ANALYSIS OF STOCK SPLIT INFLUENCE ON BID ASK SPREAD ON COMPANIES LISTED ON INDONESIAN STOCK EXCHANGE (FOR PERIOD 2007 – 2012)

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.