Abstract

Abstrak

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Penelitian ini bertujuan untuk mengetahui pengaruh stock split announcement terhadap volume perdagangan dan return saham pada perusahaan yang melakukan stock split di Bursa Efek Indonesia periode 2005-2011. Sampel dalam penelitian ini adalah perusahaan yang melakukan kebijakan stock split di Bursa Efek Indonesia, yang berjumlah 30 perusahaan selama tujuh tahun. Penelitian ini menggunakan analisis uji t abnormal return dan uji Mann Whitney dengan periode pengamatan (event window) adalah 10 hari yaitu t = -5 (5 hari sebelum pengumuman stock split) dan t = +5 (5 hari sesudah pengumuman stock split). Dari hasil penelitian dapat diketahui bahwa terdapat pengaruh signifikan stock split announcement terhadap return saham dan tidak ada pengaruh yang signifikan rata-rata volume perdagangan sebelum dan sesudah stock split announcement.

 

Abstract

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This study aims to determine the influence of stock split announcements against trade volume and stock return in the companies which practice stock split policy on Indonesia Stock Exchange 2005-2011 period.. The sample in this study are the companies which practice stock split policy on Indonesia Stock Exchange, amounting to 30 companies for seven years. This research applies abnormal return t test and Mann Whitney test analysis with the 10 days observatory period (event window), t = -5 (five days before stock split announcement) and t = +5 (five days after stock split announcement). From the analysis it could be seen that there are a significant rate of stock split announcements against stock return and there are no significant impact of the rate of trade volume before and after stock split announcement.