Analysis of Abnormal Return, Trading Volume, And Bid-Ask Spread At the Period of Stock Split Announcement

Abstract

This study aims to determine the market reaction to the announcement of stock split at the company’s listing on the Indonesia Stock Exchange period 2015. The market reaction is indicated by the presence or absence of difference of abnormal return, trading volume, and the bid-ask spread before, during, and after the announcement of a stock split. Type of this research is an event study. The research sample as many as 8 companies based on purposive sampling. Tests conducted by a period of 7 days before and 7 days after the announcement of a stock split. This research data analysis techniques using paired sample t-test and Wilcoxon signed ranks test. The result show that there are differences of abnormal return in the period before-at the moment and at the moment-after stock split. There is no difference of abnormal return in the period before-after stock split. There is no difference of trading volume in the period before-at the moment and before-after stock split. There are differences of trading volume in the period at the moment-after stock split. There is no difference of bid-ask spread in the priode before-at the time, at the time-after, and before-after stock split.