MARKET REACTION ANALYSIS OF STOCK SPLIT EVENT THAT SHOWN BY TRADING VOLUME ACTIVITY, ABNORMAL RETURN AND STOCK PRICE (AN EVENT STUDY OF COMPANY LISTED IN INDONESIAN STOCK EXCHANGE YEAR 2008-2014)

Abstract

The purpose of this research is to analyze market reaction toward stock split event on the companies listed in Indonesian Stock Exchange period 2008-2014, which indicated by the difference in trading volume activity and abnormal return that will affect the price of the stock itself. The method used verification with event study approach. Observations were made for trading volume average, abnormal return average, and stock price average for 7 days before the event (T-7), the event date (To), and 7 days after the event (T+7). This research was conducted on 23 companies that are listed on Indonesia Stock Exchange and they do stock split in the year 2008-2014. Hypothesis testing used different test analysis model (Paired sample T-test) with significant level of 5%. The result of this research shown that there is no significant difference in trading volume activity and abnormal return before and after stock split event on companies listed at Indonesian Stock Exchange, and there is significant difference in stock price before and after stock split event on companies listed at Indonesian Stock Exchange period 2008-2014.