DIFFERENT TEST OF ABNORMAL RETURN AND TVA BEFORE AND AFTER STOCK SPLIT ANNOUNCEMENT

This study aims to determine whether there are differences in abnormal return (AR) and trading volume activity (TVA) between before and after the announcement of a stock split. The data used in this study are secondary data from the Indonesia Stock Exchange (IDX). Sampling in this study used a purposive sampling method. With certain criteria obtained a sample of 30 companies. This study uses event studies to determine the information content contained in an event. Hypothesis testing conducted in this study uses the normality test and paired sample t-test. The results of testing the first hypothesis in this study indicate that there is no difference in AR between before and after the announcement of a stock split. This happens because investors consider the stock split announcement have no economic value and prefer to allocate their funds to companies that are truly able to provide a return. While in the second hypothesis testing found the same thing that there is no significant TVA difference between before and after the announcement of the stock split.k split.

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Analisis Reaksi Pasar Terhadap Pengumuman Merger dan Akuisisi Pada Perusahaan Akuisitor yang Terdaftar di BEI

E-Jurnal Akuntansi ◽

10.24843/eja.2018.v23.i03.p10 ◽

2018 ◽

pp. 1870

Author(s):

Ika Putri Adnyani ◽

Gayatri Gayatri

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Sampling Method ◽

Stock Exchange ◽

Cumulative Abnormal Return ◽

Test Results ◽

Volume Activity ◽

Paired Sample ◽

Analysis Technique ◽

Before And After

This research is conducted on all acquisition companies that conduct acquisitions listed on Indonesia Stock Exchange 2011-2016 period. Sampling method using purposive sampling. The number of samples of this research is 50 companies. The market reaction in this study used abnormal return and trading volume activity. The testing of information content will be done by looking at differences in cumulative abnormal return and the average trading volume of shares five days before and five days after the announcement of the acquisition. Data analysis technique used is paired sample t-test. Based on the test results, found there are significant differences in the abnormal return of the acquirer company before and after the announcement of the acquisition. However, there is no difference in trading volume activity of the acquirer's stock before and after the acquisition announcement Keywords: acquisitions, stock market, abnormal return, trading volume activity

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Analisis Pengaruh Tingkat Harga Saham, Return Saham, dan Volume Perdagangan Saham terhadap Stock Split ISSI Periode 2015– 2020

El-Mal: Jurnal Kajian Ekonomi & Bisnis Islam ◽

10.47467/elmal.v4i2.628 ◽

2021 ◽

Vol 4 (2) ◽

pp. 234-245

Author(s):

Farhan Maulana ◽

Ahmad Mulyadi Kosim ◽

Abrista Devi

Keyword(s):

Stock Prices ◽

Stock Price ◽

Trading Volume ◽

Stock Return ◽

Positive Impact ◽

Secondary Data ◽

Normality Test ◽

Stock Split ◽

Before And After ◽

Sample Test

For companies that collect funds from the public through capital from capital market, it can be used to meet capital needs and finance the company’s operation. So that company is expected not to rely on commercial debt financing both from within the country and abroad. With stock split, it is hoped that it will increase investors’ interest in buying affordable shares. This study aims to determine whether the stock split has an effect on stock prices, trading volume, and stock return. The method used by the researcher uses quantitative secondary data methods by using descriptive statistical data test, then use the kolgomorov smirnov normality test, and using theaverage paired sample test. The results of this research is that: 1) stock price have a significant effect after the stock split occurs, 2) while the trading volume has no significant effect after the stock split occours, 3) then stock return has a siginificant impact before and after the stock split because it is expected to have a positive impact for issuers and investors.

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Analisis Perbandingan Reaksi Investor Sebelum Dan Sesudah Pengumuman Indonesia Sustainability Reporting Awards (ISRA)

Al-Buhuts ◽

10.30603/ab.v14i01.468 ◽

2018 ◽

Vol 14 (02) ◽

pp. 123-143

Author(s):

Dwi Yana Amalia Sari Fala ◽

Septy Indra Santoso ◽

Ariska Amanda

Keyword(s):

Hypothesis Testing ◽

Abnormal Return ◽

Trading Volume ◽

Sampling Method ◽

Abnormal Returns ◽

Sustainability Reporting ◽

Test Results ◽

Volume Activity ◽

Paired Sample ◽

Before And After

The purpose of this research to analyze the reaction of investors, as measuring by differences in abnormal returns and trading volume activity before and after the announcement of Indonesia sustainability reporting awards in 2016. Using purposive sampling method was obtained Sample of research 10 companies with observation for three days before and three days after announcement. The Hypothesis testing used paired sample t-test. Results of the first hypothesis testing show that happen differences abnormal return before and after the announcement of Indonesia sustainability reporting awards but not significant, testing the second hypothesis too shows that are differences in trading volume activity before and after the announcement of Indonesia sustainability reporting awards but not significant.

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Comparative Analysis of Abnormal Returns of Stocks and UBS Gold Before and After the Announcement of the Covid-19 Pandemic

Almana : Jurnal Manajemen dan Bisnis ◽

10.36555/almana.v5i1.1541 ◽

2021 ◽

Vol 5 (1) ◽

pp. 64-70

Author(s):

Qamaral Shabrina Agfah ◽

Muhammad Azhari

Keyword(s):

Capital Market ◽

Abnormal Return ◽

Stock Exchange ◽

Abnormal Returns ◽

Secondary Data ◽

Pure Gold ◽

Normality Test ◽

Before And After ◽

Using Data ◽

Exchange Data

Currently, the economy and capital market in Indonesia are experiencing a decline in performance due to the COVID-19 pandemic. This research was conducted to analyze whether there is a difference in the return of shares in the transportation sub-sector and UBS gold to the current COVID-19 pandemic, by looking at changes in prices 7 days before and 7 days after the announcement of the COVID- 19 Pandemic announced by President Joko Widodo on March 2, 2020. The phenomena contained in this study were carried out by the event study with the abnormal return technique. This study using data in the form of secondary data and data taken by time series. The sample used in this research is data on the closing price of 7 days of 1-gram UBS pure gold before and after the COVID-19 pandemic and 23 shares of the transportation sub-sector listed on the Indonesia Stock Exchange. Data analysis used abnormal return, normality test, and paired sample t-test using IBM SPSS. This study found that there was no difference in the abnormal return of shares in the transportation sub-sector and UBS Gold at the time of the announcement of the COVID-19 pandemic in Indonesia by Joko Widodo.

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Reaksi Abnormal Return Dan Trading Volume Activity Sebelum dan Sesudah Ramadhan Effect

Jambura Accounting Review ◽

10.37905/jar.v1i1.9 ◽

2020 ◽

Vol 1 (1) ◽

pp. 48-58

Author(s):

Nina Atrina Kudusia ◽

Nilawaty Yusuf ◽

Muliyani Mahmud

Keyword(s):

Abnormal Return ◽

Trading Volume ◽

Research Method ◽

Stock Exchange ◽

Secondary Data ◽

Sampling Technique ◽

Volume Activity ◽

Before And After ◽

The Difference

This Research aims to find out the difference between the average of abnormal return and trading volume activity of the transportation companies’ stocks listed in Indonesia Stock Exchange, a period 2014-2018 before and after Ramadhan. The research method is a quantitative method. Th kind of data used is secondary data. The sample is 11 transportation companies listed ini Indonesia Stock Exchange during the period of 2014-2018, while the sampling technique applies purposive sampling. The findings show that there is no difference on the average of abnormal return before and after Ramdahan, and there is no difference on the average of trading volume activity in 2015 and 2018, whereas in 2014, 2016, and 2017 there is a difference on the average of trading volume activity. Meanwhile, the abnormal return and trading volume activity simultaneously influence toward Ramadhan effect with the result of the coefficient determination of 50%, it means that 50% of Ramadhan effect variable is explained by return and trading volume activity.

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

BISMA (Bisnis dan Manajemen) ◽

10.26740/bisma.v7n1.p34-44 ◽

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.

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Abnormal Return, Volume Activity Trading, and Their Signification of Indonesia Stock Exchange Index Share Prices Before and After the Ex-Dividend Date

ENDLESS : International Journal of Future Studies ◽

10.54783/endless.v2i2.55 ◽

2019 ◽

Vol 2 (2) ◽

pp. 61-69

Author(s):

Andini Nurwulandari

Keyword(s):

Stock Price ◽

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Critical Role ◽

Secondary Data ◽

Business Community ◽

Stock Index ◽

Primary Data ◽

Before And After

The stock market plays a critical role as a means of finance for the business community as an agency that promotes the execution of national growth. On the other hand, a capital market is also a place of investment for the community, including medium and small investors. This research uses a qualitative research type. Stock values, irregular returns, and trading volume behavior in members of the Indonesia Stock Exchange Index are the focus of this study. Primary data from the IDX was used as the database. Secondary data are used in this analysis. Closing values, the Indonesia Stock Exchange stock index, daily stock trading volume, and the number of outstanding shares were among the data sources used in this analysis. A paired sample t-test was used to test hypotheses. The results indicate a significant increase in overall stock price and market volume before and after the ex-dividend period, but no difference in the average abnormal return.

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Analisis Perbandingan Abnormal Return Dan Likuiditas Saham Sebelum Dan Sesudah Stock Split Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia Periode 2010-2015

Jurnal Manajemen Bisnis dan Kewirausahaan ◽

10.24912/jmbk.v2i1.4801 ◽

2019 ◽

Vol 2 (1) ◽

Author(s):

Cindy Hadiwijaya Dan Indra Widjaja

Keyword(s):

Abnormal Return ◽

Sampling Method ◽

Stock Exchange ◽

Rank Test ◽

Signed Rank ◽

Significant Difference ◽

Stock Split ◽

Before And After ◽

Signed Rank Test ◽

Observation Period

This research aims to find out whether there is a significant difference in abnormal return and liquidity of shares before and after stock split for companies listed in Indonesian Stock Exchange during 2010-2015. 46 samples were obtained using purposive sampling method. The observation period is 10 days before and after stock split announcement. Hypothesis was tested by using Wilcoxon Signed Rank Test with significant level of 0.05. The result of this research shows that there is a significant difference in abnormal return before and after stock split, while there is no significant difference of share’s liquidity before and after stock split.

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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 ◽

10.35917/tb.v19i2.172 ◽

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.

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ANALISIS PERBANDINGAN VOLUME PERDAGANGAN SAHAM SEBELUM DAN SESUDAH MELAKUKAN STOCK SPLIT PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2014-2016

Berkala Akuntansi dan Keuangan Indonesia ◽

10.20473/baki.v5i2.20002 ◽

2020 ◽

Vol 5 (2) ◽

pp. 97

Author(s):

Indrayani Indrayani ◽

Murhaban Murhaban ◽

Syatriani Syatriani

Keyword(s):

Trading Volume ◽

Stock Exchange ◽

Secondary Data ◽

Financial Statements ◽

Sampling Techniques ◽

Manufacturing Companies ◽

Stock Trading ◽

Stock Split ◽

Before And After ◽

Data Analysis Methods

This study aims to analyze the comparison of the trading volume of shares before and after a stock split on companies listed on the Indonesia stock exchange in 2014-2016. This study uses secondary data in the form of annual financial statements of manufacturing companies in the Indonesia stock exchange in 2014-2016. The number of samples in this study is 30 companies selected using Purposive sampling techniques based on certain criteria. Data analysis methods used in this study are descriptive statistical methods and normality tests. Based on the results of hypothesis testing conducted, it shows that there are differences in the volume of stock trading before and after a stock split on companies listed on the Indonesia Stock Exchange in 2014-2016.

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