Reaksi Return Saham terhadap Keputusan Stock Split pada Perusahaan-perusahaan Terbuka di Bursa Efek Jakarta periode 2002-2006

Suryadi, Deppy, Prof. Dr. Sukmawati, M.M.

2007 | Tesis | S2 Magister Management

Pada dasarnya, pasar modal merupakan pasar untuk berbagai instrumen keuangan jangka panjang yang bisa diperjualbelikan, baik dalam utang maupun modal sendiri. Informasi yang relevan dengan kondisi pasar modal merupakan sesuatu yang selalu dicari para pelaku pasar modal dalam upaya melakukan pengambilan keputusan investasi. Berdasarkan kondisi tersebut, penulis berupaya melakukan penelitian event study mengenai kaitan antara return saham di Bursa Efek Jakarta dengan informasi stock split dan melihat tingkat return dari sisi firm size terhadap pengumuman stock split yaitu dengan membandingkan abnormal return dari sampel small firm dengan large firm. Penelitian ini menguji kekuatan muatan informasi dari suatu informasi stock split terhadap aktivitas di bursa efek, atau dengan kata lain hendak mengamati reaksi pasar modal terhadap peristiwa berupa informasi stock split. Hasil penelitian dengan metode purposive sampling dan menggunakan uji t-hitung memberikan kesimpulan yaitu : (1) Tidak adanya reaksi abnormal return di sekitar periode peristiwa pengumuman stock split. Dari 21 hari periode peristiwa terdapat delapan hari periode yang signifikan. Hal ini berarti hanya terdapat sedikit reaksi adanya abnormal return disekitar peristiwa pengumuman stock split. (2) Tidak adanya perbedaan secara signifikan average abnormal return sebelum dan sesudah pengumuman stock split. Hal ini menunjukkan bahwa informasi tersebut telah diterima oleh pelaku pasar sebelum kejadian tersebut diumumkan secara resmi kepada pasar. (3) Tidak adanya perbedaan average abnormal return yang signifikan antara small firm dan large firm. Kata kunci : event study, stock split, abnormal return, firm size.

Basically, capital market is a market for any type of long term financial instrument that can be traded, not only in term of credit but also in term of private capital. Relevant information with capital market situation is something that always been looking for by investor in order to make investment decision making. Based on that condition, writer is trying to do an event study research about the correlation between stock return in Jakarta Stock Exchange with stock split information and to find rate of return from size effect toward stock split announcement that is, comparing abnormal return from small firm sample and large firm. This research examining the information content strength from stock split information to stock exchange activity, or in other words, it would like to observe stock market reaction toward event like stock split information. The result of the research is applying purposive sampling method and is using T-Test, and it summarizes as below : (1) There is no abnormal return reaction around the event of stock split announcement. From 21-days event period, there is only 8-days significant period exist. This means only few reactions available regarding abnormal return around the stock split announcement event. (2) There is no significant different of average abnormal return before and after stock split announcement. This shows that the information has been received by investor before the event is announced to the market. (3) There is no significant different of average abnormal return between small firm and large firm. Keywords : event study, stock split, abnormal return, firm size.

Kata Kunci : event study, stock split, abnormal return, firm size