Perbandingan Reaksi Pasar pada Perusahaan LQ45 dan Non LQ45 atas Pengumuman Stock Split
Abstract
Stock split announcements are believed to cause investor reaction. The LQ45 Index company that already has high liquidity in IDX is a stock split. This research aims to test the difference of the company's market reaction LQ45 before and after the stock split announcement, test the reaction difference of the non-LQ45 company market before and after the stock split announcement, and test the market reaction difference between LQ45 and non LQ45 companies on the stock split announcement. This research sample is a company that does stock split up during January 2007-July 2019. Market reactions are measured by abnormal return. The analytical techniques used are different tests. The results showed there was a reaction of the company's market LQ45 and non LQ45 on the stock split announcement, and there was a difference in market reaction between LQ45 and non-LQ45 companies over stock split announcements.
Keywords: Stock Split; Abnormal Return Difference; Market Reaction.
Downloads
Download data is not yet available.
References
Adnyani, K. S. & Putri, I. G. A. M. A. D. (2015). Pengujian kandungan Informasi pada Pengumuman pemecahan saham di Indonesia. E-Jurnal Akuntansi Universitas Udayana. 10(1), 63-77.
Artama, N. S. & Wirakusuma, M. G. (2018). Perbedaan Reaksi Pasar atas Peristiwa Stock Split dan Reverse Stock Split. E-Jurnal Akuntansi Universitas Udayana. 23(2), 1225-1252.
Bajra, U. & Hasani, B. (2012). Event Study on Stock Splits. International Journal of Interdisclipanary Research, 1(2), 37-43.
Griffin, C. H. (2010). Abnormal Returns and Stock Splits: The Decimalizedvs. Fractional System of Stock Price Quotes. International Journal of Business and Management, 5 (12), 3 –13. https://doi.org/10.5539/ijbm.v5n12p3
Hanafie, L., & Diyani, L. A. (2016). Pengaruh Pengumuman Stock Split Terhadap Return Saham , Abnormal Return dan Trading Volume Activity. Jurnal Bisnis Dan Komunikasi, 3(2), 13–20.
Hartono, J. (2017). Teori Portofolio dan Analisis Investasi. Edisi Kesebelas. Yogyakarta: BPFE.
Hossain, S. (2017). Market Reaction aroundthe Event of a Stock Splits : An Analysis on the Dhaka Stock Exchange. International Journal of Business and Management. 12(7), 212–222. https://doi.org/10.5539/ijbm.v12n7p212
Hua, L., & Ramesh, S. (2013). A Study on Stock Split Announcements and its Impact on Stock Prices in Colombo Stock Exchange (CSE) of Sri Lanka. Global Journal of Management and Business Research Finance, 13(6), 234-247.
Jannah, W., & Ady, S. U. (2017). Analisis Fundamental, Suku Bunga, dan Overconvidence Terhadap Pengambilan Keputusan Investasi Investasi pada Investor di Surabaya. Jurnal Bisnis dan Manajemen, 1(2), 138-156.
Jain, A., & Robbani, M. (2013). The effect of stock split announcements on abnormal returns during a financial crisis. Journal of Finance and Accountancy. 4(11), 1–11.
Desai. (2016). Impact of Stock Split on Share Prices. International Journal of Recent Scientific Research, 7(5), 11419-11422.
Kalay, A. & Kronlund, M. (2012). Stock Split: Information or Liquidity?. International Journal of Business and Management. 5(23), 112-128.
Karim, M. A. (2018). Market Reaction To Split Announcements : Rational Response or Behavioural Bias ?. Academy of Accounting and Financial Studies Journal. 22(2), 1–15.
Khajar, I. (2016). Analisis Stock Split Terhadap Harga Saham Dan Volume Perdagangan Saham Indek Lq-45 Periode 2010 - 2016. Jurnal Keuangan Dan Perbankan, 20(3), 395–406. https://doi.org/10.26905/jkdp.v20i3.290
Korir, S. K., Odhiambo, A. O., & Wawire, P. (2016). Stock Splits and Performance of Firms Listed at the Nairobi Securities Exchange, Kenya. International Journal of Sciences: Basic and Applied Research (IJSBAR). 29(1), 168-178.
Li, X., Stork, P., & Zou, L. (2009). An Empirical Note on US Stock Split Announcements, 2000-2009. Journal Economic and Business. 11(32), 111-127.
Nadig, A. (2015). An Empirical Studyof Stock Split Announcements of Select BSE Sectors Using Event Study Methodology. SDMIMD Journal of Management, 6(1), 1-15.
Nagendra, M., & Suresh Babu, M. (2018). Impact of Corporate (Different Stock Split Ratios) Action on Stock Price in India. International Journal of Research in Economics and Social Sciences (IJRESS), 8939(1), 2249–7382.
P, H. M., & Yasa, G. W. (2015). Perbedaan Reaksi Pasar Atas Pengumuman Pemecahan Saham Pada Lq45 Dan NonLq45. Jurnal Ilmiah Akuntansi dan Bisnis. 10(2), 96–104.
Paramitha, D. (2019). Analisis Reaksi Pasar atas Pengumuman Stock Split. E-Jurnal Akuntansi Universitas Udayana. 27(3), 1897-1924.
Patel, M., Dave, M., & Shah, M. (2016). Stock Price and Liquidity Effectof Stock Split: Evidence From Indian Stocks Market. International Journal of Management Research & Review, 6 (8), 2249–7196. Retrieved from www.ijmrr.com.
Pratama, I. G. S., & Sudhiarta, G. M. (2014). Analisis Perbandingan Abnormal Return Saham Sebelum dan Sesudah Pengummuman Right Issue. E-Jurnal Manajemen Universitas Udayana, 3 (1), 243–257.
Putra, P. G. A., & Suaryana, I. G. N. A. (2019). Reaksi Pasar atas Pengumuman Stock Split. E-Jurnal Akuntansi Univeritas Udayana. 27(2), 1448-1471.
Tabibian, S. A., & Zhang, Z. (2018). Stock Split Announcement and Return Votality: Evidence from Malaysia. Journal of Ecenomic Research, 23(2018), 265-290.
Trijunanto, E. (2015). Analisis Pengaruh Pemecahan Saham(Stock Split) Terhadap Abnormal Return Saham Dan Likuiditas Saham Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia (Bei) Periode 2011-2015. Jurnal Keuangan dan Perbankan. 22(13), 145-158.
Utami, A. T. (2017). Analisis Trading Volume Activity dan Average Abnormal Return Sebelum dan Sesudah Melakukan Pemecahan Saham (Stock Split) Pada Perusahaan yang Terdaftar di Bursa Efek Indonesia. Jurnal Ekonomi dan Bisnis. 18(2), 164-173
Zhu, C. & Chen, K. (2014). The Market Reaction to Stock Splits Announncement and The UnderlyingExplanations. SFU Summit-Institusional Repository. Journal of Ecenomic Research. 2(45), 155-169.
Artama, N. S. & Wirakusuma, M. G. (2018). Perbedaan Reaksi Pasar atas Peristiwa Stock Split dan Reverse Stock Split. E-Jurnal Akuntansi Universitas Udayana. 23(2), 1225-1252.
Bajra, U. & Hasani, B. (2012). Event Study on Stock Splits. International Journal of Interdisclipanary Research, 1(2), 37-43.
Griffin, C. H. (2010). Abnormal Returns and Stock Splits: The Decimalizedvs. Fractional System of Stock Price Quotes. International Journal of Business and Management, 5 (12), 3 –13. https://doi.org/10.5539/ijbm.v5n12p3
Hanafie, L., & Diyani, L. A. (2016). Pengaruh Pengumuman Stock Split Terhadap Return Saham , Abnormal Return dan Trading Volume Activity. Jurnal Bisnis Dan Komunikasi, 3(2), 13–20.
Hartono, J. (2017). Teori Portofolio dan Analisis Investasi. Edisi Kesebelas. Yogyakarta: BPFE.
Hossain, S. (2017). Market Reaction aroundthe Event of a Stock Splits : An Analysis on the Dhaka Stock Exchange. International Journal of Business and Management. 12(7), 212–222. https://doi.org/10.5539/ijbm.v12n7p212
Hua, L., & Ramesh, S. (2013). A Study on Stock Split Announcements and its Impact on Stock Prices in Colombo Stock Exchange (CSE) of Sri Lanka. Global Journal of Management and Business Research Finance, 13(6), 234-247.
Jannah, W., & Ady, S. U. (2017). Analisis Fundamental, Suku Bunga, dan Overconvidence Terhadap Pengambilan Keputusan Investasi Investasi pada Investor di Surabaya. Jurnal Bisnis dan Manajemen, 1(2), 138-156.
Jain, A., & Robbani, M. (2013). The effect of stock split announcements on abnormal returns during a financial crisis. Journal of Finance and Accountancy. 4(11), 1–11.
Desai. (2016). Impact of Stock Split on Share Prices. International Journal of Recent Scientific Research, 7(5), 11419-11422.
Kalay, A. & Kronlund, M. (2012). Stock Split: Information or Liquidity?. International Journal of Business and Management. 5(23), 112-128.
Karim, M. A. (2018). Market Reaction To Split Announcements : Rational Response or Behavioural Bias ?. Academy of Accounting and Financial Studies Journal. 22(2), 1–15.
Khajar, I. (2016). Analisis Stock Split Terhadap Harga Saham Dan Volume Perdagangan Saham Indek Lq-45 Periode 2010 - 2016. Jurnal Keuangan Dan Perbankan, 20(3), 395–406. https://doi.org/10.26905/jkdp.v20i3.290
Korir, S. K., Odhiambo, A. O., & Wawire, P. (2016). Stock Splits and Performance of Firms Listed at the Nairobi Securities Exchange, Kenya. International Journal of Sciences: Basic and Applied Research (IJSBAR). 29(1), 168-178.
Li, X., Stork, P., & Zou, L. (2009). An Empirical Note on US Stock Split Announcements, 2000-2009. Journal Economic and Business. 11(32), 111-127.
Nadig, A. (2015). An Empirical Studyof Stock Split Announcements of Select BSE Sectors Using Event Study Methodology. SDMIMD Journal of Management, 6(1), 1-15.
Nagendra, M., & Suresh Babu, M. (2018). Impact of Corporate (Different Stock Split Ratios) Action on Stock Price in India. International Journal of Research in Economics and Social Sciences (IJRESS), 8939(1), 2249–7382.
P, H. M., & Yasa, G. W. (2015). Perbedaan Reaksi Pasar Atas Pengumuman Pemecahan Saham Pada Lq45 Dan NonLq45. Jurnal Ilmiah Akuntansi dan Bisnis. 10(2), 96–104.
Paramitha, D. (2019). Analisis Reaksi Pasar atas Pengumuman Stock Split. E-Jurnal Akuntansi Universitas Udayana. 27(3), 1897-1924.
Patel, M., Dave, M., & Shah, M. (2016). Stock Price and Liquidity Effectof Stock Split: Evidence From Indian Stocks Market. International Journal of Management Research & Review, 6 (8), 2249–7196. Retrieved from www.ijmrr.com.
Pratama, I. G. S., & Sudhiarta, G. M. (2014). Analisis Perbandingan Abnormal Return Saham Sebelum dan Sesudah Pengummuman Right Issue. E-Jurnal Manajemen Universitas Udayana, 3 (1), 243–257.
Putra, P. G. A., & Suaryana, I. G. N. A. (2019). Reaksi Pasar atas Pengumuman Stock Split. E-Jurnal Akuntansi Univeritas Udayana. 27(2), 1448-1471.
Tabibian, S. A., & Zhang, Z. (2018). Stock Split Announcement and Return Votality: Evidence from Malaysia. Journal of Ecenomic Research, 23(2018), 265-290.
Trijunanto, E. (2015). Analisis Pengaruh Pemecahan Saham(Stock Split) Terhadap Abnormal Return Saham Dan Likuiditas Saham Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia (Bei) Periode 2011-2015. Jurnal Keuangan dan Perbankan. 22(13), 145-158.
Utami, A. T. (2017). Analisis Trading Volume Activity dan Average Abnormal Return Sebelum dan Sesudah Melakukan Pemecahan Saham (Stock Split) Pada Perusahaan yang Terdaftar di Bursa Efek Indonesia. Jurnal Ekonomi dan Bisnis. 18(2), 164-173
Zhu, C. & Chen, K. (2014). The Market Reaction to Stock Splits Announncement and The UnderlyingExplanations. SFU Summit-Institusional Repository. Journal of Ecenomic Research. 2(45), 155-169.
Published
2020-02-17
How to Cite
WAHYUDI, Kadek; PUTRA, I Nyoman Wijana Asmara.
Perbandingan Reaksi Pasar pada Perusahaan LQ45 dan Non LQ45 atas Pengumuman Stock Split.
E-Jurnal Akuntansi, [S.l.], v. 30, n. 2, p. 307 - 318, feb. 2020.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/52874>. Date accessed: 24 nov. 2024.
doi: https://doi.org/10.24843/EJA.2020.v30.i02.p03.
Issue
Section
Artikel
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
