ABSTRACT COMPARISON OF STOCK LIQUIDITY AND STOCK RETURN BEFORE AND AFTER STOCK SPLIT ON MINING SECTORS CORPORATIONS WHICH LISTED IN IDX 2008

Transkripsi

1 ABSTRACT COMPARISON OF STOCK LIQUIDITY AND STOCK RETURN BEFORE AND AFTER STOCK SPLIT ON MINING SECTORS CORPORATIONS WHICH LISTED IN IDX 2008 BY DINI PUTRI WAHYUNI Information is a factor which gives the essential meaning for the receiver, especially in case of making decision. One of the information which is used is stock split. Stock split or stock breakdown which is convince as a corporate action for distributing additional stock in the front of split to investors. In theory stock split doesn t influence towards either the return or the liquidity of the corporation stock which do stock split but some results of the research obtain the controvertial paradigm about stock split can influence stock return, liquidity level, and the sign which given to the market. The problem which is proposed in this research Are the average of TVA, the average of transaction frequency, the average of stock return subsequent to stock split different from pre-stock split. The hypothesizes which are proposed by the researcher the average TVA, the average of transaction frequency, the average of stock return subsequent to stock split different from pre-stock split. This experiment examines three emitens which do stock split in The observation period in this research is thirty days before

2 and thirty days after stock split. The analysis tools which are used by examining wilcoxon test for data which distribute abnormally and paired sample T test for data which distribute normaly. The analysis result wilcoxon test for the average of TVA before and after stock split gained value of exact sig 0,069 > α = 0,05, so that Ho1 is accepted it means that the average of TVA after stock split is not different from average of TVA before stock split. The difference result of the average of the transaction frequency is obtained paired sample t test calculating with two directions gained T-test 34,163 meanwhile table value 2,45 so that it can be formulated T-test more that the value of table value or by seeing the probability 0,0000 (< 0,005) so Ha2 is accepted, the average of stock frequency after stock split is different from the stock frequency before stock split. The difference result of stock return average which uses paired sample t test calculation with two direction gained T-test 0,412 meanwhile table value 2,045 so it can be formulated T-test moreless that the value of table value or by seeing the probability 0,683 (>0,005) so Ho3 is accepted, the stock return average after stock split is not different from the stock return average before stock split. Keyword : Stock Split, Trading Volume Activity, Stock Frequency, Stock Return.

3 ABSTRAK PERBANDINGAN LIKUIDITAS SAHAM DAN RETURN SAHAM SEBELUM DENGAN SESUDAH STOCK SPLIT PADA PERUSAHAAN SEKTOR PERTAMBANGAN YANG TERDAFTAR di BEI TAHUN 2008 OLEH DINI PUTRI WAHYUNI Informasi merupakan faktor yang memberikan arti penting bagi si penerima, khususnya dalam hal untuk mengambil keputusan. Salah satu informasi yang digunakan adalah Stock split. Stock split atau pemecahan saham diyakini sebagai kegiatan perusahaan dalam mendistribusikan tambahan saham dalam bentuk split kepada investor. Secara teori stock split tidak berpengaruh terhadap return dan likuiditas saham perusahaan yang melakukan stock split namun beberapa hasil penelitian menghasilkan pandangan yang kontroversi, dimana stock split dapat mempengaruhi return saham, tingkat likuiditas dan sinyal yang diberikan kepada pasar. Permasalahan yang diajukan dalam penelitian ini adalah Apakah rata-rata TVA, rata-rata frekuensi transaksi, rata-rata return saham sesudah stock split sberbeda dengan sebelum stock split. Hipotesis yang diajukan penulis adalah rata-rata TVA, rata-rata frekuensi transaksi, rata-rata return saham sesudah stock split berbeda dengan sebelum

4 stock split. Pengujian ini menguji 3 emiten yang melakukan stock split pada tahun Periode pengamatan dalam penelitian ini adalah 30 hari sebelum dan 30 hari sesudah stock split. Alat analisis yang digunakan adalah dengan menguji uji beda wilcoxon untuk data yang berdistribusi tidak normal dan uji beda rata-rata yaitu uji t dua sampel berpasangan (paired sample t test) untuk data yang berdistribusi normal. Hasil analisis uji wilcoxon pada rata-rata TVA sebelum dengan sesudah stock split diperoleh nilai taraf signifikan (0,069) > taraf nyata (α = 0,05) maka Ho1 diterima, artinya rata-rata TVA sesudah stock split tidak berbeda dengan rata-rata TVA sebelum stock split. Hasil perbedaan rata-rata frekuensi transaksi diperoleh perhitungan uji paired sample t test secara dua arah diperoleh t hitung 34,163 sedangkan t tabel 2,045, maka dapat dirumuskan t hitung > t tabel atau dengan melihat probabilitas sebesar 0,000 ( < 0,05) maka Ha2 diterima, rata-rata frekuensi transaksi saham sesudah stock split berbeda dengan frekuensi saham sebelum stock split. Hasil perbedaan rata-rata return saham yang menggunakan perhitungan uji paired sample t test secara dua arah diperoleh t hitung 0,412 sedangkan t tabel 2,045, oleh karena t hitung < t tabel atau dengan melihat probabilitas sebesar 0,683 ( > 0,05) maka Ho3 diterima, rata-rata return saham sesudah stock split tidak berbeda dengan return saham sesudah stock split. Kata Kunci : Stock Split, Trading Volume Activity, Frekuensi Saham, Return Saham.

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