ANALISIS PERBEDAAN RETURN SAHAM SEBELUM DAN SESUDAH MELAKUKAN STOCK SPLIT PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI)

Abstract

Stock split is one of corporate action which done by company with the purpose to arrange
the stock price which traded become more active. The purpose of this research is to analyze the
differences of stock return and stock liquidity before and after stock split at companies listed in
Indonesia Stock Exchange Periode 2005-2009. The stock liquidity in this research measured using
the trading volume parameter because the trading volume is the increasing of buying and selling
activity by the investor in Indonesia Stock Exchange. The characteristic of this research is event
study, that is the study to learn the market reaction toward an event or the information of event
published as an announcement. The samples in this research are 27 companies with purposive
sampling technique, that is using stock split sample in year 2005-2009 and does not perform the
other corporate action. The analysis model is used paired sample t-test by comparing 15 days before
and 15 days after stock split. The result of this research shows that there is no the average of
significant differences among stock return and after stock split, while the stock liquidity shows that
there is the average of significant differences volume before and after stock split.