A Comprehensive Study about Stock Split in Indonesia Stock Exchange(BEI)
NANANG HENDRIANTO, Agus Setiawan, Dr., M.Soc.Sc.
The aim of the research are to know whether there are any significant differences
between return before stock split or after stock split, whether there are any
differences between liquidity before stock split and after stock split, whether there
are anyrelationship between stock price and trading volume, and whether higher
stock split ratio implies bigger effect on return and liquidity differences. Data that
had been collected are stock price, stock return, stock outstanding, and trading
volume. After collected all the data, the next step are calcuting the data using the
formula to know about stock return and trading volume activity in each
companies that do stock split in BEI in 2003-2008 which are 42 companies. The
research use descriptive analysis and statistic analysis.
The result of stock return t-test in stock split announcement indicates that there
are no significant stock price changes between before and after stock split. For
liquidity t-test, it indicates that there are significant chang e in liqiudity before
stock split announcement and after stock split. In stock split execution research,
the resu lt of return t-tes indicate that there are no significant stock price changes
between before stock split execution and after stock split. For liquidity t-test, it
indicates that there are no significant change in liquidity between before stock
split execution and after stock split execution. The result of each ratio stock split
t-test indicates that the bigger ratio of stock split does not mean it will increase
the effect of stock split.
Kata Kunci : Stock split, Stock return, Liquidity
