ANALYSIS THE IMPACT OF STOCK SPLIT TOWARDS STOCK PRICE, STOCK RETURN AND STOCK LIQUIDITY OF LISTED COMPANY IN INDONESIA STOCK EXCHANGE (CASE STUDY: 2008 - 2012)

Abstract

The main objective of the research is to analyze the impact of stock split towards stock price, stock return and stock liquidity before and after stock split. This research analyzed 43 stock split activities in the period of 2008-2012. There are several tests conducted in this research include Normality Test and HypoSkripsi Test. The research used event window which is analyzing the difference of observation period of 20 working days which is 10 days before and after stock split. This research conducted by using quantitative method which involved calculation of data using SPSS. In the One-Sample t-test, the results stated that α (5%) which stated that the data is distributed normally. In the Dependent Paired Sample t-test showed that the difference of stock price before and after counted that α is .004 <.05 (less than 5%), means that the test is accepted and shows that there is significant impact of stock split towards stock price. The difference of stock return before and after stock split calculated that α is .009 <.05 (less than 5%), means that test is accepted and there is significant impact of stock split towards stock return. In the last test, the researcher counted that α is .046 <.05 (less than 5%) which means that the test is accepted and there is significant impact of stock split towards stock liquidity. Eventually, the researcher concluded that stock split has significant impact towards stock price, stock return and stock liquidity which can be conducted to improve the performance of the company.