ii ABSTRACT
DIF F ERENCE ANALYSIS OF STOCK LIQUIDITY, STOCK RETURNS, AND BID ASK SPREAD BEF ORE AND AF TER STOCK SPLIT ON
COMPANIES LISTED IN INDONESIA STOCK EXCHANGE
The increase in stock price is too high will cause the demand for the purchase of these shares decreased and eventually may cause the company's stock price does not fluctuate anymore. To avoid the appearance of these conditions, then one of the steps taken by the company is through the stock split . Stock split is expected to increase the stock liquidity, stock returns, and the bid ask spread. This research aimed to get empirical evidence about differences in stock liquidity, stock returns, and the bid ask spread before and after the stock split on companies listed in the Indonesia Stock Exchange .
The population of this research is that the stock split companies in Indonesian Stock Exchange from January 2010 to December 2014 amounted to 39 companies. While the sample in this research amounted to 37 companies. Variables used in this research is stock liquidity which proxied by Trading Volume Activity (TVA), stock returns which proxied by the capital gain, and the bid ask spread.
The analytical method used is descriptive analysis, normality test, Wilcoxon Signed Ranks to test hypotheses on the variable stock liquidity and stock returns, and Paired t-Test to test the hypothesis at a variable bid ask spread with the significance level 5%. Results from this research indicate that there is no difference in the stock liquidity and stock returns before and after the stock split. But there are significant differences in the bid ask spread before and after the stock split .
Keywords: Stock Split, Stock Liquidity, Stock Returns, Bid Ask Spread
