PERBEDAAN LIKUIDITAS SAHAM DAN RETURN SAHAM DI SEKITAR PENGUMUMAN STOCK SPLIT

Abstract

This research is aimed at knowing the difference of the stock return average before and after stock split. Besides, this research is purposed in analyzing the difference of trade’s level volume before and after stock split. The data collected are stock return, a number of launched stock, and trade volume. The research is conducted with 17 corporates of sample, that do stock split in 2006-2010 period in Indonesia Stock Exchange. The analysis tool used is normality test with Kolmogorov Smirnow Test, Wilcoxon Sign Rank Test, and Paired Sample t-Test if the data are normally distributed. While, if the data are not normally distributed, the researcher uses Wilcoxon Sign Rank Test. The data normality test shows normal data distribution, so that, analyzing tool used is Paired Sample T-test. This research result shows that stock split significantly influences in stock trade volume. It is proved by the significance value at 0,001 < 0.05. There are no significant differences between stock return before and after stock split. It concludes that stock split doesn’t influence in return number which is accepted by investor. The average of stock price before stock split period is -0,001337 and after stock split is 0,007998