The Market Reaction to Stock Split Announcement

Abstract

This study aims to examine the market reaction to the stock split announcement. The market reaction in this research will be proxied with abnormalities that occur around the day of the stock split announcement. This study also examines the relationship between firm size and abnormal returns around the day of the stock split announcement. The population in this study are companies listed on Indonesia Stock Exchange that announced a stock split from 2012-2019. By using purposive sampling, the total sample used in this study was 72 companies. This study's results indicate an abnormal return around the day of the stock split announcement. This study also shows a negative but insignificant relationship between firm size and abnormal returns around the day of the stock split announcement.

Keberhasilan Harga Saham dan Aksi Stock Split

“…Harga saham merupakan harga pasar dimana harga tersebut dicatat setiap hari pada waktu penutupan. Harga saham ditentukan juga ditentukan permintaan dan penawaran pada bursa saham di seluruh dunia (Indriani, 2022). Harga saham bisa naik serta bisa turun akibat dari adanya respon permintaan dan penawaran (Hu et al, 2017).…”

“…Penggunaan event window yang tidak terlalu lama diharapkan pasar bereaksi pada waktu peristiwa stock split diterima oleh pasar (Wayan et al, 2015). Stock split termasuk informasi yang mudah dicerna sehingga hanya memerlukan periode yang singkat (Indriani, 2022). Periode pendek umum digunakan karena terdapat kebiasaan di bursa dimana akan terjadi lonjakan volume transaksi pada 3-5 hari di seputar event.…”