Analisis Pengaruh Kebijakan Stock Split Terhadap Abnormal Return, Trading Volume Activity Dan Volatility Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia Pada Periode 2013 – 2022

Septian Arif Nugroho, Hermeindito, Dr., SE, MM

2023 | Tesis | S2 MANAJEMEN (MM) JAKARTA

Investor membutuhkan informasi terkini dan jelas tentang transaksi dan keputusan saat memilih portofolio investasi yang menguntungkan di pasar modal. Informasi yang tersedia secara signifikan terkait dengan harga sekuritas salah satunya adalah pengumuman stock split atau stock split. Stock split termasuk dalam pengumuman pendanaan atau Financing Announcements.

Penelitian ini bertujuan untuk mengetahui abnormal return, trading volume activity dan volatility sebelum dan sesudah stock split di Bursa Efek Indonesia. Metode penelitian menggunakan pendekatan kuantitatif. Data sekunder diperoleh malalui dokumentasi laporan, dan studi literatur. Penelitian ini merupakan event study dari aktivitas volume perdagangan saham 10 hari sebelum dan sesudah emiten melakukan stock split.

Penelitian ini menggunakan metode studi peristiwa, dan melakukan uji hipotesis dengan uji beda yaitu uji wilcoxon. Hasil dari penelitian adalah abnormal return, trading volume activity dan volatility sebelum dan sesudah dilakukannya stock split adalah berbeda. Sehingga dapat disimpulkan bahwa stock split dapat memberi dampak terhadap abnormal return, trading volume activity dan volatility.

Investors need up-to-date and clear information about transactions and decisions when choosing a profitable investment portfolio in the capital market. The available information is significantly related to security prices, one of which is the announcement of a stock split or stock split. Stock splits are included in financing announcements.

This study aims to determine abnormal returns, trading volume activity and volatility before and after a stock split on the Indonesia Stock Exchange. The research method uses a quantitative approach. Secondary data was obtained through documenting reports and literature studies. This research is an event study of stock trading volume activities 10 days before and after the issuer conducts a stock split.

This study used the event study method, and tested the hypothesis with a different test, namely the Wilcoxon test. The results of the study are abnormal returns, trading volume activity and volatility before and after the stock split is different. So it can be concluded that stock splits can have an impact on abnormal returns, trading volume activity and volatility.

Kata Kunci : Stock split, abnormal return, trading volume activity, volatility, Wilcoxon test.