ANALISIS PERBANDINGAN TRADING VOLUME ACTIVITY DAN ABNORMAL RETURN SEBELUM SESUDAH STOCK SPLIT

Abstract

This research is meant to find out whether there is difference between trading volume activity and
abnormal return before and after the event of stock split. The populations is 40 companies and the
samples are 23 companies which are listed in Indonesia Stock Exchange in 2010-2014 periods. The
data in this research includes the date of publication of stock split as the event date, stock price of daily
closing of the company which conducts the stock split in the observation periods, Composite stock price
index (IHSG) daily, the amount of stocks
which have been traded daily and the amount of stocks which
have been issued or listed share. The result of this research shows that there are no significant different
in trading volume activity dan abnormal return before and after the event. It indicates that the
investors in Indonesia have not anticipatedthe information that they have received in the capital
market rapidly yet and it might be possible that the investors consider the stock split event is not a
good news. Moreover, the investors and the issuers had better to notice the external factors i.e.
economic, political instability, and market condition since this issue will influence the capital market
activity.

Keywords: Stock split, Trading Volume Activity, Abnormal Return