A COMPARISON ANALYSIS OF TRADING VOLUME ACTIVITY, ACTUAL RETURN AND ABNORMAL RETURN OF STOCKS IN IDX BEFORE AND AFTER COMPANIES DONE STOCK SPLIT 2015

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.