Reaksi Pasar atas Pengumuman Stock Split Sebelum dan Selama Pandemi COVID-19
Abstract
The study aims to examine differences in abnormal returns and stock trading volumes before and after stock split announcements in the period before and during the COVID-19 pandemic. The number of samples in this study were 47 companies selected by purposive sampling techniques. Data collection uses nonpartisan observation methods by accessing www.idx.co.id and yahoofinance.com sites. The data was analyzed using the Wilcoxon Signed Rank Test. The results showed that there was no difference abnormal return before and after the stock split announcement in the period before the COVID-19 pandemic, there was no difference in abnormal return before and after the stock split announcement during the COVID-19 pandemic, there was a difference in stock trading volume before and after the stock split announcement in the period before the COVID-19 pandemic, there was a difference in stock trading volume before and after the stock split during the COVID-19 pandemic.
Keywords: Stock Split; Abnormal Return; TVA; COVID-19 Pandemic
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References
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Chiah, M., & Zhong, A. (2020). Trading from home: The impact of COVID-19 on trading volume around the world. Finance Research Letters, 37(September), 101784. https://doi.org/10.1016/j.frl.2020.101784
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Leung, T. Y., Rui, O. M., & Wang, S. S. (2019). Do Stock Splits Really Signal? In SSRN Electronic Journal. https://doi.org/10.2139/ssrn.676362
Ortmann, R., Pelster, M., & Wengerek, S. T. (2020). COVID-19 and investor behavior. Finance Research Letters, 37(August), 101717. https://doi.org/10.1016/j.frl.2020.101717
Pandow, B. A., & Butt, K. A. (2019). Impact of Share Splits on Stock Returns: Evidences from India. Vision, 23(4), 432–441. https://doi.org/10.1177/0972262919868130
Patel, M., Dave, M., & Shah, M. (2016). Stock Price and Liquidity Effect of Stock Split: Evidence From Indian Stock Market. International Journal of Management Research & Review, 6(8), 2249–7196. www.ijmrr.com
Phan, D. H. B., & Narayan, P. K. (2020). Country Responses and the Reaction of the Stock Market to COVID-19—a Preliminary Exposition. Emerging Markets Finance and Trade, 56(10), 2138–2150. https://doi.org/10.1080/1540496X.2020.1784719
Podgórski, B., & Pasierbek, K. (2020). The “magic action” of stock splits: Evidence from the Warsaw Stock Exchange 2003-2017. Central European Management Journal, 28(1), 66–80. https://doi.org/10.7206/cemj.2658-0845.16
Purwata, I. P., & Wiksuana, I. G. B. (2019). Reaksi Pasar Terhadap Peristiwa Stock Split Di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 8(4), 2252. https://doi.org/10.24843/ejmunud.2019.v08.i04.p17
Pertiwi, N. P. A., & Wirama, D. G. (2019). Reaksi Pasar Atas Dividend Initiation dan Dividend Omission. E-Jurnal Akuntansi Universitas Udayana, 26(2), hal. 1190-1214.
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Sidqi, F. I., & Prabawani, B. (2017). Analisis Harga Saham dan Volume Perdagangan Saham Sebelum dan Sesudah Melakukan Stock Split (Studi Empiris pada Perusahaan Go Public Periode 2010-2015). Jurnal Ilmu Administrasi Bisnis, 1(6), 44–54.
Spence, M. (1973). Job Market Signaling. The Quarterly Journal of Economics, 87(3), pp. 355-374.
Sugiyono. (2017). Metode Penelitian Kuantitatif, Kualitatif, dan R&D. Alfabeta.
Tabibian, S. A., Zhang, Z., & Jafarian, M. (2020). How does split announcement affect stock liquidity? Evidence from bursa Malaysia. Risks, 8(3), 1–14. https://doi.org/10.3390/risks8030085
Tanoyo, A. A. (2020). Analisis Pengaruh Stock Split Terhadap Volume Perdagangan, Harga Saham, dan Abnormal Return Pada Perusahaan yang Terdaftar di BEI Periode 2017-2018. Jurnal Manajemen Bisnis dan Kewirusahaan, 4(1), hal. 1–26.
Trisanti, T. (2020). Stock split and stock market reaction: The evidence of indonesian public company. Humanities and Social Sciences Reviews, 8(2), 1–7. https://doi.org/10.18510/hssr.2020.821
Wahyudi, K. & Putra, I. N. W. A. (2020). Perbandingan Reaksi Pasar pada Perusahaan LQ45 dan Non LQ45. E-Jurnal Akuntansi Universitas Udayana, 30(2), hal. 307-318.
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), hal. 1225-1252.
Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54, 101249. https://doi.org/10.1016/j.ribaf.2020.101249
Asriningsih, W. (2015). Analisis Abnormal Return Dan Likuiditas Saham Sebelum Dan Sesudah Stock Split Periode 2008-2012. Jurnal Economia, 11(1), 10. https://doi.org/10.21831/economia.v11i1.7750
Budatama, I. P. N., & Merkusiwati, N. K. L. A. (2014). Reaksi pasar berupa volume perdagangan saham saat stock split pada perusahaan BEI tahun 2011-2013. E-Jurnal Akuntansi Universitas Udayana, 9(1), 106–117.
Chiah, M., & Zhong, A. (2020). Trading from home: The impact of COVID-19 on trading volume around the world. Finance Research Letters, 37(September), 101784. https://doi.org/10.1016/j.frl.2020.101784
Chung, C. Y., Ju, K., & Ryu, D. (2016). Stock split, unseasoned equity offering, and firm value: Evidence from the Korean stock market. Investment Management and Financial Innovations, 13(3), 105–109. https://doi.org/10.21511/imfi.13(3).2016.09
Copeland, T. E. (1979). Liquidity Changes Following Stock Splits. XXXIV(1).
Engelhardt, N., Krause, M., Neukirchen, D., & Posch, P. N. (2021). Trust and stock market volatility during the COVID-19 crisis. Finance Research Letters, 38, 101873. https://doi.org/10.1016/j.frl.2020.101873
Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). Adjustment of Stock Prices to New Information. International Economic Review, 10(1), hlm: 1-21. {http://www.jstor.org/stable/2525569The}
Fauzi, S. Z. (2014). Pengaruh Pengumuman Stock Split terhadap Likuiditas Saham dan Return Saham (Studi pada Perusahaan yang Terdaftar di Bursa Efek Indonesia Periode 2012-2014 ). Jurnal Administrasi Bisnis (JAB), 38(2), 156–162.
Gherghina, Stefan C., Armeanu, D. Stefan, & Joldes, C. C. (2020). Stock market reactions to COVID-19 pandemic outbreak: Quantitative evidence from ARDL bounds tests and granger causality analysis. International Journal of Environmental Research and Public Health, 17(18), 1–35. https://doi.org/10.3390/ijerph17186729
Gu, J. (2020). Risk assessment on continued public health threats: Evidence from China’s stock market. International Journal of Environmental Research and Public Health, 17(20), 1–29. https://doi.org/10.3390/ijerph17207682
Gumus, N., & Caglayan Gumus, A. (2021). Do stock splits matter for returns, volatility, and liquidity?: New Evidence from Borsa Istanbul. International Journal of Research In Business and Social Science, 10(4), 467–478. https://doi.org/10.20525/ijrbs.v10i4.1250
Hartono, J. (2017). Teori Portofolio dan Analisis Investasi (Kesepuluh). BPFE.
Herlambang, S. N. P., & Sukmaningrum, P. S. (2020). Reaksi Pasar Saham Terhadap Pengumuman Stock Split Pada Indeks Saham Syariah Indonesia (Issi) Periode 2013-2018. Jurnal Ekonomi Syariah Teori Dan Terapan, 7(4), 704. https://doi.org/10.20473/vol7iss20204pp704-713
How, C. C., & Tsen, W. H. (2019). The Effects of Stock Split Announcements on the Stock Returns in Bursa Malaysia. Jurnal Ekonomi Malaysia, 53(2), 41–53. https://doi.org/10.17576/JEM-2019-5302-4
IHSG Melemah 6,58 Persen ke Level 5.136. (2020). CNNIndonesia. https://www.cnnindonesia.com/ekonomi/20200309161459-92-481790/ihsg-melemah-658-persen-ke-level-5136
Irmayani, N. W. D. (2020). Dampak Pandemic Covid 19 Terhadap Reaksi Pasar Pada Sektor Consumer Goods Industry Di Bursa Efek Indonesia. E-Jurnal Ekonomi Universitas Udayana, 9(12), hal. 1227–1240.
Kupang, R. H. K. (2021). Aktivitas Pasar Modal Indonesia di Era Pandemi. https://www.djkn.kemenkeu.go.id/artikel/baca/13817/Aktivitas-Pasar-Modal-Indonesia-Di-Era-Pandemi.html
Leung, T. Y., Rui, O. M., & Wang, S. S. (2019). Do Stock Splits Really Signal? In SSRN Electronic Journal. https://doi.org/10.2139/ssrn.676362
Ortmann, R., Pelster, M., & Wengerek, S. T. (2020). COVID-19 and investor behavior. Finance Research Letters, 37(August), 101717. https://doi.org/10.1016/j.frl.2020.101717
Pandow, B. A., & Butt, K. A. (2019). Impact of Share Splits on Stock Returns: Evidences from India. Vision, 23(4), 432–441. https://doi.org/10.1177/0972262919868130
Patel, M., Dave, M., & Shah, M. (2016). Stock Price and Liquidity Effect of Stock Split: Evidence From Indian Stock Market. International Journal of Management Research & Review, 6(8), 2249–7196. www.ijmrr.com
Phan, D. H. B., & Narayan, P. K. (2020). Country Responses and the Reaction of the Stock Market to COVID-19—a Preliminary Exposition. Emerging Markets Finance and Trade, 56(10), 2138–2150. https://doi.org/10.1080/1540496X.2020.1784719
Podgórski, B., & Pasierbek, K. (2020). The “magic action” of stock splits: Evidence from the Warsaw Stock Exchange 2003-2017. Central European Management Journal, 28(1), 66–80. https://doi.org/10.7206/cemj.2658-0845.16
Purwata, I. P., & Wiksuana, I. G. B. (2019). Reaksi Pasar Terhadap Peristiwa Stock Split Di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 8(4), 2252. https://doi.org/10.24843/ejmunud.2019.v08.i04.p17
Pertiwi, N. P. A., & Wirama, D. G. (2019). Reaksi Pasar Atas Dividend Initiation dan Dividend Omission. E-Jurnal Akuntansi Universitas Udayana, 26(2), hal. 1190-1214.
Ramadhani, P. I. (2021). Saham Unilever Lesu Sepanjang 2021, Ini Penyebabnya. Liputan6. https://m.liputan6.com/saham/read/4635082/saham-unilever-lesu-sepanjang-2021-ini-penyebabnyahttps://m.liputan6.com/saham/read/4635082/saham-unilever-lesu-sepanjang-2021-ini-penyebabnya
Sidqi, F. I., & Prabawani, B. (2017). Analisis Harga Saham dan Volume Perdagangan Saham Sebelum dan Sesudah Melakukan Stock Split (Studi Empiris pada Perusahaan Go Public Periode 2010-2015). Jurnal Ilmu Administrasi Bisnis, 1(6), 44–54.
Spence, M. (1973). Job Market Signaling. The Quarterly Journal of Economics, 87(3), pp. 355-374.
Sugiyono. (2017). Metode Penelitian Kuantitatif, Kualitatif, dan R&D. Alfabeta.
Tabibian, S. A., Zhang, Z., & Jafarian, M. (2020). How does split announcement affect stock liquidity? Evidence from bursa Malaysia. Risks, 8(3), 1–14. https://doi.org/10.3390/risks8030085
Tanoyo, A. A. (2020). Analisis Pengaruh Stock Split Terhadap Volume Perdagangan, Harga Saham, dan Abnormal Return Pada Perusahaan yang Terdaftar di BEI Periode 2017-2018. Jurnal Manajemen Bisnis dan Kewirusahaan, 4(1), hal. 1–26.
Trisanti, T. (2020). Stock split and stock market reaction: The evidence of indonesian public company. Humanities and Social Sciences Reviews, 8(2), 1–7. https://doi.org/10.18510/hssr.2020.821
Wahyudi, K. & Putra, I. N. W. A. (2020). Perbandingan Reaksi Pasar pada Perusahaan LQ45 dan Non LQ45. E-Jurnal Akuntansi Universitas Udayana, 30(2), hal. 307-318.
Published
2023-03-26
How to Cite
WAHYUNI, Dewa Ayu Try; WIRAKUSUMA, Made Gede.
Reaksi Pasar atas Pengumuman Stock Split Sebelum dan Selama Pandemi COVID-19.
E-Jurnal Akuntansi, [S.l.], v. 33, n. 3, p. 634-647, mar. 2023.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/83677>. Date accessed: 19 apr. 2024.
doi: https://doi.org/10.24843/EJA.2023.v33.i03.p04.
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