ANALISIS ABNORMAL RETURN DAN LIKUIDITAS SAHAM SEBELUM DAN SESUDAH STOCK SPLIT PERIODE 2008-2012

 Wening Asriningsih

Abstract


Abstrak: Analisis Abnormal Return dan Likuiditas Saham Sebelum dan Sesudah Stock Split Periode 2008-2012. Penelitian ini bertujuan untuk mengetahui perbedaan abnormal return dan likuiditas saham sebelum dan sesudah stock split di perusahaan yang terdaftar di Bursa Efek Indonesia periode 2008-2012. Penelitian ini menggunakan desain event study, dimana dilakukan pengamatan 10 hari sebelum dan 10 hari sesudah peristiwa. Analisis data yang digunakan dalam penelitian ini adalah Uji Paired Sampel t-test dan Uji Wilcoxon Signed Rank test. Hasil penelitian menunjukkan bahwa tidak terdapat perbedaan abnormal return namun terdapat perbedaan likuiditas yang signifikan sebelum dan sesudah stock split periode 2008-2012. Hasil penelitian ini juga menunjukkan bahwa stock split mampu meningkatkan likuiditas.

Kata kunci: stock split, abnormal return, likuiditas.

Abstract: The Analysis of Abnormal Return and Liquidity Before and After Stock Split in 2008-2012. This study is aimed to find out the differences abnormal return and liquidity before and after stock split at the companies listed for the period of 2008 – 2012. This study is using event study, in which the writer observed within 10 days before and 10 days after the event date. Data analysis that is uses in this research is Paired Sample t-test and Wilcoxon Signed Rank test. The result of the study show that: there was no differences in abnormal return but there was a significant difference in liquidity before and after stock split. The result of this study indicate the stock split may improve liquidity.

Key words: stock split, abnormal return, liquidity


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DOI: https://doi.org/10.21831/economia.v11i1.7750

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