam penelitian ini adalah Uji Paired Sampel t-test dan Uji Wilcoxon Signed Rank test. Hasil penelitian menunjukkan bahwa tidak terdapat perbedaan abnormal return namun terdapat perbedaan likuiditas yang signifikan sebelum dan sesudah stock split periode 2008-2012. Hasil penelitian ini juga menunjukkan bahwa stock split mampu meningkatkan likuiditas.Kata kunci: stock split, abnormal return, likuiditas.Abstract: The Analysis of Abnormal Return and Liquidity Before and After Stock Split in 2008-2012. This study is aimed to find out the differences abnormal return and liquidity before and after stock split at the companies listed for the period of 2008 – 2012. This study is using event study, in which the writer observed within 10 days before and 10 days after the event date. Data analysis that is uses in this research is Paired Sample t-test and Wilcoxon Signed Rank test. The result of the study show that: there was no differences in abnormal return but there was a significant difference in liquidity before and after stock split. The result of this study indicate the stock split may improve liquidity.Key words: stock split, abnormal return, liquidity

scholarly journals Apakah Stock Split Memberikan Keuntungan Tidak Normal?

2020 ◽  
Vol 12 (1) ◽  
pp. 9-17
Author(s):  
Mohammad Arridho Nur Amin
Keyword(s):  
Event Study ◽  
T Test ◽  
Expected Return ◽  
Paired Sample ◽  
Signalling Theory ◽  
Stock Split ◽  
Data Volume ◽  
Adjusted Model

Stock Split adalah salah satu aksi korporasi yang dilakukan oleh perusahaan untuk dapat menjangkau investor yang lebih banyak dengan cara memecah saham yang nilainya dinilai sudah terlalu tinggi menjadi nominal yang lebih kecil, penelitian ini dilakukan untuk melihat dan menganalisis apakah terdapat keuntungan tidak normal sebelum dan sesudah stock split dan aktivitas volume perdagangan saham sebelum dan sesudah perusahaan melakukan stock split sesuai dengan signalling theory yang digunakan. Sampel yang digunakan adalah perusahaan yang melakukan stock split yang terdaftar di Bursa Efek Indonesia tahun 2015-2019. Penelitian ini menggunakan event study, dengan periode pengamatan 5 hari sebelum dan 5 hari setelah peristiwa stock split. Penelitian ini menggunakan data sekunder berupa data harga saham perusahaan harian, data volume perdagangan perusahaan harian, serta data saham beredar dari perusahaan-perusahaan sampel yang terdaftar di Bursa Efek Indonesia. Pengambilan sampel menggunakan metode pusposive sampling, sehingga sampel dalam penelitian ini berjumlah 28 perusahaan. Penghitungan expected return dalam penelitian ini menggunakan metode Market Adjusted Model. Pengujian terhadap hipotesis menggunakan uji beda paired sample t-test. Temuan empiris pada penelitian ini menunjukkan bahwa perbedaan dari keuntungan tidak normal dari stock split tidak ada perbedaan signifikan, hasil yang sama didapatkan pada aktivitas volume perdagangan saham yang menunjukkan hasil tidak ada perbedaan atas stock split yang dilakukan perusahaan

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 Reaksi Pasar Atas Stock Split Pada Emiten Saham Syariah di Bursa Efek Indonesia Periode 2011-2014

2015 ◽  
Vol 2 (8) ◽  
pp. 658
Author(s):  
Aldila Vania Jasmine ◽  
Leo Herlambang
Keyword(s):  
Event Study ◽  
Market Reaction ◽  
T Test ◽  
Quantitative Approach ◽  
Stock Index ◽  
Paired Sample ◽  
Corporate Action ◽  
Event Study Method ◽  
Stock Split ◽  
Before And After

The aims of this study are to identify and explain the market reaction as the result of corporate action in the form of stock split managed by the stock issuers registered with Jakarta Islamic Index and Indonesia Sharia Stock Index from period 2011 to 2014.This study used quantitative approach with event study method. Those stock issuers also have to perform the stock split and have been registered with ISII and JII to fulfill the requirements of this study. While the focus of this study is the reaction indicated by the change of AAR and CAAR by doing several test such as one sample t-test and paired sample t-test by defining the level of significant in the amount of 5%.The results of the study indicate there is no significance difference in the AAR before and after the stock split, but there is a quite significance difference in the CAAR.

scholarly journals Stock Split Rule Changes and Stock Liquidity: Evidence from Bursa Malaysia

2021 ◽  
Vol 14 (9) ◽  
pp. 406
Author(s):  
S. Amir Tabibian ◽  
Zhaoyong Zhang ◽  
Abdollah Ah Mand
Keyword(s):  
Event Study ◽  
Stock Liquidity ◽  
The Third ◽  
Stock Split ◽  
Rule Changes ◽  
Study Methodology ◽  
The Impact ◽  
Second Period ◽  
Positive Effect ◽  
Event Study Methodology

We test the impact of stock split rule changes on liquidity behavior in Bursa Malaysia during 2004–2020. Using event study methodology, this study examines stock liquidity on and around stock split days through three subperiods of study, including the first (2004–2006), second (2007–2009), and third (2010–2020) period. We find that liquidity improvement is short-lived in the first and second periods, while it is a long-lived phenomenon in the third period. Firms in the first and second period experienced liquidity improvement only on the split announcement day, while it lasts up to a year after the Ex-date for firms in the third period. Our findings also show a liquidity improvement after the Ex-date only in the third period for the groups of firms categorized based on the liquidity, split factor, and other simultaneous announcements. The findings suggest a positive effect of stock split rule changes implemented by the Securities Commission.

scholarly journals REAKSI PASAR TERHADAP PENGUMUMAN STOCK SPLIT PT. HANJAYA MANDALA SAMPOERNA TBK. TAHUN 2016

2018 ◽  
Vol 3 (1) ◽  
Author(s):  
Najmy A’la
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
T Test ◽  
Volume Activity ◽  
Paired Sample ◽  
Bid Ask Spread ◽  
Stock Split ◽  
Smirnov Test

Pemecahan saham atau stock split adalah memecah selembar saham menjadi n lembar saham. Penelitian ini bertujuan untuk mengetahui adanya reaksi pasar sebelum dan sesudah pengumuman stock split pada PT. Hanjaya Mandala Sampoerna Tbk (HMSP) tahun 2016. Reaksi pasar ini ditunjukan dengan ada tidaknya perbedaaan abnormal return, trading volume activity,dan bid-ask spread. Jenis penelitian ini adalah studi peristiwa (event study). Penelitian ini menggunakan periode pengamatan 5 hari sebelum dan 5 hari sesudah stock split dengan teknik analisis uji normalitas (One sample kolmogrov smirnov test) dan uji hipotesis (Paired Sample t-Test). Hasil menunjukan bahwa tidak ada perbedaan pada abnormal return periode sebelum-sesudah stock split. Tidak ada perbedaan pada trading volume activity periode sebelum-sesudah stock split. Tidak ada perbedaan bid-ask spread periode sebelum-sesudah stock split.

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