Abstract:
The objective of this research is to find the analyze the effects of stock price, stock
trading volume, and stock price volatility on bid ask spread before and after stock split.
This research is also intended to find out the differences between bid ask spread before
stock split and bid ask spread after stock split.
The amount of sample used in this research is 32 companies listed in Indonesian Stock
Exchange (IDX) which conducted stock split from 2007 – 2012. The observation days
used in this research is five days before stock split and five days after stock split. This
research used multiple regression analysis to examines the effect of stock price, stock
trading volume, and variance return on bid ask spread. This research also used t test
(partial test) and F test (simultant test) for the hypothesis testing. And finally paired
sample t test is used to examine the different between spread before and after stock split.
The significance level used in this research is 0.05.
The result before stock split shows that stock price has negative and significant
influence on bid ask spread. Stock trading volume has negative and significant influence
on bid ask spread, while variance return has positive but not significant influence on bid
ask spread. Simultan test before stock split shows that stock price, trading volume, and
variance return simultaneously has significant effect on bid ask spread.
The result after stock split shows that stock price has negative but not significant
influence on bid ask spread. Stock trading volume has negative and significant influence
on bid ask spread, while variance return has negative but not significant influence on
bid ask spread. Simultan test before stock split shows that stock price, trading volume,
and variance return do not simultaneously has significant effect on bid ask spread.
Finally,paired sample t-test shows that there is significant difference between bid ask
spread before and after stock split.
