PERBEDAAN LIKUIDITAS SAHAM DAN ABNORMAL RETURN SEBELUM DAN SESUDAH STOCK SPLIT : Studi kasus pada perusahaan Go Public yang terdaftar di BEI Periode Tahun 2013 - 2018 - Diva Nurmayanti, - (2019)
ABSTRAK Diva Nurmayanti. 1500027. Perbedaan Likuiditas Saham dan Abnormal Return Sebelum dan Sesudah Stock Split (Studi Kasus Pada Perusahaan Go Public Yang Terdaftar Di BEI Periode Tahun 2013 - 2018). Dibawah Bimbingan Dr. Mayasari, S.E., M.M. dan Budhi Pamungkas G, SE, M.Sc. Pengumuman stock split merupakan salah satu informasi penting bagi para investor. Pengumuman stock split yang dikeluarkan oleh suatu perusahaan akan mempengaruhi harga saham dan volume perdagangan saham perusahaan. Dampak pengumuman stock split ini dapat diukur dengan menggunakan likuiditas saham dan abnormal return. Tujuan penelitian ini adalah untuk mengetahui gambaran likuditas saham dan abnormal return sebelum dan sesudah stock split, untuk mengetahui apakah terdapat perbedaan likuiditas saham dan abnormal return sebelum dan sesudah pengumuman stock split. Pengukuran likuiditas saham menggunakan trading volume activity. Pengukuran abnormal return menggunakan market-adjusted model. Periode pengamatan penelitian ini selama 7 hari sebelum dan sesudah pengumuman stock split. Sampel dalam penelitian ini adalah 59 perusahaan go public yang tercatat telah melakukan stock split selama periode tahun 2013-2018. Alat uji hipotesis yang digunakan adalah Paired Sample T-Test jika data berdistribusi normal dan Wilcoxon Signed Rank test jika data tidak berdistribusi normal. Alat analisis yang digunakan meliputi uji statistik deskriptif, uji normalitas dan uji hipotesis. Data Trading Volume Activity dan Abnormal Return tidak terdistribusi dengan normal. Hasil uji Wilcoxon Signed Rank Test menunjukkan bahwa tidak terdapat perbedaan likuiditas saham sebelum dan sesudah pengumuman stock split. Hasil uji Wilcoxon Signed Rank Test menunjukkan bahwa terdapat perbedaan Abnormal Return sebelum dan sesudah pengumuman stock split Kata kunci: Corporate Action, Stock Split, Likuiditas Saham, Trading Volume Activity, Abnormal Return.   ABSTRACT Diva Nurmayanti. 1500027. Differences in Stock Liquidity and Abnormal Return Before and After Stock Split (Case Study of a Go Public Company Registered on the Stock Exchange for the Period 2013 - 2018). Under Dr. Guidance Mayasari, S.E., M.M. and Budhi Pamungkas G, SE, M.Sc. Stock split announcement is one of the important information for investors. Stock split announcements issued by a company will affect the stock price and trading volume of the company's shares. The impact of this stock split announcement can be measured using stock liquidity and abnormal returns. The purpose of this study was to determine the description of stock liquidity and abnormal returns before and after the stock split, to find out whether there are differences in stock liquidity and abnormal returns before and after the announcement of the stock split. Measurement of stock liquidity using trading volume activity. Measurement of abnormal returns using market-adjusted models. The period of observation of this study is 7 days before and after the announcement of the stock split. The sample in this study were 59 companies that went public that were listed as having conducted a stock split during the period 2013-2018. The hypothesis testing tool used is Paired Sample T-Test if the data is normally distributed and the Wilcoxon Signed Rank test if the data is not normally distributed. The analytical tool used includes descriptive statistical tests, normality tests and hypothesis tests. Trading Data Volume Activity and Abnormal Return are not normally distributed. The Wilcoxon Signed Rank Test results show that there is no difference in stock liquidity before and after the announcement of the stock split. The Wilcoxon Signed Rank Test results show that there are differences in Abnormal Return before and after the announcement of the stock split Keywords: Corporate Action, Stock Split, Stock Liquidity, Trading Volume Activity, Abnormal Return.