THE EFFECT OF STOCK SPLIT TOWARD ACTUAL RETURN, TRADING VOLUME ACTIVITY, AND

108 Pages·2017·2.99 MB·English

THE EFFECT OF STOCK SPLIT TOWARD ACTUAL RETURN,
TRADING VOLUME ACTIVITY, AND BID-ASK SPREAD
(An Empirical Study on The Companies Listed in
Indonesia Stock Exchange Period 2015-2017)

UNDERGRADUATE THESIS

This undergraduate thesis is submitted in partial fulfillment of the
requirements to obtain the degree of Sarjana Ekonomi in
Faculty of Economics Yogyakarta State University

By:
CAHITA WIDASARI
14812141047

ACCOUNTING STUDY PROGRAM
ACCOUNTING EDUCATION DEPARTMENT
FACULTY OF ECONOMICS
YOGYAKARTA STATE UNIVERSITY
2018
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MOTTO

And Whoever strives only strives for (the benefit of) himself. Indeed, Allah is free
from need of the worlds.
(QS. Al-„Ankabut: 6)

Never give up. Today is hard. Tomorrow will be worse, but the day after
tomorrow will be Sunshine.
(Jack Ma)

“Push yourself, because no one else going to do it for you”
(Author)

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DEDICATION

To my beloved family who always gives a ton of love,
my friends who always accompany me at any moments,
and for you, who always prayed for me and was beside me till this time,
thank you.

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PENGARUH STOCK SPLIT TERHADAP ACTUAL RETURN, TRADING
VOLUME ACTIVITY, DAN BID-ASK SPREAD
(Studi Empiris pada Perusahaan yang Terdaftar Di Bursa Efek Indonesia
Periode 2015-2017)

Oleh:
Cahita Widasari
14812141047

ABSTRAK
Penelitian ini bertujuan untuk mengetahui ada tidaknya perbedaan actual
return, trading volume activity, dan bid-ask spread saham pada periode sekitar
peristiwa stock split. Adanya harga saham yang dinilai terlalu tinggi membuat
kemampuan investor untuk membeli saham menjadi berkurang, sehingga
perusahaan mengambil tindakan stock split dengan tujuan menurunkan harga
saham pada kisaran harga yang dapat dicapai invsetor.
Penelitian ini menggunakan event study dengan event window selama 20
hari, yaitu 10 hari sebelum dan 10 hari sesudah stock split. Jenis penelitian ini
merupakan penelitian kuantitatif dengan menggunakan data sekunder berupa
data harian saham yang didapat dari Bursa Efek Indonesia. Teknik pengambilan
sampel yang digunakan adalah purposive sampling dan sebanyak 46 perusahaan
yang memenuhi kriteria kelengkapan data. Teknik analisis data yang digunakan
adalah uji paired sample t-test dengan melihat perbedaan rata-rata antara
sebelum dan sesudah peristiwa stock split.
Hasil penelitian ini menunjukkan bahwa tidak terdapat perbedaan return
saham pada periode sekitar pengumuman stock split dengan tingkat signifikansi
0,171. Peneliti juga menemukan tidak adanya perbedaan likuiditas saham yang
ditunjukan proksi Trading Volume Activity (TVA) dengan tingkat signifikansi
0,636, namun penelitian ini menunjukkan hasil yang berbeda untuk proksi Bid-
Ask Spread dimana terdapat perbedaan dengan tingkat signifikansi 0,008.

Kata kunci: stock split, return saham, likuiditas saham,actual return, trading
volume activity, bid-ask spread

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THE EFFECT OF STOCK SPLIT TOWARD ACTUAL RETURN,
TRADING VOLUME ACTIVITY, AND BID-ASK SPREAD
(An Empirical Study on The Companies Listed in
Indonesia Stock Exchange Period 2015-2017)

By:
Cahita Widasari
14812141047

ABSTRACT
This study aims to determine whether there are differences in actual return,
trading volume activity, and bid-ask spread. The stock price that valued too high
made an ability of investor to buy the stock will decrease, so the company got the
stock split activity with the aims to decrease the stock price in the certain range
that can be achieved by the investor.
This research has used event study with event window for 20 days, that
was 10 days before and 10 days after the stock split. This type of research was a
quantitative research using secondary data in the form of daily stock data obtained
from the Indonesia Stock Exchange. The sampling technique that used in this
research was purposive sampling and 46 companies were selected as a sample of
this research. The data analysis technique that used in this study was paired
sample t-test by looking at the difference between before and after the stock split
event.
The results of this study indicate that there is no difference in stock returns
in the period around the announcement of the stock split with a significance level
of 0.171. The researcher also found no difference in stock liquidity indicated by
Trading Volume Activity proxy with a significance level of 0.636, but this
research showed the different result for Bid-Ask Spread proxy where there is a
difference with significance level 0,008.

Keywords: stock split, stock return, stock liquidity, actual return, trading volume
activity, bid-ask spread

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FOREWORD

All praise and gratitude go to Allah SWT who always give me the
blessings and the chance so that I could finish this undergraduate thesis entitled
“The Effect of Stock Split toward Actual Return, Trading Volume Activity, and
Bid-Ask Spread (An Empirical Sudies on The Companies Listed in Indonesia
Stock Exchange Period 2015-2017)”. I also realize that I would not be able to
complete this undergraduate thesis without support, guidance, and help from
people around me. Therefore, I would like to express my great gratitude to:
1. Prof. Dr. Sutrisna Wibawa, M.Pd., Rector of Yogyakarta State University.
2. Dr. Sugiharsono, M.Si., Dean of Faculty of Economics, Yogyakarta State
University.
3. RR. Indah Mustikawati, M.Si., Ak. CA., Head of Accounting Education
Department, Faculty of Economics, Yogyakarta State University and my
supervisor who had provided advice, suggestion, and motivation during the
research.
4. Dr. Denies Priantinah, M.Si., Ak., CA., Head of Accounting Study Program
and my second supervisor who had given guidance to finish this
undergraduate thesis.
5. All lectures of Yogyakarta State University who had guided and supported in
my study.
6. My beloved family: Mama, Papa, and my brother; who always give me love,
support, and prayer that encourage me till this time.
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7. My closest friends: Reza Arief, Dian Ulfa, Adinda Aulia, Anindha
Mahiswari, Nurul Prestika, Syifa Amalia Rahman, Tegar Galang Anantha,
Aini Nadiah Iftinan, Alif Nur F, Aprin Aspriliadita, Pratista, Laras
Ambarwati, and Akrom M.
8. My classmate of Accounting Department 2014, Himpunan Mahasiswa
Akuntansi UNY, UKMF Inspire FE UNY, Social Division of Inspire 2016,
KKN UNY A65, 3SM members, and Generasi Baru Indonesia (GenBI) for
the unforgettable moments, supports, and helps through the whole days of my
study.
9. All parties who cannot be mentioned individually but had provided me all
their supports and assistance during the research process.
Finally, I truly realize that my undergraduate thesis is far from being
perfect. The constructive critics and suggestions from the readers are expected.

Yogyakarta, April 4th, 2018
Author,

Cahita Widasari
NIM. 14812141047

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