Abstract:
The purpose of this research is to compare Actual Return, Abnormal Return and
Trading Volume Activity (TVA) of stocks before and after companies done stock
split in Indonesia Stock Exchange in 2015. This corporate action can be done when
the price of a stock of a company increases really high and exceed the book value.
A continuous increase will cause the stock price reach a point where investors find
it difficult to invest in the stock. As the result, the stocks become not liquid to the
market. Therefore, this study will compare the effect of stock split on actual return,
abnormal return and TVA of stock 5 days before and after the companies done stock
split. Thus, the main research question of this research is: “Is there a significant
change of actual return, abnormal return and TVA of stock that conducted stock
split in IDX in 2015?”. This quantitative research collected data from Indonesia
Stock Exchange, Bank of Indonesia and Pefindo to obtain historical data in the
market and used Paired Sample T-Test from SPSS to generate statistical result. The
finding of this research shows that there is a significant change on actual return and
abnormal return of stocks after stock split is conducted. However, there is no
significant change on TVA of stocks after stock split is conducted. Therefore, this
study encourage investor to be aware of stocks fundamentally before they invest
their money.
