vi
DAFTAR ISI
Halaman ABSTRAK
i
ABSTRACT
ii KATA PENGANTAR
iii DAFTAR ISI
vi DAFTAR TABEL
viii DAFTAR GAMBAR
ix DAFTAR LAMPIRAN
x BAB I PENDAHULUAN
1
1.1 Latar Belakang 1
1.2 Perumusan Masalah 8
1.3 Tujuan Penelitian 8
1.4 Manfaat Penelitian 9
BAB II TINJAUAN PUSTAKA 10
2.1 Tinjauan Teoritis 10
2.1.1 Pasar Modal 10
2.1.1.1 Pengertian Pasar Modal 10
2.1.1.2 Produk yang Diperdagangkan di Pasar Modal
11 2.1.1.3 Elemen yang Menyebabkan
Tumbuhnya Pasar Modal 11
2.1.2 Efisiensi Pasar 13
2.1.2.1 Pengertian Efisiensi Pasar 13
2.1.2.2 Hipotesis Pasar Efisien 13
2.1.2.3 Syarat dan Situasi Pasar Efisien 14
2.1.3 Studi Peristiwa
Event Study
16 2.1.4 Saham
17 2.1.4.1 Pengertian Saham
17 2.1.4.2 Jenis-jenis Saham
17 2.1.4.3 Faktor-faktor Penentu Saham
Naik Turun 20
2.1.4.4 Alasan Perusahaan Menjual Saham 21
2.1.5 Likuiditas Saham 21
2.1.6
Return
Saham 22
2.1.7
Bid Ask Spread
24 2.1.8 Risiko
25 2.1.9
Stock Split
27 2.1.9.1 Pengertian
Stock Split
27 2.1.9.2 Tujuan Dilakukannya
Stock Split
29 2.1.9.3 Alasan Melakukan
Stock Split
30
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vii 2.1.9.4 Jenis-jenis
Stock Split
31 2.1.9.5 Teori
Stock Split
31 2.2 Penelitian Terdahulu
33 2.3 Kerangka Konseptual
37 2.4 Hipotesis
39
BAB III METODE PENELITIAN 40
3.1 Jenis Penelitian 40
3.2 Tempat dan Waktu Penelitian 40
3.3 Batasan Operasional 40
3.4 Definisi Operasional 41
3.5 Populasi dan Sampel Penelitian 43
3.6 Jenis dan Sumber Data 45
3.7 Metode Pengumpulan Data 46
3.8 Teknik Analisis Data 46
3.8.1 Statistik Deskriptif 46
3.8.2 Uji Normalitas 47
3.8.3 Pengujian Hipotesis 47
BAB IV HASIL DAN PEMBAHASAN 50
4.1 Gambaran Umum 50
4.1.1 Gambaran Umum Pasar Modal di Indonesia 50
4.1.2 Gambaran Umum Perusahaan yang Melakukan
Stock Split
di BEI 54
4.2 Hasil Penelitian 83
4.2.1 Analisis Deskriptif 83
4.2.2 Uji Normalitas 86
4.2.3 Pengujian Hipotesis 90
4.3 Pembahasan 95
BAB V KESIMPULAN DAN SARAN 99
5.1 Kesimpulan 99
5.2 Saran 99
DAFTAR PUSTAKA
107
Universitas Sumatera Utara
viii
DAFTAR TABEL No. Tabel
Judul Halaman
1.1 Jumlah Perusahaan yang Melakukan
Stock Split
Di Bursa Efek Indonesia Tahun 2010 - 2014 3
1.2 Rata-rata
Trading Volume Activity
Saham Perusahaan yang Melakukan
Stock Split
Tahun 2010 - 2014 4
1.3 Rata-rata
Capital Gain
Saham Perusahaan yang Melakukan
Stock Split
Tahun 2010 - 2014 6
1.4 Rata-rata
Bid Ask Spread
Saham Perusahaan yang Melakukan
Stock Split
Tahun 2010 - 2014 6
2.1 Daftar PenelitianTerdahulu
35 3.1
Operasionalisasi Variabel 42
3.2 Daftar Perusahaan
Go Public
yang Melakukan
Stock Split
Januari 2010 – Desember 2014 dan Memenuhi
Kriteria Populasi Sasaran 43
4.1 Statistik Deskriptif
Trading Volume Activity
TVA 83
4.2 Statistik Deskriptif
Capital Gain
84 4.3
Statistik Deskriptif
Bid Ask Spread
85 4.4
Uji Normalitas Data
One Sample Kolmogorov Smirnov
Rata-rata
Trading Volume Activity
Sebelum dan Setelah
Stock Split
87 4.5
Uji Normalitas Data
One Sample Kolmogorov Smirnov
Rata-rata
Capital Gain
Sebelum dan Setelah
Stock Split
88 4.6
Uji Normalitas Data
One Sample Kolmogorov Smirnov
Rata-rata
Bid Ask Spread
Sebelum dan Setelah
Stock Split
89 4.7
Uji
Wilcoxon Signed Ranks Test
TVA 90
4.8 Uji
Wilcoxon Test Statistics
TVA 91
4.9 Uji
Wilcoxon Signed Ranks Test Capital Gain
92 4.10
Uji
Wilcoxon Test Statistics Capital Gain
93 4.11
Hasil
Paired Samples Statistics
pada Uji
Paired Sample t-Test
Rata-rata
Bid Ask Spread
Sebelum dan Sesudah
Stock Split
93 4.12
Hasil
Paired Samples Correlations
pada Uji
Paired Sample t-Test
Rata-rata
Bid Ask Spread
Sebelum dan Sesudah
Stock Split
94 4.13
Uji
Paired Sample t-Test
Rata-rata
Bid Ask Spread
Sebelum dan Sesudah
Stock Split
95
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ix
DAFTAR GAMBAR No. Tabel
Judul Halaman
2.1 Kerangka Konseptual
39
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x
DAFTAR LAMPIRAN No. Lampiran
Judul Halaman
1
Trading Volume Activity
TVA Saham Perusahaan yang Melakukan
Stock Split
Januari 2010 hingga Desember 2014 101
2
Average Trading Volume Activity
Saham Perusahaan yang Melakukan
Stock Split
Januari 2010 hingga Desember 2014 102
3
Capital Gain
Saham Perusahaan yang Melakukan Stock Split Januari 2010 hingga
Desember 2014 103
4
Average Capital Gain
Saham Perusahaan yang Melakukan
Stock Split
Januari 2010 hingga Desember 2014
104 5
Bid Ask Spread
Saham Perusahaan yang Melakukan
Stock Split
Januari 2010 hingga Desember 2014
105 6
Average Bid Ask Spread
Saham Perusahaan yang Melakukan
Stock Split
Januari 2010 hingga Desember 2014
106
Universitas Sumatera Utara
ii
ABSTRACT DIF F ERENCE ANALYSIS OF STOCK LIQUIDITY, STOCK RETURNS,
AND BID ASK SPREAD BEF ORE AND AF TER STOCK SPLIT ON COMPANIES LISTED IN INDONESIA STOCK EXCHANGE
The increase in stock price is too high will cause the demand for the purchase of these shares decreased and eventually may cause the companys stock
price does not fluctuate anymore. To avoid the appearance of these conditions, then one of the steps taken by the company is through the stock split . Stock split is
expected to increase the stock liquidity, stock returns, and the bid ask spread. This research aimed to get empirical evidence about differences in stock liquidity,
stock returns, and the bid ask spread before and after the stock split on companies listed in the Indonesia Stock Exchange .
The population of this research is that the stock split companies in Indonesian Stock Exchange from January 2010 to December 2014 amounted to
39 companies. While the sample in this research amounted to 37 companies. Variables used in this research is stock liquidity which proxied by Trading
Volume Activity TVA, stock returns which proxied by the capital gain, and the bid ask spread.
The analytical method used is descriptive analysis, normality test, Wilcoxon Signed Ranks to test hypotheses on the variable stock liquidity and stock
returns, and Paired t-Test to test the hypothesis at a variable bid ask spread with the significance level 5. Results from this research indicate that there is no
difference in the stock liquidity and stock returns before and after the stock split. But there are significant differences in the bid ask spread before and after the
stock split . Keywords: Stock Split
,
Stock Liquidity
,
Stock Returns
,
Bid Ask Spread
Universitas Sumatera Utara
1
BAB I PENDAHULUAN
