Open AccessUji Komparasi Abnormal Return, Trading Volume, Trading Frequency, Dan Bid-Ask Spread Sebelum Dan Sesudah Share Split
Author(s) -
Tania Hayu Safira,
Febryanti Simon
Publication year - 2016
Publication title -
ultima accounting/ultimaccounting
Language(s) - English
Resource type - Journals
eISSN - 2541-5476
pISSN - 2085-4595
DOI - 10.31937/akuntansi.v8i2.580
Subject(s) - abnormal return , stock exchange , dividend , business , event study , bid–ask spread , econometrics , nonprobability sampling , share price , financial economics , economics , finance , demography , paleontology , population , context (archaeology) , sociology , biology
This study is event study that was conduct to examine the differences of abnormal return, trading volume, trading frequency and bid-ask spread before and after the events of share split. The object of this research is the companies that did share split and listed in Indonesia Stock Exchange in 2008 - 2015. The samples are 30 companies chosen by purposive sampling method. The criteria are the company did not do corporate action right issue, pre-emptive rights, a share dividend and bonus shares in the same year with share split. Event window used in this study was 30 days consisting of 15 days before and 15 days after the share split. Data analysis technique begins with a test of normality using Kolmogorov – Smirnov and transform for unnormally distributed data. Then, test of hypothesis using Paired t – test to compare the differences before and after share split. The results of this study showed that volume trading activity and trading frequency had significant differences before and after the share split. While, variable abnormal return and bid-ask spread had not significant differences before and after the share split.
Keywords: Abnormal return, bid-ask spread, share split, trading frequency, trading volume.