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Pengujian Trading Volume Activity Untuk Mengukur Likuiditas Saham Dan Reaksi Pasar Terhadap Saham Setelah Pengumuman Stock Split Tahun 2008 Di Bursa Efek Indonesia (Event Study Pada Saham Papan Utama dan Saham Papan Pengembangan)

The Test of Trading Volume Activity To Measure Stock Liquidity and Stock Market Reaction After Stock Split Announcement In 2008 At Indonesia Stock Exchange (Event Study For Main Board and Development Board Stocks)

Tugas Akhir, 040 / 2012 / KPN
Undergraduate Theses from JBPTPPOLBAN / 2014-06-16 13:31:14
Oleh : Tsani Rizal Syawali - 095121059 (ochanfmcs@gmail.com)
Dibuat : 2014-06-16, dengan 4 file

Keyword : stock split, likuiditas saham, reaksi pasar, TVA
Subjek : Stock split, Stocks liquidity, market reactions, TVA

Tujuan dari penelitian ini adalah membandingkan apakah terdapat perbedaan likuiditas saham sebelum dengan sesudah saham dipecah, serta mengidentifikasi perbedaan reaksi pasar terhadap saham papan utama dengan saham papan pengembangan sesudah saham dipecah. Penelitian dilakukan terhadap perusahaan papan utama dan papan pengembangan yang melakukan stock split pada tahun 2008 di Bursa Efek Indonesia. Data yang digunakan adalah rasio volume perdagangan saham bulanan dengan jumlah saham beredar bulanan (Trading Volume Activity) selama 25 bulan atau 12 bulan sebelum dan 12 bulan sesudah pelaksanaan stock split. Berdasarkan pengujian dengan menggunakan Paired Samples t-Test, t-hitung berada di daerah penerimaan sehingga hipotesis nol diterima yaitu tidak ada beda likuiditas yang signifikan antara sebelum dan sesudah stock split, demikian juga pada independent samples t-test didapati tidak ada beda reaksi pasar signifikan antara saham papan utama dengan papan pengembangan setelah saham dipecah. Kesimpulan yang didapat adalah bahwa sinyal positif yang coba disampaikan emiten tidak dapat diserap investor karena berbagai faktor yang menghambat seperti kondisi ekonomi, keamanan, dan politik. Kata kunci: stock split, likuiditas saham, reaksi pasar, TVA.

Deskripsi Alternatif :

The objectives of this research are to identifying whether there is a significant difference of stocks liquidity or not between pre and post period of the stock split event, and then to identifying whether there is a significant difference of market reactions between main board and development board after the shares were splitted. The tests are conducted to main board and development board companies that doing the stock splits in 2008 at Indonesia Stock Exchange. The research data set are consist of monthly trading volume and monthly listed shares in 12 months before and 12 months after stock split that formed the indicating ratio of liquidity called Trading Volume Activity. Based on paired samples t-test, the t-score was lying on reception area so that the null hypothesis accepted, in other word there is no significant differences between pre and post stocks liquidity. Also, according to independent samples t-test, there was no significant differences of market reactions after stock split executed by the main and development board companies. The conclusion is, the issuers companies could not deliver the positive signal to investors through stock split event in 2008 caused by the background factors block-up the information flow, such as global economyc, social, security, government policies, etc. Keyword: Stock split, Stocks liquidity, market reactions, TVA.

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PropertiNilai Properti
ID PublisherJBPTPPOLBAN
Organisasi
Nama KontakHelmi Purwanti
AlamatJl. Trsn. Gegerkalong Hilir Ds. Ciwaruga
KotaBandung
DaerahJawa Barat
NegaraIndonesia
Telepon022 201 3789 ext. 168, 169, 239
Fax022 201 3889
E-mail Administratorhelmi.purwanti@polban.ac.id
E-mail CKOhelmi.purwanti@polban.ac.id

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