Analisis Perbedaan Likuiditas Saham, Return Saham, dan Bid Ask Spread Sebelum dan Setelah Stock Split pada Perusahaan yang Terdaftar di Bursa Efek Indonesia

ABSTRACT
DIFFERENCE ANALYSIS OF STOCK LIQUIDITY, STOCK RETURNS,
AND BID ASK SPREAD BEFORE AND AFTER 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 company's 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

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Universitas Sumatera Utara