Explaining stock splits in the Jakarta Stock Exchange :: Empirical test of signaling, liquidity, and volatility hypotheses

YANNI, Dr. Mamduh M. Hanafi, MBA

2002 | Tesis | Magister Manajemen

Stock split adalah kebijakan perusahaan yg tidak bernilai ekonomi. Dalam pasar yang efisien, investor tidak akan bereaksi terhadap pengumuman stock split. Jika investor bereaksi terhadap stock split yang tidak bernilai ekonomi, ini berarti pasar masih belum efisien dalam bentuk semi-strong karena pasar masih belum dapat membedakan peristiwa yang mengandung dan tidak mengandung informasi. Akan tetapi, reaksi pasar terhadap pengumuman stock split dapat juga berarti bahwa stock split memang mensignalkan informasi bagi investor. Beberapa teori keuangan berusaha menjelaskan alasan bagi perusahaan untuk melakukan stock split. Berdasarkan teori signaling, manaj emen perusahaan melakukan stock split untuk menberi signal bahwa perusahaan mempunyai prospek yang bagus. Berdasarkan teori likuiditas, perusahaan melakukan stock split untuk mengoptimalkan harga saham. Beberapa penelitian sebelumnya juga menemukan bahwa stock split dapat menyebabkan abnormal return dan juga peningkatan kinerja perusahaan setelah stock split. Tetapi beberapa penelitian lainnya, tidak menemukan adanya abnormal return yang disebabkan oleh pengumuman stock split. Dimotivasi oleh kontroversi dari hasil penelitian sebelumnya, penelitian ini ingin menganalisis apakah ada abnormal return yang ,disebabkan oleh stock split dan apakah abnormal return tersebut (iika ada) dapat dijelaskan oleh perubahan earnings, likuiditas, dan volatilitas sekitar pengumuman stock split. Penelitian ini dilakukan pada perusahaanperusahaan yang terdaftar di Jakarta Stock Exchange (JSX) yang mengumumkan stock split sejak pertengahan 1997 sampai pertengahan 2001 tetapi tidak membagikan dividen kas tiga bulan sebelum dan tiga bulan setelah pengumuman stock split. Hasil penelitian ini menyimpulkan bahwa stock split hanya menyebabkan perubahan perlakuan akuntansi tanpa adanya perubahan di nilai perusahaan. Penelitian ini tidak menemukan adanya perubahan return dan volatilitas saham perusahaan yang melakukan stock split. Penelitian ini juga tidak menemukan adanya bukti yang mendukung teori signaling dan teori likuiditas sebagai insentif bagi perusahaan untuk

Stock split is a company policy that does not have any economic value. For efficient market, investor should not react to stock splits announcement. On the other hand, if markets react to the stock splits announcement that does not have an economic value, it means market is still not efficient in semi-strong form, because market still can not differentiate which event has and has no information content. But market reactions to stock splits announcement can also be interpreted that stock splits do have information content. Some theories have emerged in finance literature as explanations of stock splits. According to signaling hypothesis, managers declare stock splits to convey favorable information about the value of the firm. According to trading range hypothesis, stock splits are used to keep stock prices within an optimal trading range. Some previous studies document that stock splits can cause abnormal return and convey increasing earnings performance after the splits. However some other previous studies do not document any abnormal return because of stock splits announcement. Based on this controversy, this research is conducted to analyze whether there is abnormal return associated with stock splits or not; and whether this abnormal return (if any) can be explained by earnings, liquidity, or volatility changes around stock splits announcement. The firms that were under observation are corporations listing in Jakarta Stock Exchange (JSX) that announce stock split &om mid of 1997 until mid of 2001 but did not pay cash dividend three months before and three months after the stock splits announcement. This research finding suggests that stock split is merely an accounting change with no changes in firm value. There are no changes on stock returns and return volatility after firms split their stocks. This research also finds no evidence to support signaling hypothesis and liquidity hypothesis as incentive for firms to split their stocks. Therefore, this research suggests that stock split is a company policy that does not have any economic value. Because stock split does not have any information content, market does not react to stock splits announcement. It also indicates that stock market in Jakarta Stock Exchange is efficient in semi-strong form, because market can differentiate which event has and has no information content.

Kata Kunci : Pasar Modal,Stock Split,Abnormal Return