Pengaruh Stock Split Terhadap Likuiditas Saham Yang Diukur Dengan Besarnya Bid-Ask Spread Di Bursa Efek Jakarta
FATMAWATI, SRI (Adv.: Marwan Asri, Dr., M.B.A.), Marwan Asri, Dr., M.B.A.
Aktifitas stock split sering dianggap sebagai kosmetik raja karena tidak terjadimya cash flow bagi perusahaan. Akan tetapi beberapa hasil penelitian membuktikan bahwa stock split berpengaruh terhadap beberapa faktor yakni tingkat kesejahteraan investor, resiko saham, tingkat likuiditas, dan
sinyal infomiasi yang diberikan. Penelitian irii bertujuan untuk melihat pengaruh stock split terhadap beberapa faktor tersebut khususnya likuditas saham akibat split yang diukur melalui besarnya bidask spread. Penelitian ini menggunakan 30 sampel perusahaan yang melakukan stock split selama bulan Juli 1995 sampai Juni 1997. Pengujian terhadap adanya perubahan beberapa faktor tersebut dilakukan dengan uji beda dua rata-rata untuk sampel berpasangan dengan menggunakan statistic parametrik t test. Kemudi an dilakukan regresi terhadap model regresi pengaruh harga saham, volume perdagangan dan volati I i tas harga saham terhadap besarnya bid-ask spread. Hasil pellet itian menunjukkan bahwa terdapat perbedaan yang signifikan antara saat sebelum dan sesudah split untuk variabel harga saham, spread dan volume turnover. Harga saham setelah split menunjukkan penurunan, volume turnover menjadi semakin kecil dan tingkat spread mengalami kenaikan atau semakin kecilnya likuiditas saham. Penurunan tingkat likuiditas saham ternyata dipengaruhi oleh harga saham, volume perdagangan dan volatilitas harga saham yang terjadi setelah split.
It is widely believed that stock splits are purely cosmetic, since the corporations cash flows are unaffected, each shareholder retains his proportionate ownership and the claims of other classes of security holders are unaltered. Although stock splits appear to be purely cosmetic changes, research shows real effects associated with them. Despite extensive study, controversies still abound in the literatureabout these effects. These controversies include whether stock splits affect shareholder wealth, change a stock risk, improve liquidity, and provide signals to the market. The objective of this research is to verify empirically that stock splits relate those real effects especially stock liquidity as measured by bid-ask spread. This research examines thirty companies which did stock splits in Jakarta Stock Exchange during July 1995 to June 1997. A paired-difference test is used to test some hypotesis about the difference between two population means for stock price, variance, trading volume, turnover volume, and bid-ask spread variables. Furthermore, the multiple regression analysis is used to examine the relation of stock price, trading volume, stock volatility to bid-ask spread. Overall, the results of this research indicate that there are significant differences among stock price, turnover volume, and bid-ask spread for before and after the listing date. Besides that, the difference of bid ask spread is affected by stock price, volatility, and trading volume.
Kata Kunci : stock split, bid-ask spread, likuiditas
