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)

Rimada Diamanta Putri Diamanta Putri,Pardomuan Sihombing Pardomuan Sihombing

doi:10.38035/dijefa.v1i4.546

Rimada Diamanta Putri Diamanta Putri, Pardomuan Sihombing Pardomuan Sihombing

Open Access

https://doi.org/10.38035/dijefa.v1i4.546

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Abstract

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.

Highlights

One of the strategies that companies can use to increase the liquidity of their shares is to take corporate action
Statistic description analysis for the variable stock trading volume, abnormal return and bid ask spread, in the period before and after the stock split announcement date is presented in the following table: Table 4 : Statistics Description of Volume TradingActivity, Abnormal Return and Bid ASk Spread before the Stock Split
The average trading volume activity variable which is smaller than the standard deviation shows that there is a deviation from the average value

Summary

INTRODUCTION

One of the strategies that companies can use to increase the liquidity of their shares is to take corporate action. The following is the data on the average Stock Trading Volume, Abnormal Return and Bid Ask Spread for the 5 days before and 5 days after the stock split was announced. It can be seen in the table above that the average Stock Trading Volume after the stock split decreased, even though it was not significant. Seen in the table and graph above that the average abnormal return after the stock split decreased significantly It can be seen in the table above that the average bid ask spread after the stock split has decreased. Stock splits only add to the number of shares outstanding and do not directly affect the company's cash flow, but empirical evidence shows that the market reacts to announcements of stock splits

LITERATURE REVIEW Efficient Market Hypothesis

RESULTS AND DISCUSSION

CONCLUSIONS AND RECOMMENDATIONS