Analisis Abnormal Return Saham dan Trading Volume Activity Atas Aksi Korporasi Stock Split (Event Study Pada Perusahaan Di BEI)

Abstract

This study aims to examine the market response before and after the announcement of the stock split corporate action. The population of this study is the shares of companies listed on the Indonesia Stock Exchange (IDX). Determination of the sample using purposive sampling method and there are 62 stocks. The researcher uses a quantitative approach to secondary data, and this type of research is in the form of a case study where the different test hypotheses are tested to determine the difference between abnormal returns and trading volume activity before and after the stock split corporate action. Abnormal return is done by calculating the market model. Previously, a normality test of the data will be carried out to determine whether the data is normally distributed or the data is not normally distributed to determine the different types of tests. The results of this study indicate that there is no significant difference before and after the stock split corporate action, both from abnormal returns and from trading volume activity. In addition, the trading volume activity test showed that the market reacted negatively after the announcement of the stock split corporate action. These results may indicate that the published information related to the stock split corporate action has no impact and is considered unimportant information for investors.