Analisis Reaksi Pasar Terhadap Aktivitas Stock Split Ditinjau Dari Abnormal Return, Abnormal Volume, dan Persentase Spread Pada Perusahaan Terbuka Yang Tercatat di BEI Periode 2005-2008
| Main Authors: | , Yayopriyo Wibowo, , Anis Baridwan, Drs, MBA |
|---|---|
| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2012
|
| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/98383/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=52208 |
Daftar Isi:
- Stock split is one of corporate action with the aim to set back the share price to be in a range of more liquid and provide a signal for investors. This study aims to analyze the market reaction to stock split activity by looking at changes in stock price, stock volume, and liquidity of shares. Then, investors can utilize this information for making investment decisions. The method used to see the stock price change is with the abnormal return through market model approach, and to see the volume change is the abnormal stock volume through the mean-adjusted model approach, while to see changes in stock liquidity empirically carried out through bid-ask spreads approach. Of the 30 samples listed company which conducted a stock split, the overall results of this study indicate that the market reaction to stock split activity has a significant negative effect on stock prices and no significant effect on stock volume and liquidity of shares followed by a decrease in the period after the stock split activity.