ANALISA LIKUIDITAS SAHAM DAN ABNORMAL RETURN SAHAM PASCA STOCK SPLIT PADA PERUSAHAAN YANG TERDAFTAR DI BEI TAHUN 2006-2008

• Main Authors: , Taufan Martin, , Irwan Taufik Ritonga, S.E., M.Bus
• Format: Theses and Dissertations NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 2012
• Subjects: ETD
• Online Access: https://repository.ugm.ac.id/98373/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=53500
• Institution: Universitas Gadjah Mada

Stock prices are too high causes the shares illiquid or less interested. With the stock split, shares are expected to become more liquid or put it in an optimal trading range due to the interest of investors to buy shares at a more affordable price. Stock split also raises expectations of investors to earn higher returns. Basically the research on the stock split is often done. But the problem in this study is the presence of different results from many studies, it would require further research. The research was conducted on 31 companies listed on the Stock Exchange who did a stock split in the year 2006 to 2008. This study used two different test analysis of average with the observation period (event window) is 20 days i.e. t = -10 (10 days before the stock split) and t = 10 (10 days after stock split). And the estimation period (estimation period) is 100 days, i.e. from t-110 to t-10 before the event date. The method of determining sample using purposive sampling. Based on the results of this study that the first hypothesis suggests that there is a significant influence on average trading volume before and after the stock split where the liquidity of the shares after the stock split is decreasing, visible from the stock trading volume is lower. Second hypothesis suggests that there is no significant influence of average abnormal returns before and after the stock split. This means that trading volume and abnormal stock returns do not get a reaction from the market.