Pengaruh stock split terhadap return saham dan likuiditas saham di bursa efek Indonesia

Destansa, Nengah Irvan (2019) Pengaruh stock split terhadap return saham dan likuiditas saham di bursa efek Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

This research was conducted to determine the effect of stock split on stock returns and stock liquidity in the observation period from 2007 to 2017. Data collection was obtained from the Indonesia Stock Exchange (IDX), Yahoo Finance, and Indonesia Capital Market Directory (ICMD) which included closing prices daily stock, daily stock trading volume, number of shares outstanding, and daily Composite Stock Price Index (IHSG). The sample used in this study consisted of 67 companies listed on the Indonesia Stock Exchange (IDX). The method used in this research is event study, where observations are made on abnormal returns at 30 days before up to 30 days after the stock split announcement and observations on the average trading volume activity at 100 days before up to 100 days after the announcement of the stock split. The results showed that from the results of statistical tests on abnormal returns in the observation period 30 days before and 30 days after the stock split from 2007 to 2017, it can be concluded that there is a negative effect of stock split on stock returns. While the results of statistical testing of abnormal returns in the observation period 2 days before and 2 days after the stock split from 2007 to 2017, it can be concluded that there is a positive effect of stock split on stock returns. From the results of statistical testing of the average Trading Volume Activity (ATVA) in the observation period 100 days before and 100 days after the stock split from 2007 to 2017, it can be concluded that there is a negative effect of stock split on stock liquidity. / Penelitian ini dilakukan untuk mengetahui pengaruh stock split terhadap return saham dan likuiditas saham pada periode pengamatan tahun 2007 sampai dengan 2017. Pengumpulan data diperoleh dari Bursa Efek Indonesia (BEI), yahoo finance, dan Indonesia Capital Market Directory (ICMD) yang meliputi harga penutupan (close price) saham harian, volume perdagangan saham harian, jumlah saham yang beredar, dan Indeks Harga Saham Gabungan (IHSG) harian. Sample yang digunakan dalam penelitian ini terdiri dari 67 perusahaan yang terdaftar pada Bursa Efek Indonesia (BEI). Metode yang digunakan dalam penelitian ini adalah event study, dimana dilakukan pengamatan terhadap abnormal return pada 30 hari sebelum sampai dengan 30 hari sesudah pengumuman stock split dan pengamatan terhadap rata – rata trading volume activity pada 100 hari sebelum sampai dengan 100 hari sesudah pengumuman stock split. Hasil penelitian menunjukkan bahwa dari hasil uji statistik terhadap abnormal return pada periode pengamatan 30 hari sebelum dan 30 hari sesudah stock split dari tahun 2007 sampai dengan tahun 2017, maka dapat disimpulkan bahwa terdapat pengaruh stock split yang negatif terhadap return saham. Sedangkan dari hasil pengujian statistik terhadap abnormal return pada periode pengamatan 2 hari sebelum dan 2 hari sesudah stock split dari tahun 2007 sampai dengan tahun 2017, maka dapat disimpulkan bahwa terdapat pengaruh stock split yang positif terhadap return saham. Dari hasil pengujian statistik terhadap rata – rata Trading Volume Activity (ATVA) pada periode pengamatan 100 hari sebelum dan 100 hari sesudah stock split dari tahun 2007 sampai dengan tahun 2017, maka dapat disimpulkan bahwa terdapat pengaruh stock split yang negatif terhadap likuiditas saham.

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