ANALISIS TRADING VOLUME ACTIVITY DAN AVERAGE ABNORMAL RETURN SEBELUM DAN SESUDAH MELAKUKAN PEMECAHAN SAHAM (STOCK SPLIT) PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA.

Abstract

This research is titled “Analysis of Trading volume activity and Average Abnormal Return before
and after the stock split pada companies listed on the bursa efek indonesia†. this research
aims to analysing is there any differences between the abnormal return and the trading volume
activity before and after the stock split. The data that have been used in this research are the
daily stock price and the IHSG of the companies who did the stock split in 2011 till 2015.By
the purposive sampling methods, there is 32 companies who did the stock split that listed on
the bursa efek indonesia. Analysis technique that has been used is Uji normalitas dan uji beda
dua sampel berhubungan uji wilcoxon with the event window is 5 days before and 5 days after
the stock split.The result of this research is show that there is 0,024 < 0,05 significant value
from the Pengujian Uji Beda between trading volume activity before and trading volume activity
after stock split. Based on that fact, there is 0,033 < 0,05 significant value from pengujian uji
beda between abnormal return before and bid-ask spread after the stock split. Thus can be
interpreted that there is a difference between abnormal return before and after stock split. So
that the Indonesia Capital market is yet efficient and yet strong enough by the stock split.

Keywords: Stock split, Abnormal Return, Trading volume activity.