ABNORMAL RETURN DI SEKITAR TANGGAL PENGUMUMAN STOCK SPLIT

Abstract

The researcher observed the announcement event of stock split. In this study the researcher examined whether there were differences in abnormal returns in each period. The researcher used the intraday data of the stock price. The estimation periods used in this study were 200 periods and the event periods used were as many as 53 periods. The research sample used was 24 companies listed on Indonesian Stock Exchange and announcement stock split from 2010 until 2012. One Sample T-test and Paired Sample T-test were used to test the first and second hypotesis. The result showed that there were no differences in the abnormal returns before and after the event and there were no cumulative abnormal returns around the announcement event of stock split. In the event periods, abnormal returns occurred only in one periods of event.