MARKET REACTION TO STOCK SPLIT EVENT (AN EMPIRICAL STUDY OF COMPANIES LISTED ON THE INDONESIA STOCK EXCHANGE IN 2015-2019)

Abstract

Abstrac: Market Reaction to Stock Split Event (An Empirical Study of Companies Listed on The Indonesia Stock Exchange in 2015-2019). This study aims to obtain empirical evidence about the differences in abnormal returns and stock trading volume activity stock splits. This study uses an event study with a window period for 11 days. This type of research is a quantitative study using secondary data from the Indonesia Stock Exchange and other data provider websites such as Investing and Yahoo Finance. The sampling technique used was purposive sampling and as many as 54 companies that met the data completeness criteria. The data analysis technique used is the non-parametric t-test using the Wilcoxon Signed-Rank Test. The results of this study indicate that there are differences in trading volume activity with asymptotic significance 0.045. Abnormal Returns show significant changes with asymptotic significance 0.007. However, this significant difference shows a negative reaction from the market, indicated by a decrease in the average TVA and Abnormal Return after the stock split.

Keywords: stock split, stock returns, stock liquidity, abnormal returns, trading volume activities