Analisis Perbedaan Abnormal Retun dan Trading Volume Activity Sebelum dan Sesudah ReverseStock Split di Bursa Efek Indonesia

ABSTRAK
ANALISIS PERBEDAAN ABNORMAL RETURN DAN TRADING VOLUME
ACTIVITY SAHAM SEBELUM DAN SESUDAH REVERSE STOCK
SPLIT DI BURSA EFEK INDONESIA

Penelitian ini bertujuan untuk mendapatkan bukti empiris tentang
perbedaan abnormal return dan trading volume activity saham sebelum dan
sesudah peristiwa reverse stock split di Bursa Efek Indonesia. Populasi dalam
penelitian ini adalah perusahaan yang melakukan reverse stock split di Bursa efek
Indonesia pada tahun 2005-2014 yang berjumlah 21 perusahaan. Sedangkan
sampel dalam penelitian ini berjumlah 16 perusahaan. Hipotesis yang dikemukan
dalam penelitian ini adalah terdapat perbedaan abnormal return sebelum dan
sesudah reverse stock split dan terdapat perbedaan trading volume activity
sebelum dan sesudah reverse stock split. Pengumpulan data dilakukan dengan
studi dokumentasi melalui berbagai literatur ilmiah dan website resmi. Hipotesis
penelitian ini diuji dengan uji Wilcoxon Signed Rank dengan tingkat signifikansi
yang digunakan sebesar 5% (0,05) karena baik variabel-variabel abnormal return
maupun variabel-variabel trading volume activity tidak berdistribusi secara
normal. Hasil penelitian ini menunjukan bahwa tidak terdapat perbedaan
abnormal return dan trading volume activity sebelum dan sesudah reverse stock
split.

Kata kunci: Reverse Stock Split, Abnormal Return, Trading Volume Activity

i
Universitas Sumatera Utara

ABSTRACT
THE ANALYSIS OF DIFFERENCE BETWEEN ABNORMAL RETURN
AND TRADING VOLUME ACTIVITY BEFORE AND AFTER
REVERSE STOCK SPLIT ON INDONESIAN
STOCK EXCHANGE
This research aims to get empirical evidence about differences abnormal
return and trading volume activity before and after reverse stock split event on
Indonesian Stock Exchange. The population of this research is companies who do
reverse stock split on Indonesian Stock Exchange in period 2005-2014 which
amounts to 21 companies. While the sample of this research amounts to 16
companies. The hypothesis of this research is that there is a difference of
abnormal return before and after reverse stock split and there is a difference of
trading volume activity before and after reverse stock split. The data are collected
through the documentation study with various scientific literatures and valid

website. The hypothesis of this research is tested by Wilcoxon Signed Rank test
with significance level of 5% (0,05) because either the variabels of abnormal
return or the variabels of trading volume activity is not distributed normally. The
results of this research indicate that there is no difference in abnormal return and
trading volume activity before and after reverse stock split.

Keywords: Reverse Stock Split, Abnormal Return, Trading Volume Activity

ii
Universitas Sumatera Utara