Dampak stock split terhadap return saham volume perdagangan bid-ask spread dan frekuensi perdagangan saham

KUSHARJANTI, Fiastri, Eduardus Tandelilin, Prof., Dr., MBA

2009 | Tesis | S2 Magister Manajemen

Stock split merupakan fenomena yang sudah tidak asing lagi bagi perusahaan yang telah terdaftar di Bursa Efek Jakarta. Ada dua teori utama yang memotivasi perusahaan melakukan stock split yaitu signaling theory dan trading range theory. Menurut signaling theory, stock split merupakan suatu upaya dalam memberikan sinyal positif mengenai kinerja perusahaan di masa depan. Sedangkan menurut trading range theory, stock split akan meningkatkan likuiditas saham di pasar modal. Tujuan dari penelitian ini adalah untuk menguji kembali dampak stock split terhadap return saham, volume perdagangan saham, bid-ask spread, dan frekuensi perdagangan saham. Menggunakan sampling dari 25 perusahaan manufaktur yang terdaftar dalam Bursa Efek Jakarta selama periode 2003 sampai 2005. Analisis dilakukan dengan one sample t –test and paired samples t-test. Hasil dari penelitian ini mengindikasikan bahwa terdapat abnormal return positif di sekitar peristiwa stock split. Terdapat perbedaan yang signifikan terhadap frekuensi perdagangan saham. tetapi hasil penelitian juga menunjukkan bahwa terdapat perbedaan yang tidak signifikan terhadap volume perdagangan saham dan bid-ask spread.

Stock split has been a familiar phenomenon to companies that have registered in Jakarta Stock Exchange. There are two main theories that motivate the companies to split their stock. The theories are signaling theory and trading range theory. According to signaling theory, stock split is to provide a positive signal about the company's performance in the future. Meanwhile, the trading range theory, stock split will increase liquidity of shares in the capital market. The objective of this research is to test the impact of stock split toward stock return, stock trading volume, bid-ask spread and stock trading frequency. Using sampling of 25 manufacture companies which are registered in Jakarta Stock Exchange during the period of 2005 until 2008. The analysis is done with one sample t –test and paired samples t-test. The result of this research are indicate that there are a positive abnormal return around the date of stock split. There is a significant difference in stock trading frequency. But the result also show that there are insignificant differences in stock trading volume and bid-ask spread.

Kata Kunci : Stock split,Return saham,Volume perdagangan,Bid,ask spread,Frekuensi perdagangan, stock split, stock return, stock trading volume, bid-ask spread, stock trading frequency.