Reaksi Pasar Terhadap Pengumuman Stock Split Studi Kasus Pada Bursa Efek Jakarta
Meina Wulansari Yusniar (Pemb : Dr. Mamduh Hanafi, MBA), Dr. Mamduh Hanafi, MBA
Pemecahan saham telah lama menjadi teka teki bagi banyak peneliti ekonomi keuangan. Terdapat beberapa pengaruh dari pemecahan saham, seperti meningkatkan jumlah pemegang saham , meningkatkan likuiditas saham dan sebagai sinyal mengenai kinerja keuangan. Penelitian ini bertujuan untuk menguji reaksi pasar terhadap pengumuman pemecahan saham, dan pengaruh stock split terhadap likuiditas saham.
Penelitian ini menguji empat puluh perusahaan yang mengumumkan stock split di BEJ sepanjang tahun 1998 - 2001. Uji beda berpasangan digunakan untuk hipotesis mengenai abnormal return, varians, tva, persentase spread, ROA, ROE dan NPM sebelum dan sesudah pengumuman stock split. Lebih lanjut, penelitian ini menggunakan analisis regresi berganda untuk menguji pengaruh varian , TV A, persentase spread dan ROE terhadap Cumulative Abnormal Return.
Hasil penelitian menunjukkan bahwa Abnormal Return, varians, TV A dan NPM sebelum dan pengumuman pemecahan saham secara statistik signifikan berbeda. Hasil penelitian ini juga mengindikasikan bahwa Cumulative Abnormal Return secara statistik dipengaruhi oleh variabel varians.
Stock Split have long been a puzzling phenomenon to financial economists.
There are several effects of stock splits, such as the increasing numbers of stockholder, the improving of stock liquidity and as a valid signal about performance of splitting firms. The purpose of this study is to examine empirically the market reaction to stock split announcement and the effect of stock splits on the stock liquidity.
This research examined forty companies announcing stock splits in the Jakarta Stock Exchange during 1998-2001. A paired different test was used to the hypotheses about Abnormal return, varians, tva, bid-ask spread percentage, ROA, ROE and NPM pre and post the announcement of stock splits. Furthermore, these research employed a multiple regression analysis to examine the effect of varians, bid-ask spreads percentage, tva and ROE on Cumulative Abnormal Return.
The Result showed that Abnormal Return, Varians, TV A, and NPM before the announcement of stock splits were statistically significant different from those after the announcement. The result also indicate that Cumulative Abnormal Return was significantly influenced by the variables of varians.
Kata Kunci : Stock Split, Bursa Efek Jakarta
