PERBANDINGAN ABNORMAL RETURN DAN LIKUIDITASSAHAM SEBELUM DAN SESUDAH STOCK SPLIT PADA PERUSAHAAN YANG LISTING DI BEI SAAT KEADAAN BULLISH DAN BEARISH

SAKINAH, INTAN NUR (2012) PERBANDINGAN ABNORMAL RETURN DAN LIKUIDITASSAHAM SEBELUM DAN SESUDAH STOCK SPLIT PADA PERUSAHAAN YANG LISTING DI BEI SAAT KEADAAN BULLISH DAN BEARISH. S1 thesis, Universitas Negeri Jakarta.

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Abstract

ABSTRACT Intan Nur Sakinah, 2012; Comparison of Stock Abnormal Return and Stock Liquidity Before and After Stock Split on the Company that Listed in the Indonesian Stock Exchange during Bullish and Bearish Condition. Skripsi, Jakarta: Concentration of Financial Management, Study Program of Management, Department of Management, Faculty of Economics, State University of Jakarta. The purpose of this study is to determine whether there are differences in abnormal stock returns and liquidity before and after the stock split during bullish and bearish. The determination of bullish and bearish using Clinebell et al , in defines a bullish period is a month where the market price has risen, the bearish is the month where the market price falls. Abnormal returns measured by market adjusted model. Liquidity is measured by Trading Volume Activity (TVA) and ILLIQ (Amihud, 2002). The research method used in this research is event study with the period of observation (event windows) for 11 trading days, the 5 trading days before the stock split (n-5 through n-1) and 5 trading days after the stock split (n +1 to n +5). The samples are 10 companies for bullish and 10 companies for bearish taken by purposive sampling method. The results of the hypothesis testing conclude that there are significant differences of abnormal returns in the period before and after the stock split during bullish and bearis. There were no significant differences of liquidity in the period before and after the stock split, both bullish and bearish condition. Key words: Stock Split, Abnormal Return, TVA, ILLIQ, Bullish, Bearish.

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