Academia Open
Vol 5 (2021): December
Business and Economics

Differences in Abnormal Return, Trading Volume Activity, Firm Value Volatility Before and After Stock Split
Perbedaan Abnormal Return, Trading Volume Activity, Nilai Perusahaan Volatilitas Sebelum dan Sesudah Stock Split


View Article Suplementary File
Similarity Check Result
  • Mujaiyinul Alam,
  • Sriyono Sriyono*
Mujaiyinul Alam
Universitas Muhammadiyah Sidoarjo, Indonesia
Sriyono Sriyono
Universitas Muhammadiyah Sidoarjo, Indonesia *

(*) Corresponding Author
Picture in here are illustration from public domain image or provided by the author, as part of their works
DOI: https://doi.org/10.21070/acopen.5.2021.1683
Published December 24, 2021
Keywords
  • Abnormal Return,
  • Trading Volume Activity,
  • Volatilitas,
  • Stock Split,
  • The value of the company
How to Cite
Alam, M., & Sriyono, S. (2021). Differences in Abnormal Return, Trading Volume Activity, Firm Value Volatility Before and After Stock Split. Academia Open, 5, 10.21070/acopen.5.2021.1683. https://doi.org/10.21070/acopen.5.2021.1683

Copyright (c) 2021 Mujaiyinul Alam, Sriyono Sriyono

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Abstract

This study aims to determine and understand the differences in Abnormal Return, Trading Volume Activity, Firm Value, Volatility before and after the stock split. This research is a type of quantitative research with hypothesis testing. In this study, from a population of 145 Indonesian manufacturing companies listed on the Indonesia Stock Exchange for the 2010-2019 period, 40 companies conducted stock splits. In order to solve the problems contained in the formulation of the problem in this study, the method used is the Paired T Test or Wilcoxon Signed Rank analysis model depending on the distribution of the data, the analysis is carried out using the help of the Stata software program. The results of this study prove that abnormal returns before and after the stock split have a significant difference with the test results of 0.0344 difference. Trading volume activity before and after the stock split there is a significant difference in the test results of 0.0175. The value of the company before and after the stock split there is a significant difference in the test results of 0.0178. Volatility before and after the stock split there is a significant difference in the test results of 0.0196.

View Article Suplementary File
Similarity Check Result

Downloads

Download data is not yet available.

References

  1. I. G. A. M. Widhyawati and I. G. A. E. Damayanthi, “Pengaruh Trading Volume, Market Value, Dan Return Variance Pada Bid-Ask Spread,” E-Jurnal Akunt. Univ. Udayana, vol. 10, no. 3, pp. 763–777, 2015.
  2. A. P. Lusiana Fransiska, “Perbedaan Likuiditas Saham Sebelum Dan Sesudah Reverse Stock Split,” J. Ris. Akunt. Indones., vol. Vol 3, 2011.
  3. Muhammad and A. Hemoyo, “Pengaruh Stock Split Announcement Terhadap Volume Perdagangan Dan Return,” Manaj. Anal. J., p. Hal 110-116, 2013.
  4. S. Ali, “Analisis Abnormal return saham dan volume perdagangan saham sebelum dan sesudah peristiwa pemecahan saham (Studi pada perusahaan Go Public yang terdaftar dalam BEI),” J. Manaj. Dan Akunt., vol. Vol 12, 2011.
  5. A. Alexander and M. A. Kadafi, “Analisis abnormal return dan trading volume activity sebelum dan sesudah stock split pada perusahaan yang terdaftar di bursa efek indonesia,” J. Manaj., vol. 10, no. 1, p. 1, 2018, doi: 10.29264/jmmn.v10i1.3803.
  6. T. H. Safira and F. Simon, “UJI KOMPARASI ABNORMAL RETURN, TRADING VOLUME, TRADING FREQUENCY, DAN BID-ASK SPREAD SEBELUM DAN SESUDAH SHARE SPLIT (Studi Pada Perusahaan Yang Terdaftar Di BEI Periode 2008-2015),” Ultim. Account., vol. 8, no. 8, pp. 24–45, 2016.
  7. Bhekti Fitri Prasetyorini, “Pengaruh Ukuran Perusahaan, Leverage, Price Earning Ratio dan Profitabilitas Terhadap Nilai Perusahaan,” J. Ekon., vol. Vol. 12, p. No.5, 2013.
  8. M. Adler Haymans, “Restrukturisasi Perusahaan :Merger, Akuisisi dan Konsolidasi, serta pembiayaan,” 2011.
  9. B. P. Triton, STATA 13.0 Terapan : Riset Statistik Parametrik. Yogyakarta: Penerbit Andi, 2006.
  10. J. O. and C. C. Aduda, “Market Reaction to Stock Split Empirical Evidence from the Nairobi Stock Exchage,” African J. Bus. Manag., vol. Vol.1, 2010.
  11. H. M. Chi-Chur.-C., Malone C. & Young M, “Real Determinants of Stock Split Announcements,” Int. Rev. Econ. Financ., 2017.
  12. A. M. Lu H, Ma X, Huang K, “Carbon trading volume and price forecasting in China using multiple machine learning models,” J. Clean. Prod., 2019.
  13. T. Yongxian, “The real effect of partial privatization on corporate innovation: evidence from china’s split share structure reform,” J. Corp. Financ., vol. 64, 2020.
  14. G. Lifeng, “Stock Liquidity And Corporate Diversification : Evidence From China’s Split Share Structure Reform,” J. Empir. Financ., vol. Vol 49, 2018.
  15. A. N. A. Dewi and I. Kartika, “Faktor-Faktor Yang Mempengaruhi Bid-Ask Spread Pada Perusahaan Manufaktur,” J. Akunt. Indones., vol. 4, no. 2, p. 85, 2016, doi: 10.30659/jai.4.2.85-96.
  16. K. . C. J. Wang and C. Wu, “Volatility and the cross-section of corporate bond returns.,” J. Financ. Ekon., p. 133, 2014.