ANALISIS PERBANDINGAN TRADING VOLUME ACTIVITY DAN ABNORMAL RETURN SAHAM SEBELUM DAN SESUDAH STOCK SPLIT (STUDI KASUS PADA PERUSAHAAN YANG TERDAFTAR DI BEI)

Abstract

The very high raise of stock will cause the decrease in demand of it. A policy which can be
used by company to avoid that risk is to do stock split. Stock split is expected to be able to
increase the stock liquidity and to give positive signal to investor that the company is in a
well condition. The research about stock split has been conducted many times and it gave
various results. This research is intended to re-picturize one of the form of corporate action
which is stock split and the impact to Trading Volume Activity and Stock Abnormal Return.
This research was done on 15 companies which are registered in BEI during the period of
2008 – 2010. The research method used Descriptive Statistics Research Method on Event
Study. The Statistics Analysis that used was t-test during ten days of event window which
consisted of 5 days before and 5 days after stock split and also 60 days estimation period
from t-65 to t-5. Tarithmetic of t-test for Trading Volume Activity average during the period
before and after stock split with ttable = 2,262 is 3,594, so tarithmetic> ttable and the conclusion is Ho is rejected, which means the average of Stocks Trading Volume Activity in BEI differs significantly between the period before and after the stock split. Meanwhile tarithmetic of t-test for Stocks Abnormal Return between the period before and after the stock split with table=2,262 is 0,959 so tarithmetic< ttable and the conclusion is Ho is accepted, which means the average of Stocks Abnormal Return in BEI doesn't differ significantly between the period before and after the stock split.