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)

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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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 Investor di Bursa Efek Indonesia pada Pelantikan Joko Widodo

Jurnal Pendidikan Ekonomi Undiksha ◽

10.23887/jjpe.v12i1.21514 ◽

2020 ◽

Vol 12 (1) ◽

pp. 50

Author(s):

Komang Lia Karina ◽

I Nyoman Sujana ◽

M. Rudi Irwansyah

Keyword(s):

Trading Volume ◽

Stock Exchange ◽

Abnormal Returns ◽

Secondary Data ◽

Wilcoxon Test ◽

Stock Index ◽

Stock Trading ◽

Significance Level ◽

Significant Difference ◽

Before And After

This study aimed to analyze the reaction of investors on Indonesia Stock Exchange to the inauguration of the 8th President by observing whether there were any significant differences in abnormal returns and stock trading volume activities before and after the event. The observation period used in this study was 10 days, with details of each 5 days before and after the President's inauguration event that occurred on 20 October 2019. This research was quantitative research and used daily transaction data on the market capital as a secondary data source. The samples used were companies that were included in the LQ45 stock index for the period August 2019 - January 2020. A non-parametric test in the form of Wilcoxon test was used to test the hypothesis. The results of this study showed that there were no significant difference in abnormal return and stock trading volume activity in the period before and after the event. This was evidenced by the probability value above the significance level of 5%. Thus, the results of this study were stated that there was no reaction from the investor related to the event of the inauguration of the 8th President in Indonesia.

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PENGARUH VOLUME PERDAGANGAN SAHAM DAN HARGA SAHAM TERHADAP BID-ASK SPREAD STUDI PADA PERUSAHAAN-PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA

Jurnal Manajemen dan Bisnis ◽

10.54367/jmb.v16i2.132 ◽

2017 ◽

pp. 62-74

Author(s):

Ruminsar Nainggolan ◽

Donalson Silalahi

Keyword(s):

Stock Prices ◽

Stock Price ◽

Trading Volume ◽

Stock Exchange ◽

Sampling Technique ◽

Multiple Regression Equation ◽

Manufacturing Companies ◽

Stock Trading ◽

Bid Ask Spread ◽

Bid Ask Spreads

ABSTRACT The purpose of this study is to determine the effect of stock trading volume and stock prices on bid-ask spreads on manufacturing companies listed on the Indonesia Stock Exchange. The population in research is 155 companies and by using purposive sampling as sampling technique, then the sample in this research is 46 company. The data used are secondary data and use multiple regression equation as an analytical tool. Based on the results of the research it can be argued that, trading volume and stock prices have a negative and significant effect on the bid-ask spread both before and after the data grouping. The results also show that stock trading in Indonesia Stock Exchange is liquid. Investors or potential investors who want to invest in the capital market should make trading volume and stock price as a reference in making investment decisions, because simultaneously these two variables have a significant effect on bid-ask spreads.

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Price Fraction Changes Impact on Stock Trading Indicators: An Events Study on Indonesia Stock Exchange

The Winners ◽

10.21512/tw.v20i1.5103 ◽

2019 ◽

Vol 20 (1) ◽

pp. 1

Author(s):

Adi Teguh Suprapto ◽

Mulyono Mulyono ◽

Danang Prihandoko

Keyword(s):

Stock Price ◽

Trading Volume ◽

Stock Exchange ◽

Volume Data ◽

Stock Trading ◽

Significant Difference ◽

Indicator Variables ◽

Before And After ◽

Data Volume ◽

The Difference

This research presented differences of stock price fraction system to stock trading indicator variables such as volume, value, and frequency of stock trading transactions on companies listed in Indonesia Stock Exchange. The purpose of this research was to measure and analyze the difference of stock price fraction system to stock trading indicator variables. Sample determination based on the sampling method was saturated, i.e., the technique of determining the sample by using all members of the population as a sample. The sample in this research used JCI data as it represents the 115 issuers listed on the Indonesia Stock Exchange during the research period. This research used Mann-Whitney U Test to find out whether there were differences between two groups of data that were not related (independent) with the classification; group 1 was the volume data, the value and frequency of stock trading before the new price fraction that was applied 02 May 2016. While the second group data volume, value and frequency of stock trading after applying the new price fraction 02 May 2016. This research finds that the stock trading indicators reflected by the trading volume of stocks, the value of the stock, and the frequency of stock trading has a significant difference before and after the implementation of the new stock price fraction.

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Pengaruh Employee Stock Ownership Program Terhadap Average Abnormal Return Perusahaan Perbankan

Jurnal Ilmu Sosial, Manajemen, Akuntansi dan Bisnis ◽

10.47747/jismab.v1i1.9 ◽

2020 ◽

Vol 1 (1) ◽

pp. 47-55

Author(s):

Agung Suprayogi ◽

Abdul Basyith

Keyword(s):

Stock Price ◽

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Abnormal Returns ◽

Stock Ownership ◽

Employee Stock Ownership ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After

This research was conducted to see the effect of the implementation of the Employee Stock Ownership Program on average abnormal returns of banking companies before and after applying ESOP and trading volume. The aim is to find out the difference in average abnormal return before and after applying the ESOP. The variable used in this study is average abnormal return. The period of this research event is 20 days, 10 days, 5 days and 1 day which are divided before and days after the date of application. This study examines banking companies that apply the Employee Stock Ownership Program listed on the Indonesia Stock Exchange so that data is obtained from trading in the company's stock price. The sampling criteria used a purposive sampling method in order to obtain 9 samples. The hypothesis method used in the normally distributed data is Paired Samples T-test. The result is that all average abnormal return periods both on the first and the last date of the ESOP application have a significant value >0.05, which means that the entire event period of the variable is proven to have no significant difference both before and after the banking company applies the Employee Stock Ownership Program.

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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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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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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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MARKET REACTION ON THE ANNOUNCEMENT OF SRI KEHATI INDEX IN INDONESIAN STOCK EXCHANGE

STUDIES AND SCIENTIFIC RESEARCHES ECONOMICS EDITION ◽

10.29358/sceco.v0i30.440 ◽

2019 ◽

Author(s):

Anggita Langgeng Wijaya ◽

Mia Noviyanti ◽

Probo Mahayu

Keyword(s):

Trading Volume ◽

Market Reaction ◽

Stock Exchange ◽

Abnormal Returns ◽

Rank Test ◽

Stock Trading ◽

Population Sampling ◽

Signed Rank ◽

Before And After ◽

Signed Rank Test

The purpose of this study was to test the market reaction to the announcement of the Sri Kehati Index on the Indonesia Stock Exchange. The population in this study is all companies included in the Sri Kehati Index from 2013 to 2016. The selection of samples was taken by the population sampling method. Hypothesis testing is done by paired t test and Wilcoxon Signed Rank Test. The findings of this research are: 1) there is no difference in abnormal returns before and after the announcement of the Sri Kehati Index on the Indonesia Stock Exchange. 2) There is a difference in the activity of stock trading volume before and after the announcement of the Sri Kehati index in the 5th and 6th periods, but there is no difference in the activity of stock trading volume in other periods. The Indonesia Stock Exchange did not react consistently to the announcement of the Sri Kehati Index.

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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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