Analisis reaksi pasar terhadap pengumuman stock split di bursa efek indonesia

Sumanto, Edi (2017) Analisis reaksi pasar terhadap pengumuman stock split di bursa efek indonesia. Masters thesis, Institut Pertanian Bogor.

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Abstract

The capital market has a strategic role for the Indonesian economy, where the capital market is a place for the company to get funding and also as a place for investment activities. Thus the capital markets facilitate various facilities and infrastructure of buying and selling activities and other related activities. The Indonesian capital market has been growing rapidly since it was reopened in 1977. The value of stock trading in Indonesia capital market has now reached 1,400 - 1,500 trillion Rupiah per year. There is fluctuation in the value of stock trading in Indonesia Stock Exchange within the last 5 years, where the stock trading value is related to the volume of stock trading. Companies that have registered in a stock market perform various activities to develop the company, the activity is known as coorporate action. Corporate action is news that generally attracts the attention of stakeholders in the capital market, especially shareholders. Corporate action aims to increase corporate capital, improve stock trading liquidity, or other corporate objectives. Stock split is one of corporate action that can affect the movement of the stock market and cause fluctuations in stock prices. Top Management of listed company sees and analyzes investors behavior, where the results of this analysis of behavior is a basic step for the listed companies to make a policy or annouce a corporate action. This research uses event study method. Variabel of market reaction used in this research is average of abnormal return and trading volume activity. Data are collected from Indonesia Stock Exchange (IDX). The data used to calculate abnormal return consists of daily closing price for companies announced stock split and also daily closing price of Jakarta Composite Index in 2007 - 2015. The data used to calculate trading volume activity is daily trading volume data from companies annouced stock split in 2007 until 2015. The result of the research shows that: (1) The implementation of stock split gives a varied impact on the performance of each stock. The announcement of stock split has more significant impact on the abnormal return of stock after the announcement was made by the company and the most abnormal return is positive abnormal return. (2) However, the majority of stock trading volume of companies announced stock split policy has no significant difference in each event window, its indicating that stock split action in Indonesia does not cause a change in the level of stock liquidity. Through the analysis elasticity of stock trading volume, found that the relationship between the stock trading volume of companies that annouced stock split policy has a negative relationship with their stock prices, this is in line with the existing theory of stock split policies, the theory said that stock split is using price reduction as an instrument to create an increment of volume of stock trading, but based on the analysis of the elasticity of stock trading volume against the price found that the elasticity value is less than one or in other words the type of elasticity is inelastic, it indicates that 1 % changes in stock price will be followed by changes in the volume of stock trading less than the declining of stock price. This study concludes that stock split have an impact on changes in abnormal returns but have no impact on changes in stock trading volumes.

Item Type: Thesis (Masters)
Uncontrolled Keywords: elasitisitas volume perdagangan, rata-rata abnormal return, stock split, trading volume activity. average abnormal return, elasticity of volume of stock trading, stock split, trading volume activity.
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 07 Mar 2018 04:59
Last Modified: 07 Mar 2018 04:59
URI: http://repository.sb.ipb.ac.id/id/eprint/3021

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