THE MARKET'S REACTION TO THE ANNOUNCEMENT OF STOCK SPLITS (AN EMPIRICAL STUDY ON THE COMPANIES LISTED IN INDONESIA STOCK EXCHANGE PERIOD 2011 - 2021)

• Main Author: Ipin
• Format: Theses
• Language: Indonesia
• Subjects: Manajemen umum
• Online Access: https://digilib.itb.ac.id/gdl/view/71122
• Institution: Institut Teknologi Bandung

Researching how different market participants reacted to the news that a stock had been split. The market's reaction might be inferred from indicators like abnormal return and trading volume. In addition, a stock split can be inferred from a stock's return after the split. Financial literature emphasizes stock market efficiency. Researchers have studied Efficient Market Hypothesis (EMH). This paper tests the semi-strong form of EMH using stock price reactions to stock split announcements. An efficient market's prices reflect all available information. For the purpose of this observation, the event study technique is utilized, and abnormal return and trade volume activities serve as the dependent variables, while return changes serve as the independent variable. The stock split events that took place on Indonesia Stock Exchange (IDX) between the years 2011 and 2021 served as the sample for this study. This research categorizes in three main groups, Big Cap, Medium Cap, and Small Cap. The results of this research show that there were market reactions before the stock split announcement in three categories group. There was a positive, notable difference between the abnormal return on the event and after the announcement of the stock split. The result, which is that the stock split event had a positive abnormal return. The findings demonstrated that a stock split event is capable of producing a quick response from the market. The abnormal return can be seen and calculated by reffering to the stock and IHSG prices on stock split event day.