ANALISIS REAKSI PASAR SEBELUM DAN SESUDAH PENGUMUMAN STOCK SPLIT PADA PERUSAHAAN YANG MELAKUKAN STOCK SPLIT

Abstract: The aim of this research is to know the market reaction to stock split event which is showed by the changes of stock Abnormal Return and Trading Volume Activity.The research is done by using 12 sample of company, which do stock split in Indonesia Stock Exchange (IDX) in 2012. While analysis instrument which is used is data normality test using Kolmogorov-Smirnov Test, Paired Sample T-test if data normality distributed. If the data not distributed normally, it will use Wilcoxon Signed Rank Test. The result on difference of Abnormal Return and Trading Volume Activity before and after stock split event shown there is no difference on Abnormal Return and Trading Volume Activity before and after significant stock split event. Keywords: stock split, abnormal return, and trading volume activity