Analisis Perbedaan Abnormal Return dan Volume Perdagangan Sebelum dan Sesudah Stock Split di Bursa Efek Indonesia

  Lampiran 1 Daftar Populasi dan Sampel No. Kode Emiten Nama Perusahaan Tanggal

  10 Desember 2008

  22 Agustus 2007

  4 2008

  1 BBCA Bank Central Asia Tbk

  28 Januari 2008

  5

  2 BRNA Berlina Tbk

  04 Agustus 2008

  3 DOID Delta Dunia Makmur Tbk

  15 April 2008

  4 ICON Island Concepts Indonesia Tbk

  5 INCO Vale Indonesia Tbk

  3

  15 Januari 2008

  6

  6 MIRA Mitra International Resources Tbk

  30 Mei 2008

  7 PANR Panorama Sentrawisata Tbk

  11 Februari 2008

  7

  8 PANS Panin Sekuritas Tbk

  21 Januari 2008

  9 PGAS Perusahaan Gas Negara (Persero) Tbk

  11 SOBI Sorini Agro Asia Corporindo Tbk

  07 Agustus 2007

  Stock Split

  4 CPIN Charoen Pokphand Indonesia Tbk

  Kriteria

  S

  A B C D 2007

  1 AKRA AKR Corporindo Tbk

  27 Juli 2007

  2 ANTM Aneka Tambang (Persero) Tbk

  12 Juli 2007

  1

  3 BMTR Global Mediacom Tbk

  24 April 2007

  01 November 2007

  10 SMGR Semen Indonesia (Persero) Tbk

  5 DAVO Davomas Abadi Tbk

  28 Mei 2007

  2

  6 HADE HD Capital Tbk

  10 September 2007

  7 JPRS Jaya Pari Steel Tbk

  12 Desember 2007

  8 LPKR Lippo Karawaci Tbk

  26 Desember 2007

  9 PWON Pakuwon Jati Tbk

  19 September 2007

  04 Agustus 2008

  

Daftar Populasi dan Sampel

No.

  8 MTFN Capitalinc Investment Tbk 11 Juli 2011

  4 INTA Intraco Penta Tbk

  6 Juni 2011

  11

  5 JTPE Jasuindo Tiga Perkasa Tbk

  26 Juli 2011

  12

  6 LSIP PP London Sumatra Indonesia Tbk

  25 Februari 2011

  13

  7 MAIN Malindo Feedmill Tbk

  15 Juni 2011

  14

  9 MTSM Metro Realty Tbk

  3 BTPN Bank Tabungan Pensiunan Nasional Tbk

  18 Oktober 2011

  15

  10 PBRX Pan Brothers Tbk

  15 Juni 2011

  11 SSIA Surya Semesta Internusa Tbk

  7 Juli 2011

  2012

  1 ACES Ace Hardware Indonesia Tbk

  1 November 2012

  2 ASII Astra International Tbk

  5 Juni 2012

  16

  3 BFIN BFI Finance Indonesia

  28 Maret 2011

  11 Januari 2011

  Kode Emiten Nama Perusahaan Tanggal

  2010

  Stock Split

  Kriteria

  S

  A B C D

  10 TINS Timah (Persero) Tbk

  08 Agustus 2008

  2009

  1 ARNA Arwana Citramulia Tbk

  11 September 2009

  8

  2 CTBN Citra Tubindo Tbk

  07 Januari 2009

  1 CPIN Charoen Pokphand Indonesia Tbk

  2 BBRI Bank Rakyat Indonesia (Persero) Tbk

  8 Desember 2010

  2 CTRA Ciputra Development Tbk 15 Juni 2010

  3 DILD Intiland Development Tbk 26 Juli 2010

  4 DVLA Darya-Varia Laboratoria Tbk

  12 November 2010

  5 KKGI Resource Alam Indonesia Tbk

  18 Maret 2010

  9

  6 TURI Tunas Ridean Tbk

  17 Juni 2010

  10 2011

  1 AUTO Astra Otoparts Tbk

  24 Juni 2011

  7 Agustus Tbk 2012 Daftar Populasi dan Sampel No. Kode Emiten Nama Perusahaan Tanggal

  Stock Split

  4 September 2013

  29 Oktober 2012

  16 TOTO Surya Toto Indonesia Tbk

  9 Agustus 2012

  20 2013

  1 AMRT Sumber Alfaria Trijaya Tbk

  29 Juli 2013

  2 ARNA Arwana Citramulia Tbk

  8 Juli 2013

  3 BATA Sepatu Bata Tbk

  21

  30 Maret 2012

  4 JKON Jaya Konstruksi Manggala Pratama Tbk

  26 September 2013

  5 JPFA Japfa Comfeed Indonesia Tbk

  19 April 2013

  6 JRPT Jaya Real Property Tbk

  1 Agustus 2013 7 MDLN Modernland Realty Ltd.

  Tbk

  13 November 2013

  8 NIPS Nipress Tbk

  25 November 2013

  15 SCMA Surya Citra Media Tbk

  14 PWON Pakuwon Jati Tbk

  Kriteria S A B C D

  8 Oktober 2012

  4 BRNA Berlina Tbk

  6 November 2012

  17

  5 DKFT Central Omega Resources Tbk

  3 Agustus 2012

  6 HERO Hero Supermarket Tbk

  5 April 2012

  7 IMAS Indomobil Sukses Internasional Tbk

  7 Juni 2012

  8 KLBF Kalbe Farma Tbk

  18

  19

  9 KREN Kresna Graha Sekurindo Tbk

  7 Agustus 2012

  10 MDRN Modern Internasional Tbk

  3 Juli 2012

  11 PNSE Pudjiadi & Sons Tbk

  28 September 2012

  12 POOL Pool Advista Indonesia Tbk

  3 Januari 2012

  13 PTRO Petrosea Tbk

  6 Maret 2012

  Daftar Populasi dan Sampel

  No. Kode Emiten Nama Perusahaan Tanggal

  12 Februari 2014

  25 Juli 2014

  4 TOTO Surya Toto Indonesia Tbk

  06 November 2014

  3 MLBI Multi Bintang Indonesia Tbk

  23

  12 Februari 2014

  2 INAI Indal Aluminium Industry Tbk

  1 ALMI Alumindo Light Metal Industry Tbk

  Stock Split

  22 Juli 2013 2014

  11 TOWR Sarana Menara Nusantara Tbk

  22

  28 Agustus 2013

  10 TLKM Telekomunikasi Indonesia (Persero) Tbk

  29 November 2013

  9 ROTI Nippon Indosari Corpindo Tbk

  Kriteria S A B C D

  Sumber : Indonesian Capital Makret Directory (ICMD) 2012-2014,ursa.com

• 0.009615385 2,294.59 -0.002933074 -0.006682311 20,367,500 9,538,459,750 0.002135303
• 0.018867925 2,286.22 -0.006682308 -0.012185617 8,288,500 9,538,459,750 0.000868956

• 0.8 2,284.92 0.005058458 -0.805058458 92,598,500 9,538,459,750 0.009707909
• 1
• 0.032846715 2,282.38 0.004860567 -0.037707282 14,748,500 9,538,459,750 0.001546214
• 3
• 2
• 4
• 5

  580 -0.033333333 2,071.27 0.003638989 -0.036972322 372,000 12,403,711,320 0.000029991

  580 2,078.75 0.003611311 -0.003611311 467,000 12,403,711,320 0.000037650

  580 2,104.25 0.012266987 -0.012266987 2,991,000 12,403,711,320 0.000241138

  600 0.034482759 2,078.60 -0.012189616 0.046672375 31,310,000 12,403,711,320 0.002524244

  610 0.016666667 2,060.43 -0.008741461 0.025408127 16,595,000 12,403,711,320 0.001337906

  2,076.76 0.00792553 -0.057105858 2,887,000 12,403,711,320 0.000232753

  1 280 -0.034482759 2,058.74 -0.008676978 -0.025805781 1,553,000 12,403,711,320 0.000125204 290 -0.049180328

  2 280 2,055.40 -0.001622352 0.001622352 509,500 12,403,711,320 0.000041076

  3 280 2,084.32 0.014070254 -0.014070254 285,000 12,403,711,320 0.000022977

  4 290 0.035714286 2,111.75 0.013160167 0.022554118 683,500 12,403,711,320 0.000055104

  5 285 -0.017241379 2,093.11 -0.008826802 -0.008414577 2,192,500 12,403,711,320 0.000176762

  Return Volume Transaksi Jumlah Volume Beredar TVA

  IHSG Market Return Abnormal

  Harga saham Actual Return

  12900 0.048543689 2,220.93 0.011306407 0.012503117 15,189,000 9,538,459,750 0.001592395

  13600 0.054263566 2,227.05 0.002755602 0.051507964 27,898,500 9,538,459,750 0.002924843

  13700 0.007352941 2,271.34 0.019887295 -0.012534354 35,677,500 9,538,459,750 0.003740384

  13250

  13250 2,273.42 -0.003925727 0.003925727 22,599,500 9,538,459,750 0.002369303

  1 2650 2,301.60 0.007300037 -0.007300037 27,336,500 9,538,459,750 0.002865924 2650

  2 2600

  3 2600 2,301.34 0.006613537 -0.006613537 15,128,000 9,538,459,750 0.001586

  4 2575

  5 2700 0.048543689 2,333.68 0.017035723 0.031507966 39,736,000 9,538,459,750 0.004165872

  Return Volume Transaksi Jumlah Volume Beredar TVA

  IHSG Market Return Abnormal

  Harga saham Actual Return

  Lampiran 2 1. PT Aneka Tambang (Persero) (ANTM) T

2. PT Davomas Abadi Tbk (DAVO) T

• -1
• -2
• -3
• -4
• -5

3. Semen Indonesia (Persero) Tbk T

  2 5,000 2,241.40 -0.009387264 0.009387264 4,193,000 5,931,520,000 0.000706901 1 5,000 2,262.64 0.040739259 -0.040739259 6,402,000 5,931,520,000 0.001079319

  5,000 2.572703412 2,174.07 -0.006870372 2.579573784 3,403,000 5,931,520,000 0.000573715

  Harga saham Actual Return

  IHSG Market Return Abnormal

  Return Volume Transaksi Jumlah Volume Beredar TVA

  5 4,800 -0.035175879 2,168.64 -0.019362774 -0.015813105 2,720,500 5,931,520,000 0.000458651 4 4,975 0.005050505 2,211.46 0.001839268 0.003211237 846,000 5,931,520,000 0.000142628

  3

  4,950 -0.01 2,207.40 -0.015169091 0.005169091 2,717,000 5,931,520,000 0.000458061

• -1 51,200 -0.028462998 2,189.11 -0.035545139 0.00708214 952,500 5,931,520,000 0.000160583
• -2 52,700 0.002854424 2,269.79 -0.000466786 0.00332121 212,500 5,931,520,000 0.000035826
• -3 52,550 0.02038835 2,270.85 0.00644415 0.0139442 670,000 5,931,520,000 0.000112956
• -4
• -5 52,500 0.009615385 2,348.67 0.020473159 -0.010857775 307,500 5,931,520,000 0.000051842

  51,500 -0.019047619 2,256.31 -0.039324384 0.020276765 326,500 5,931,520,000 0.000055045

  Harga saham Actual Return

  IHSG Market Return Abnormal

  Return Volume Transaksi Jumlah Volume Beredar TVA

  5 710 -0.013888889 2,134.88 -0.011451142 -0.002437747 2,567,500 900,000,000 0.002852778

  4

  720 -0.01369863 2,159.61 -0.007235617 -0.006463013 5,107,500 900,000,000 0.005675

  3 730 2,175.35 0.015043558 -0.015043558 1,278,500 900,000,000 0.001420556 2 730 2,143.11 0.012017982 -0.012017982 5,040,000 900,000,000 0.0056

  1

  730 2,117.66 0.026500371 -0.026500371 3,318,000 900,000,000 0.003686667 730 -0.797222222 2,062.99 0.035112719 -0.832334941 1,090,000 900,000,000 0.001211111

  4. Sorini Agro Asia Corporindo Tbk (SOBI) T

• -1 3,600 -0.052631579 1,993.01 -0.023790398 -0.028841181 300,000 900,000,000 0.000333333
• -2

  3,800 0.055555556 2,041.58 0.069651689 -0.014096134 1,050,500 900,000,000 0.001167222

• -3 3,600 1,908.64 -0.05935695 0.05935695 102,500 900,000,000 0.000113889
• -4 3,600 -0.058823529 2,029.08 -0.064353696 0.005530167 1,195,500 900,000,000 0.001328333
• -5 3,825 -0.013888889 2,168.64 -0.019362774 0.025941721 1,101,000 900,000,000 0.001223333

5. Bank Central Asia Tbk (BBCA) T

  2 3,525 -0.013986014 2,610.36 0.000966317 -0.014952331 12,656,000 24,408,459,120 0.000518509 1 3,575 -0.006944444 2,607.84 0.009988188 -0.016932632 8,631,000 24,408,459,120 0.000353607

  3,600 -0.5 2,582.05 -0.014669012 -0.485330988 9,246,500 24,408,459,120 0.000378824

  Harga saham Actual Return

  IHSG Market Return Abnormal

  Return Volume Transaksi Jumlah Volume Beredar TVA

  5 3,600 0.014084507 2,701.63 0.020707868 -0.006623361 32,062,500 24,408,459,120 0.001313581 4 3,550 2,646.82 0.007448853 -0.007448853 14,136,500 24,408,459,120 0.000579164

  3

  3,550 0.007092199 2,627.25 0.006470372 0.000621827 13,455,500 24,408,459,120 0.000551264

• -1 7,200 0.043478261 2,620.49 0.041240513 0.002237747 53,166,000 24,408,459,120 0.002178179
• -2 6,900 0.037593985 2,516.70 0.016322871 0.021271114 50,500,000 24,408,459,120 0.002068955
• -3 6,650 0.055555556 2,476.28 0.079214825 -0.023659269 51,248,000 24,408,459,120 0.0020996
• -4
• -5 6,600 -0.043478261 2,485.88 -0.047967738 0.004489477 16,572,000 24,408,459,120 0.000678945

  6,300 -0.045454545 2,294.52 -0.076978776 0.031524231 83,696,000 24,408,459,120 0.003428975

  Harga saham Actual Return

  IHSG Market Return Abnormal

  Return Volume Transaksi Jumlah Volume Beredar TVA

  5 7,700 -0.099415205 2,294.52 -0.076978776 -0.022436429 30,097,500 9,936,338,720 0.003029033

  4

  8,550 -0.090425532 2,485.88 -0.047967738 -0.042457794 19,656,500 9,936,338,720 0.001978244

  3 9,400 -0.040816327 2,611.13 -0.014400139 -0.026416188 8,246,500 9,936,338,720 0.000829933 2 9,800 0.037037037 2,649.28 0.021976538 0.015060499 14,810,000 9,936,338,720 0.001490489

  1

  9,450 -0.059701493 2,592.31 -0.050446332 -0.00925516 20,805,000 9,936,338,720 0.00209383 10,050 0.015151515 2,730.03 -0.028586983 0.043738498 20,553,000 9,936,338,720 0.002068468

  6. Vale Indonesia Tbk (INCO) T

• -1 9,900 -0.003522899 2,810.37 -0.007027623 0.003504724 6,530,000 9,936,338,720 0.000657184
• -2

  9,935 0.034895833 2,830.26 0.016025158 0.018870676 7,300,000 9,936,338,720 0.000734677

• -3 9,600 2,785.62 0.003317233 -0.003317233 4,235,000 9,936,338,720 0.000426213
• -4 9,600 -0.013867488 2,776.41 0.004057587 -0.017925076 4,985,000 9,936,338,720 0.000501694
• -5 9,735 0.024197791 2,765.19 0.01846368 0.00573411 6,750,000 9,936,338,720 0.000679325

7. Panorama Sentrawisata Tbk (PANR) T

  300 2675.65 0.024846981 -0.024846981 232,000 1,200,000,000 0.000193333

  Harga saham Actual Return

  IHSG Market Return Abnormal

  Return Volume Transaksi Jumlah Volume Beredar TVA

  5 345 0.112903226 2,684.70 -0.001298271

  0.114201497 25,987,000 1,200,000,000 0.021655833

  4 310 0.033333333 2688.19 0.004686712

  0.028646622 17,903,000 1,200,000,000 0.014919167

  3

• 0.023611612 1,000,000 1,200,000,000 0.000833333
>0.017167891 1,636,000 1,200,000,000 0.001363333 310 2,589.38 -0.018836038 0.018836038 7,991,000 1,200,000,000 0.00665
• -1 310 -0.009584665 2,639.09 -0.024095405
• -2 313 0.068259386 2,704.25 0.000969785
• -3 293 0.097378277 2,701.63 0.020707868
• -4
• 0.006470372 2,010,000 1,200,000,000 0.001675
>-5 263 2,627.25 0.006470372

  2 300 -0.016393443 2,610.78 0.007218169

  39 -0.025 2,383.34 0.005077384 -0.030077384 6,188,000 1,835,357,744 0.00337155

  1

  36 -0.052631579 2,382.70 -0.013762702 -0.038868877 19,404,000 1,835,357,744 0.010572326 38 -0.025641026 2,415.95

  0.001695787 -0.027336812 48,952,000 1,835,357,744

  0.026671639

  39 2,411.86

  0.0119664 -0.0119664 20,652,000 1,835,357,744

  0.011252302

  40 0.052631579 2,371.30

  0.015700676 -0.015700676 2,930,000 1,835,357,744

  0.013207201 0.039424378 26,148,000 1,835,357,744

  0.014246814

  38 0.055555556 2,340.39

  0.007598784 0.047956771 23,004,000 1,835,357,744

  0.012533796

  36 2,322.74

  0.000211002 -0.000211002 240,000 1,835,357,744

  0.000130765

  0.001596419

  36 2,420.11

  1 305 -0.016129032 2,592.07 0.001038859

  5

  0.014510741 1,998,000 1,200,000,000 0.001665

  0.067289601 41,787,000 1,200,000,000 0.0348225

  0.076670409 28,072,500 1,200,000,000 0.02339375

  267 0.015209125 2,646.82 0.007448853 0.007760272 525,000 1,200,000,000 0.0004375

  8. Arwana Citramulia Tbk (ARNA) T

  Harga saham Actual Return

  IHSG Market Return Abnormal

  Return Volume Transaksi Jumlah Volume Beredar TVA

  37 2,468.90

  2

  0.004847395 -0.004847395 26,396,000 1,835,357,744

  0.014381937

  4

  3

  38 0.055555556 2,439.36

  0.007954184 0.047601372 12,866,000 1,835,357,744

  0.007010077

  37 -0.026315789 2,456.99 0.007227306 -0.033543095 4,298,000 1,835,357,744 0.002341778

• -1
• -2
• -3
• -4
• -5

9. Resource Alam Indonesia Tbk (KKGI)

  Harga Actual

  IHSG Market Abnormal Volume Jumlah TVA

  T

  saham Return Return Return Transaksi Volume Beredar

  5 650 0.120689655 2,799.15 0.00875723 0.111932425 81,500 1,000,000,000 0.000081500 4 580 2,774.85 0.019842991 -0.019842991 30,500 1,000,000,000 0.000030500

  580 2,720.86 0.006830965 -0.006830965 30,500 1,000,000,000 0.000030500

  3 2 580 2,702.40 -0.014790537 0.014790537 30,500 1,000,000,000 0.000030500 1 580 2,742.97 0.00209335 -0.00209335 30,500 1,000,000,000 0.000030500

  580 -0.747826087 2,737.24 -0.006900655 -0.740925432 30,500 1,000,000,000 0.000030500

• -1 2,300 2,756.26 0.032457925 -0.032457925 122,000 1,000,000,000 0.000122000
• -2 2,300 2,669.61 0.001162568 -0.001162568 122,000 1,000,000,000 0.000122000
• -3 2,300 0.045454545 2,666.51 -0.003739931 0.049194476 122,000 1,000,000,000 0.000122000

  2,200 2,676.52 0.002359356 -0.002359356 3,000,000 1,000,000,000 0.003000000

• -4
• -5 2,200 2,670.22 0.00491124 -0.00491124 3,000,000 1,000,000,000 0.003000000 10.

   Tunas Ridean Tbk (TURI)

  Harga Actual

  IHSG Market Abnormal Volume Jumlah TVA

  T

  saham Return Return Return Transaksi Volume Beredar

  5 540 -0.035714286 2,914.09 -0.003658382 -0.032055903 120,713,000 5,580,000,000 0.021633154 4 560 -0.034482759 2,924.79 -0.003339478 -0.03114328 3,805,500 5,580,000,000 0.000681989 3 580 2,934.59 -0.002484789 0.002484789 4,859,500 5,580,000,000 0.000870878

  580 -0.033333333 2,941.90 0.004201953 -0.037535287 7,481,500 5,580,000,000 0.001340771

  2 1 600 0.016949153 2,929.59 0.013313272 0.003635881 9,161,000 5,580,000,000 0.001641756

• 0.74893617 590 2,891.10 0.011347974 -0.760284144 16,638,500 5,580,000,000 0.00298181 2,350 0.056179775 2,858.66 0.010066533 0.046113242 18,924,000 5,580,000,000 0.00339
• -1
• -2 2,225 -0.032608696 2,830.17 0.001177994 -0.033786689 9,116,000 5,580,000,000 0.001633692
• -3 2,300 0.010989011 2,826.84 0.008901103 0.002087908 8,502,000 5,580,000,000 0.001523656

  2,275 -0.010869565 2,801.90 0.011227845 -0.02209741 11,440,000 5,580,000,000 0.002050179

• -4
• -5 2,300 2,770.79 -0.005384469 0.005384469 24,164,000 5,580,000,000 0.004330466

11. Intraco Penta Tbk (INTA)

  Harga Actual

  IHSG Market Abnormal Volume Jumlah TVA

  T

  saham Return Return Return Transaks Volume i Beredar

  5 710 -0.02739726 3,748.76 -0.01026758 -0.0171296801 17,677,500 2,160,029,220 0.0081839171 4 730 -0.013513514 3,787.65 -0.004871013 -0.0086425008 13,585,000 2,160,029,220 0.0062892668

  740 -0.026315789 3,806.19 -0.005130926 -0.0211848633 24,959,000 2,160,029,220 0.0115549363

  3 2 760 -0.012987013 3,825.82 -0.004457513 -0.0085294999 22,160,000 2,160,029,220 0.0102591205 1 770 3,842.95 0.002282093 -0.0022820927 15,347,000 2,160,029,220 0.0071049965

  770 -0.8 3,834.20 -0.002554617 -0.7974453827 22,459,000 2,160,029,220 0.0103975445

• -1 3,850 3,844.02 0.00163116 -0.0016311598 17,337,500 2,160,029,220 0.0080265118
• -2 3,850 -0.006451613 3,837.76 0.000205892 -0.0066575045 27,297,500 2,160,029,220 0.0126375605
• -3 3,875 3,836.97 0.002830529 -0.0028305289 45,747,500 2,160,029,220 0.0211791116

  3,875 0.013071895 3,826.14 -0.001641256 0.0147131518 56,495,000 2,160,029,220 0.0261547388

• -4
• -5 3,825 0.006578947 3,832.43 0.004616207 0.0019627401 51,940,000 2,160,029,220 0.0240459710

  12. Jasuindo Tiga Perkasa Tbk (JTPE)

  Harga Actual

  IHSG Market Abnormal Volume Jumlah TVA

  T

  saham Return Return Return Transaksi Volume Beredar

  5 285 0.017857143 4,177.85 -0.003717711 0.021574854 4,818,000 1,769,680,000 0.002722526

  280 4,193.44 0.015164133 -0.015164133 5,412,000 1,769,680,000 0.00305818

  4 3 280 -0.050847458 4,130.80 -0.00362533 -0.047222128 15,739,000 1,769,680,000 0.008893698 2 295 -0.016666667 4,145.83 -0.006775097 -0.00989157 6,249,500 1,769,680,000 0.003531429

  300 -0.016393443 4,174.11 0.010000532 -0.026393975 10,224,000 1,769,680,000 0.005777316

  1

  305 -0.789655172 4,132.78 0.011179103 -0.800834275 24,721,000 1,769,680,000 0.013969192

• 1,450 -0.026845638 4,087.09 0.0048042037 -0.022041434 10,487,500 1,769,680,000 0.005926213 1,490 4,106.82 0.0095254015 -0.009525401 6,350,000 1,769,680,000 0.00358
• -1
• -2
• -3 1,490 4,068.07 0.0043055031 -0.004305503 16,542,500 1,769,680,000 0.009347735
• -4 1,490 0.006756757 4,050.63 0.0067629032 -0.000006146 18,412,500 1,769,680,000 0.010404423
• -5

  1,480 -0.026315789 4,023.42 0.0023679819 -0.023947808 11,767,500 1,769,680,000 0.006649507

13. PP London Sumatra Indonesia Tbk (LSIP) T

  2 2,225 0.034883721 3,512.62 0.012180328 0.022703393 14,399,000 6,493,344,465 0.002217501 1 2,150 3,470.35 0.007788519 -0.007788519 7,579,000 6,493,344,465 0.001167195

  2,150 -0.795238095 3,443.53 0.001279393 -0.796517489 7,681,000 6,493,344,465 0.001182904

  Harga saham Actual Return

  IHSG Market Return Abnormal

  Return Volume Transaksi Jumlah Volume Beredar TVA

  5 2,350 0.032967033 3,542.90 0.013838731 0.019128302 24,748,500 6,493,344,465 0.003811364 4 2,275 0.011111111 3,494.54 0.00239229 0.008718822 28,791,500 6,493,344,465 0.004434002

  3

  2,250 0.011235955 3,486.20 -0.007521451 0.018757406 13,142,500 6,493,344,465 0.002023996

• -1 10,500 -0.027777778 3,439.13 -0.010071615 -0.017706163 30,577,500 6,493,344,465 0.004709053
• -2 10,800 -0.009174312 3,474.12 0.006670337 -0.015844649 38,205,000 6,493,344,465 0.005883717
• -3 10,900 -0.009090909 3,451.10 -0.013306115 0.004215206 20,865,000 6,493,344,465 0.00321329
• -4
• -5 10,950 0.037914692 3,501.50 0.019543557 0.018371135 35,457,500 6,493,344,465 0.005460591

  11,000 0.00456621 3,497.64 -0.001102385 0.005668595 20,882,500 6,493,344,465 0.003215985

  Harga saham Actual Return

  IHSG Market Return Abnormal

  Return Volume Transaksi Jumlah Volume Beredar TVA

  5 1,020 -0.009708738 3,821.83 0.007085751 -0.016794489 4,969,500 1,695,000,000 0.002931858

  4

  1,030 0.009803922 3,794.94 0.017650277 -0.007846355 7,436,000 1,695,000,000 0.004387021

  3 1,020 3,729.12 0.002079874 -0.002079874 3,429,500 1,695,000,000 0.002023304 2 1,020 -0.009708738 3,721.38 -0.005103637 -0.004605101 4,898,000 1,695,000,000 0.002889676

  1

  1,030 -0.019047619 3,740.47 -0.014174079 -0.00487354 4,085,500 1,695,000,000 0.002410324 1,050 -0.803738318 3,794.25 0.005560164 -0.809298482 8,714,500 1,695,000,000 0.005141298

  14. Malindo Feedmill Tbk (MAIN) T

• -1 5,350 0.009433962 3,773.27 0.006538162 0.0028958 7,520,000 1,695,000,000 0.004436578
• -2

  5,300 3,748.76 -0.01026758 0.01026758 4,917,500 1,695,000,000 0.00290118

• -3 5,300 -0.009345794 3,787.65 -0.004871013 -0.004474782 5,657,500 1,695,000,000 0.003337758
• -4 5,350 3,806.19 -0.005130926 0.005130926 6,250,000 1,695,000,000 0.003687316
• -5 5,350 -0.018348624 3,825.82 -0.004457513 -0.013891111 6,317,500 1,695,000,000 0.003727139

15. Metro Realty Tbk (MTSM)

  Harga Actual

  IHSG Market Abnormal Volume Jumlah TVA

  T

  saham Return Return Return Transaksi Volume Beredar

  5 710 3,710.48 0.000998171 -0.000998171 2,000 232,848,000 0.0000085893 4 710 3,706.78 0.023785719 -0.023785719 2,000 232,848,000 0.0000085893

  710 -0.053333333 3,620.66 -0.000585186 -0.052748147 2,000 232,848,000 0.0000085893

  3 2 750 3,622.78 -0.016967365 0.016967365 1,500 232,848,000 0.0000064420 1 750 3,685.31 0.017470866 -0.017470866 1,500 232,848,000 0.0000064420

  750 -0.75 3,622.03 -0.02868858 -0.72131142 1,500 232,848,000 0.0000064420

• -1 3,000.00 3,729.01 0.017554057 -0.017554057 6,000 232,848,000 0.0000257679
• -2 3,000.00 3,664.68 -0.002911264 0.002911264 6,000 232,848,000 0.0000257679
• -3 3,000.00 3,675.38 0.010850044 -0.010850044 6,000 232,848,000 0.0000257679

  3,000.00 3,635.93 0.029498124 -0.029498124 6,000 232,848,000 0.0000257679

• -4
• -5 3,000.00 3,531.75 0.023375291 -0.023375291 6,000 232,848,000 0.0000257679

  16. Astra International Tbk (ASII)

  Harga Actual

  IHSG Market Abnormal Volume Jumlah TVA

  T

  saham Return Return Return Transaksi Volume Beredar

  5 6,650 0.007575758 3,852.58 -0.003525416 0.011101174 17,595,000 40,483,553,140 0.000434621

  6,600 -0.007518797 3,866.21 0.01068666 -0.018205457 43,667,500 40,483,553,140 0.001078648

  4

• 0.003975941 -0.018082882 14,550,500 40,483,553,140 0.000359418

  3 6,650 -0.022058824 3,825.33 2 6,800 -0.021582734 3,840.60 -0.000190038 -0.021392695 45,218,000 40,483,553,140 0.001116947

  6,950 0.053030303 3,841.33 0.033204407 0.019825896 41,969,000 40,483,553,140 0.001036693

  1

  0.017320732 -0.911551501 27,014,500 40,483,553,140 0.000667296 6,600 -0.894230769 3,717.88

• 0.038210207 0.023214154 44,140,000 40,483,553,140 0.00109
• -1 62,400 -0.014996054 3,654.58

  63,350 -0.014774495 3,799.77 -0.008622894 -0.006151601 45,595,000 40,483,553,140 0.00112626

• -2 >0.021720709 -0.004036867 63,410,000 40,483,553,140 0.00156>-3 64,300 -0.025757576 3,83>0.000290886 0.012560825 35,245,000 40,483,553,140 0.000>-4 66,000 0.012269939 3,917.92
• -5 65,200 -0.012121212 3,919.06 0.000094419 -0.012215631 26,780,000 40,483,553,140 0.000661503

17. Berlina Tbk (BRNA)

  Harga Actual

  IHSG Market Abnormal Volume Jumlah TVA

  T

  saham Return Return Return Transaksi Volume Beredar

  5 670 0.015151515 4,332.08 0.003123705 0.01202781 1,578,000 690,000,000 0.002286957 4 660 4,318.59 -0.003472831 0.003472831 1,936,500 690,000,000 0.002806522

  660 0.03125 4,333.64 0.001333219 0.029916781 2,585,000 690,000,000 0.003746377

  3 2 640 -0.03030303 4,327.87 -0.005183408 -0.025119623 1,580,500 690,000,000 0.00229058 1 660 -0.029411765 4,350.42 0.00837917 -0.037790934 1,177,500 690,000,000 0.001706522

  4,314.27 680 -0.802898551 0.002633083 -0.805531634 1,110,500 690,000,000 0.00160942

• -1 3,450 4,302.94 -0.008285529 0.008285529 3,015,000 690,000,000 0.004369565
• -2 3,450 -0.007194245 4,338.89 0.000814235 -0.008008479 1,117,500 690,000,000 0.001619565

  3,475 0.01459854 4,335.36 -0.003431955 0.018030495 1,310,000 690,000,000 0.001898551

• -3
• -4 3,425 -0.007246377 4,350.29 -0.003278651 -0.003967726 3,610,000 690,000,000 0.005231884
• -5 3,450 0.00729927 4,364.60 0.007671938 -0.000372667 2,867,500 690,000,000 0.004155797

  18. Kalbe Farma Tbk (KLBF)

  Harga Actual

  IHSG Market Abnormal Volume Jumlah TVA

  T

  saham Return Return Return Transaksi Volume Beredar 980 0.010309278 4,313.52 0.000494040 0.009815238 20,082,500 50,780,072,110 0.0003954799

  5 4 970 -0.010204082 4,311.39 0.006165737 -0.016369819 24,280,000 50,780,072,110 0.0004781403 3 980 4,284.97 0.001158876 -0.001158876 28,477,000 50,780,072,110 0.0005607909

  980 0.020833333 4,280.01 -0.000056071 0.020889405 63,946,500 50,780,072,110 0.0012592834

  2 1 960 0.010526316 4,280.25 0.002816156 0.00771016 32,860,000 50,780,072,110 0.0006471042

  950 -0.802083333 4,268.23 -0.009992323 -0.792091011 37,794,500 50,780,072,110 0.0007442782

• -1 4,800 0.021276596 4,311.31 0.009329363 0.011947233 48,042,500 50,780,072,110 0.0009460896

  4,700 0.027322404 4,271.46 0.00469245 0.022629954 50,510,000 50,780,072,110 0.0009946815

• -2
• -3 4,575 4,251.51 -0.001252102 0.001252102 30,827,500 50,780,072,110 0.0006070787
• -4 4,575 0.005494505 4,256.84 0.004850943 0.000643563 51,995,000 50,780,072,110 0.0010239253

  4,550 -0.031914894 4,236.29 -0.006162963 -0.025751931 107,795,000 50,780,072,110 0.0021227815

• -5

19. Petrosea Tbk (PTRO) T

  2 4,475 -0.021857923 3,967.67 0.006379169 -0.028237092 3,602,500 1,008,605,000 0.003571765 1 4,575 -0.010810811 3,942.52 -0.006190952 -0.004619859 3,849,500 1,008,605,000 0.003816658

  4,625 -0.894886364 3,967.08 -0.004471881 -0.890414482 10,320,000 1,008,605,000 0.010231954

  Harga saham Actual Return

  IHSG Market Return Abnormal

  Return Volume Transaksi Jumlah Volume Beredar TVA

  5 4,225 -0.005882353 4,008.64 0.005339386 -0.011221739 4,498,500 1,008,605,000 0.004460121 4 4,250 -0.034090909 3,987.35 -0.00104972 -0.033041189 4,195,000 1,008,605,000 0.00415921

  3

  4,400 -0.016759777 3,991.54 0.006016125 -0.022775902 7,022,000 1,008,605,000 0.006962091

• -1 44,000 -0.020044543 3,984.90 -0.004986429 -0.015058114 700,000 1,008,605,000 0.000694028
• -2 44,900 -0.002222222 4,004.87 0.010746311 -0.012968533 2,345,000 1,008,605,000 0.002324993
• -3 45,000 0.034482759 3,962.29 -0.005751265 0.040234024 2,235,000 1,008,605,000 0.002215932
• -4
• -5 43,250 0.054878049 3,903.56 0.011017814 0.043860235 1,775,000 1,008,605,000 0.001759856

  43,500 0.005780347 3,985.21 0.020916804 -0.015136457 1,285,000 1,008,605,000 0.001274037

  Harga saham Actual Return

  IHSG Market Return Abnormal

  Return Volume Transaksi Jumlah Volume Beredar TVA

  5 7,700 4,160.51 0.004471281 -0.004471281 3,000 495,360,000 0.000006056

  4

  7,700 0.132352941 4,141.99 0.004956861 0.12739608 267,000 495,360,000 0.000539002

  3 6,800 -0.00729927 4,121.56 0.004638601 -0.011937871 3,000 495,360,000 0.000006056 2 6,850 -0.068027211 4,102.53 -0.009423985 -0.058603226 26,000 495,360,000 0.000052487

  1

  7,350 -0.098159509 4,141.56 0.002515026 -0.100674535 75,000 495,360,000 0.000151405 8,150 -0.880147059 4,131.17 0.009890704 -0.890037762 69,000 495,360,000 0.000139293

  20. Surya Toto Indonesia Tbk (TOTO) T

• -1 68,000 0.03030303 4,090.71 0.001255636 0.029047395 40,000 495,360,000 0.000080749
• -2

  66,000 4,085.58 -0.004852028 0.004852028 40,000 495,360,000 0.000080749

• -3 66,000 0.015384615 4,105.50 0.001387869 0.013996746 40,000 495,360,000 0.000080749
• -4 65,000 4,099.81 0.001636897 -0.001636897 110,000 495,360,000 0.000222061
• -5 65,000 0.048387097 4,093.11 -0.009042576 0.057429673 110,000 495,360,000 0.000222061

21. Sepatu Bata Tbk (BATA)

  Harga Actual

  IHSG Market Abnormal Volume Jumlah TVA

  T

  saham Return Return Return Transaksi Volume Beredar

  5 1,220 0.016666667 4,349.42 -0.002000854 0.01866752 504,500 1,300,000,000 0.0003880769 4 1,200 -0.111111111 4,358.14 0.039816189 -0.1509273 958,500 1,300,000,000 0.0007373077

  1,350 -0.181818182 4,191.26 0.029199357 -0.211017538 1,776,500 1,300,000,000 0.0013665385

  3 2 1,650

  0.25 4,072.35 0.005305046 0.244694954 206,500 1,300,000,000 0.0001588462

  1 1,320 0.245283019 4,050.86 -0.005548109 0.250831128 266,000 1,300,000,000 0.0002046154

  1,060 -0.987529412 4,073.46 -0.021745865 -0.965783547 204,500 1,300,000,000 0.0001573077

• -1 85,000 4,164.01 0.015307603 -0.015307603 50,000 1,300,000,000 0.0000384615
• -2 85,000 4,101.23 -0.022373775 0.022373775 50,000 1,300,000,000 0.0000384615
• -3 85,000 4,195.09 0.022297549 -0.022297549 50,000 1,300,000,000 0.0000384615

  85,000 4,103.59 0.019150722 -0.019150722 50,000 1,300,000,000 0.0000384615

• -4
• -5 85,000 4,026.48 0.014778822 -0.014778822 50,000 1,300,000,000 0.0000384615

  22. Telekomunikasi Indonesia (Persero) Tbk (TLKM)

  Harga Actual

  IHSG Market Abnormal Volume Jumlah TVA

  T

  saham Return Return Return Transaksi Volume Beredar 2,100 -0.045454545 4,073.46 -0.021745865 -0.02370868 106,755,500 90,719,996,760 0.001176758

  5

  2,200 0.023255814 4,164.01 0.015307603 0.007948211 50,207,000 90,719,996,760 0.000553428

  4

  2,150 -0.022727273 4,101.23 -0.022373775 -0.000353498 63,655,500 90,719,996,760 0.00070167

  3

  2,200 -0.011235955 4,195.09 0.022297549 -0.033533504 109,446,500 90,719,996,760 0.001206421

  2

  2,225 0.034883721 4,103.59 0.019150722 0.015732999 105,664,500 90,719,996,760 0.001164732

  1

  2,150 -0.787128713 4,026.48 0.014778822 -0.801907535 140,114,000 90,719,996,760 0.001544467 10,100 -0.051643192 3,967.84 -0.037088629 -0.014554564 128,692,500 90,719,996,760 0.001418568

• -1

  10,650 -0.009302326 4,120.67 -0.011789449 0.002487124 81,722,500 90,719,996,760 0.000900821

• -2

  10,750 0.009389671 4,169.83 -0.000378769 0.00976844 84,685,000 90,719,996,760 0.000933477

• -3

  10,650 -0.02739726 4,171.41 -0.011151015 -0.016246245 145,652,500 90,719,996,760 0.001605517

• -4

  10,950 0.052884615 4,218.45 0.010412026 0.042472589 202,245,000 90,719,996,760 0.002229332

• -5

23. Indal Aluminium Industry Tbk (INAI) T

  Harga saham Actual Return

  IHSG Market Return Abnormal

  Return Volume Transa ksi Jumlah Volume Beredar TVA

  5 290 -0.010238908 4,592.65 0.0080023 -0.018241208 27,100 316,800,000 0.000085543 4 293 0.010344828 4,556.19 0.000180007 0.01016482 9,200 316,800,000 0.000029040

  3

  290 -0.046052632 4,555.37 0.01049902 -0.056551651 114,100 316,800,000 0.000360164

  2 304 -0.031847134 4,508.04 0.003646759 -0.035493892 125,500 316,800,000 0.000396149 1 314 -0.01875 4,491.66 -0.001029738 -0.017720262 3,700 316,800,000 0.000011679

  320 -0.428571429 4,496.29 0.005838678 -0.434410107 23,700 316,800,000 0.000074811

• -1 290 -0.010238908 4,592.65 0.004367803 -0.115478914 41,000 316,800,000 0.000129419
• -2 293 0.010344828 4,556.19 -0.003564176 0.089771073 200 316,800,000 0.000000631
• -3 290 -0.046052632 4,555.37 0.009483107 -0.009483107 24,200 316,800,000 0.000076389
• -4

  304 -0.031847134 4,508.04 0.009214677 -0.009214677 16,400 316,800,000 0.000051768

• -5 314 -0.01875 4,491.66 0.00736399 -0.00736399 29,200 316,800,000 0.000092172

  Lampiran 3 Rata-rata Abnormal Return Sebelum dan Sesudah Stock Split Kode Emiten Rata-rata Abnormal Return Sebelum Stock Split Rata-rata Abnormal

  Return Sesudah Stock Split

  ANTM 0.003539034 -0.000254707 DAVO 0.003846 -0.004823

  SMGR 0.006753 -0.007757 SOBI 0.009578 -0.012493

  BBCA 0.007173 -0.009067

  INCO 0.006867 -0.017101 PANR 0.031952 0.015444

  ARNA 0.009025 -0.009072 KKGI 0.001661 0.019591

  TURI -0.000460 0.002996

  INTA 0.001111 -0.011554 JTPE -0.011965 -0.015419 LSIP -0.001059 0.002731

  MAIN -0.002868 -0.007240 MTSM -0.015673 -0.015607

  ASII 0.002674 -0.005351 BRNA 0.002793 -0.003499

  KLBF 0.002144 0.004177 PTRO 0.008186 -0.019979 TOTO 0.020738 -0.009658

  BATA -0.009832 0.030450 TLKM 0.004785 -0.006783

  INAI -0.010354 -0.023568

  Lampiran 4 Rata-rata Trading Volume Activity (TVA) Sebelum dan Sesudah Stock Split Kode Emiten Rata-rata TVA Sebelum

  Stock Split

  Rata-rata TVA Sesudah

  Stock Split

  ANTM 0.002435 0.002324 DAVO 0.000834 0.000084 SMGR 0.000083 0.000569 SOBI 0.000833 0.003847 BBCA 0.002091 0.000663

  INCO 0.000600 0.001884 PANR 0.012399 0.007793 ARNA 0.008307 0.007181 KKGI 0.001273 0.000041 TURI 0.002586 0.005234

  INTA 0.018409 0.008678 JTPE 0.007183 0.004797 LSIP 0.004497 0.002731 MAIN 0.003618 0.002928 MTSM 0.000026 0.000322 ASII 0.001063 0.000805 BRNA 0.003455 0.002567 KLBF 0.001139 0.000668 PTRO 0.001654 0.004594 TOTO 0.000137 0.000151 BATA 0.000038 0.000571 TLKM 0.001418 0.000961

  INAI 0.000070 0.000177

  Lampiran 5 Uji Normalitas Kolmogrov Smirnov Rata-rata Abnormal Return

  One-Sample Kolmogorov-Smirnov Test AR_Sebelum AR_Sesudah N

  23

  23 Normal Parameters ^a,,b Mean .00307024 -.00451459 Std. Deviation .010212801 .012815454 Most Extreme Differences Absolute .175 .164 Positive .175 .164

  Negative -.126 -.076 Kolmogorov-Smirnov Z .839 .787 Asymp. Sig. (2-tailed) .482 .566 a. Test distribution is Normal.

b. Calculated from data.

  Uji Normalitas Kolmogrov Smirnov Rata-rata Trading Volume Activity (TVA)

  

One-Sample Kolmogorov-Smirnov Test

TVA_Sebelum TVA_Sesudah N

  23

  23 Normal Parameters ^a,,b Mean .00322380 .00259002 Std. Deviation .004507517 .002649804

Most Extreme Differences Absolute .252 .209

Positive .252 .209

  Negative -.239 -.168 Kolmogorov-Smirnov Z 1.208 1.002 Asymp. Sig. (2-tailed)

  .108 .268 a. Test distribution is Normal.

b. Calculated from data.

  Lampiran 6 Uji Paired Sample T-Test Rata-rata Abnormal Return

  

Paired Samples Statistics

Mean N Std. Deviation Std. Error Mean Pair 1 AR_Sebelum .00307024

  23 .010212801 .002129516 AR_Sesudah -.00451459 23 .012815454 .002672207

  

Paired Samples Correlations

N Correlation Sig.

  Pair 1 AR_Sebelum & AR_Sesudah 23 .123 .575

Paired Samples Test

  

Paired Differences

95% Confidence Interval Sig. of the Difference Std. Std. Error (2-

  Mean Deviation Mean Lower Upper t df tailed)

Pair AR_Sebelum .007584831 .015371038 .003205083 .000937895 .014231766 2.367 22 .027

1 - AR_Sesudah