Romandhon, Vera (2025) ANALISIS PERBANDINGAN HARGA SAHAM, ABNORMAL RETURN, VOLATILITAS, DAN LIKUIDITAS SEBELUM DAN SESUDAH STOCK SPLIT PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2020–2024. Skripsi.
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Abstract
This study analyzes the comparison of stock prices, abnormal returns, volatility, and liquidity before and after stock splits in companies listed on the Indonesia Stock Exchange (IDX) during the 2020–2024 period. Using an event study approach, secondary data from 57 sample companies (employing a purposive sampling technique) were analyzed with the Paired Sample T-Test and Wilcoxon Signed-Rank Test. The results show: There is a significant difference in stock prices and stock liquidity before and after the stock split; There is no significant difference in abnormal returns and stock volatility before and after the stock split. These findings support the Signaling Theory and Trading Range Theory, where stock splits effectively adjust prices to the ideal range and increase liquidity, but do not affect abnormal returns or volatility in the short term. This study provides practical implications for investors and issuers in evaluating stock split policies as a corporate strategy. Keywords: Stock Price, Abnormal Return, Volatility, Liquidity, Stock Split.
| Item Type: | Article |
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| Additional Information: | Penelitian ini menganalisis perbandingan harga saham, abnormal return, volatilitas, dan likuiditas sebelum dan sesudah stock split pada perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) periode 2020–2024. Menggunakan pendekatan event study, data sekunder dari 57 perusahaan sampel (teknik purposive sampling) dianalisis dengan uji Paired Sample T-Test dan Wilcoxon Signed-Rank Test. Hasil penelitian menunjukkan: Terdapat perbedaan signifikan harga saham dan likuiditas saham sebelum dan sesudah stock split; Tidak terdapat perbedaan signifikan abnormal return dan volatilitas saham sebelum dan sesudah stock split. Temuan ini mendukung Signalling Theory dan Trading Range Theory, di mana stock split efektif menyesuaikan harga ke kisaran ideal dan meningkatkan likuiditas, tetapi tidak memengaruhi abnormal return maupun volatilitas dalam jangka pendek. Penelitian memberikan implikasi praktis bagi investor dan emiten dalam mengevaluasi kebijakan stock split sebagai strategi korporasi. Kata Kunci: Harga Saham, Abnormal Return, Volatilitas, Likuiditas, Stock Split. |
| Uncontrolled Keywords: | Stock Price, Abnormal Return, Volatility, Liquidity, Stock Split |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance H Social Sciences > HJ Public Finance |
| Divisions: | Faculty of Law, Arts and Social Sciences > School of Management |
| Depositing User: | Wisudawan S1 |
| Date Deposited: | 20 Oct 2025 04:42 |
| Last Modified: | 20 Oct 2025 04:42 |
| URI: | http://eprints.stiebankbpdjateng.ac.id/id/eprint/2954 |
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