Abstract
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.
Highlights
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
The results show that there is no difference in trading volume activity around the announcement of the stock split
Undang-Undang No 8 Tahun 1995 tentang Pasar Modal. www.idx.co.id, diakses tanggal 22 Oktober 2018
Summary
Keterangan: TVA adalah trading volume activity, BAS adalah bid-ask spread, dan AR adalah abnormal return. Penelitian ini bertujuan untuk menganalisis perbedaan trading volume activity, bid-ask spread, dan abnormal return sebelum dan sesudah adanya pengumuman stock split. Penelitian ini perlu dilakukan untuk mengonfirmasi perbedaan hasil penelitian-penelitian terdahulu
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