Reaksi investor terhadap pengumuman stock split pada value stocks dan growth stocks serta small stocks dan big stocks

WULANSARI, Purnami, Kusdhianto Setiawan, SE., Siv.Ok

2009 | Tesis | S2 Magister Manajemen

Stock split telah lama menjadi teka teki bagi banyak peneliti ekonomi keuangan. Terdapat beberapa pengaruh dari pemecahan saham, seperti meningkatkan jumlah pemegang saham, meningkatkan likuiditas, dan sebagai sinyal mengenai kinerja keuangan. Penelitian ini menguji perusahaan yang mengumumkan stock split di BEI sepanjang tahun 2004-2007. Penelitian ini membedakan saham-saham yang dipecah ke dalam kategori value stocks dan growth stocks serta small stocks dan big stocks. Tujuan penelitian ini mengetahui reaksi investor di sekitar pengumuman stock split. Selanjutnya, penelitian ini juga bertujuan mengetahui apakah ada perbedaan reaksi investor sebelum dan sesudah pengumuman stock split. Selain itu penelitian juga menguji apakah terdapat perbedaan reaksi investor antara value stocks dengan growth stocks dan small stocks dengan big stocks. Metodologi event study digunakan untuk menguji reaksi investor. Hasil penelitian membuktikan bahwa ada reaksi investor di sekitar hari pengumuman stock split. Selanjutnya hasil penelitian menunjukkan bahwa rata-rata abnormal return sebelum dan sesudah pengumuman stock split pada portofolio yang telah dibentuk tidak berbeda pada tingkat signifikansi 5%, tapi untuk tingkat signifikansi 10% menunjukkan ada perbedaan rata-rata abnormal return antara sebelum dan sesudah pengumuman stock split. Untuk indikator volume perdagangan, hasil penelitian menunjukkan bahwa rata-rata volume perdagangan pada portofolio yang telah dibentuk berbeda pada tingkat signifikansi 5%. Dari hipotesis-hipotesis mengenai pengaruh stock split terhadap respon pasar di Indonesia, maka hasil penelitian memberikan jawaban bahwa stock split memberikan bukti yang cukup dalam peningkatan likuiditas saham. Saran dari penelitian ini adalah bahwa untuk melakukan kebijakan finansial seperti stock split, emiten juga mempertimbangkan kondisi kinerja perusahaannya sehingga tujuan dilakukannya stock split untuk mensinyalkan kabar baik tentang prospek perusahaan di masa datang dan meningkatkan likuiditas saham dapat tercapai.

Stock split has become a long puzzle phenomenon for many researchers of financial economy. There are some influences of stock splits, such as increasing of stockholders, improving of liquidity and as a valid signal of financial work. The research examined firm which announced stock split in BEI during 2004-2007. This research divided stocks which were split into value stocks and growth stocks, and also into small stocks and big stocks. The objective of research was to find out investor’s reaction around stock split’s announcement. Moreover, it also found out whether there was a difference of the investor’s reaction before and after the stock split’s announcement. Besides, the research also examined whether there was the difference of the investor’s reaction between the value stocks with the growth stocks and the small stocks with the big stocks. The method of event study was employed to examine the investor’s reaction. The result of research approved that there was the investor’s reaction around the day of stock split’s announcement. Moreover, it showed that abnormal return average before and after the stock split’s announcement on portfolio which had been formed was not different on 5% of significant level, however, for 10% of significant level showed that there was different abnormal return average between before and after of the stock split’s announcement. As indicator of trading volume, the result of research showed that trading volume average on portfolio which had been formed was different on 5% significant level. From hypothesizes of the stock split’s influences on market’s response in Indonesia, the result of research revealed some evidences that the stock split gave adequate evidences on increasing of the stock liquidity. The suggestion of research was to make financial policy such stock split, eminent also considered condition of firm work. Therefore, the goal of stock split which was for giving signal of good news about firm prospect in the future and increasing stock liquidity could be reached.

Kata Kunci : Stock split,Abnormal return,Trading volume activity,Value stocks,Growth stocks,Small stocks,Big stocks