The Effect of Stock Split Announcement on the Trading Volume Activity, Abnormal Return, and Bid Ask Spread (Study on Companies Listed on the Idx for the Period of 2015 - 2019)

Abstract

This research is motivated by companies that carry out corporate actions in the form of stock splits. The corporate action aims to increase the liquidity of the outstanding shares and to give a positive signal to the company's performance in the future. To find out whether this signal is true or not, it is necessary to test market efficiency which proves that the stock split has an effect on changes in stock trading volume, abnormal returns and the bid ask spread. This type of research is the event study research with a quantitative approach. A sample of 66 companies using purposive sampling technique. The company under study is a company that carried out a stock split and is listed on the Indonesia Stock Exchange for the period 2015 - 2019. The type of data used in this study is secondary data in the form of daily data on sales of shares, number of shares outstanding, stock price (close price), price index. joint stock, stock offer and bid during the period 2015 - 2019. The results of the research through the Wilcoxon Signed Ranks Test with the results (1) There is no significant difference between stock trading volume before and after the stock split; (2) There is a significant difference between abnormal returns before and after the stock split; (3) There is no significant difference between the bid ask spread before and after the stock split.

Stock Transformation: Understanding the Impact of Stock Split on Company Performance in Indonesia Stock Exchange through Before and After Comparative Analysis

“…Stock splits are used as a tool in trading range theory to reset the stock price to the expected price. When the stock price before the stock split is too high to achieve this goal, the stock splits becomes more relevant (Putri & Sihombing, 2020). In other words, stock splits are used to maintain or increase the attractiveness of a stock to investors by making it more affordable, especially if the previous stock price was already very high.…”

Abnormal Return Sebelum dan Sesudah Stock Split

“…Hasil penelitian ini sejalan dengan penelitian yang dilakukan oleh Purwata & Wiksuana (2019) Putri & Sihombing (2020) dan Hadiwijaya & Widjaja (2018) yang menyatakan bahwa terdapat perbedaan yang signifikan pada abnormal return saham sebelum dan sesudah stock split. Namun, meskipun terdapat perbedaan yang signifikan pada penelitian ini, hasil yang didapat menunjukan bahwa nilai rata-rata abnormal return setelah melakukan stock split menurun atau lebih kecil dibandingkan dengan abnormal return sebelum melakukan stock split.…”