i ABSTRAK
ANALISIS PERBEDAAN ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SAHAM SEBELUM DAN SESUDAH REVERSE STOCK
SPLIT DI BURSA EFEK INDONESIA
Penelitian ini bertujuan untuk mendapatkan bukti empiris tentang perbedaan abnormal return dan trading volume activity saham sebelum dan sesudah peristiwa reverse stock split di Bursa Efek Indonesia. Populasi dalam penelitian ini adalah perusahaan yang melakukan reverse stock split di Bursa efek Indonesia pada tahun 2005-2014 yang berjumlah 21 perusahaan. Sedangkan sampel dalam penelitian ini berjumlah 16 perusahaan. Hipotesis yang dikemukan dalam penelitian ini adalah terdapat perbedaan abnormal return sebelum dan sesudah reverse stock split dan terdapat perbedaan trading volume activity sebelum dan sesudah reverse stock split. Pengumpulan data dilakukan dengan studi dokumentasi melalui berbagai literatur ilmiah dan website resmi. Hipotesis penelitian ini diuji dengan uji Wilcoxon Signed Rank dengan tingkat signifikansi yang digunakan sebesar 5% (0,05) karena baik variabel-variabel abnormal return maupun variabel-variabel trading volume activity tidak berdistribusi secara normal. Hasil penelitian ini menunjukan bahwa tidak terdapat perbedaan abnormal return dan trading volume activity sebelum dan sesudah reverse stock split.
Kata kunci: Reverse Stock Split, Abnormal Return, Trading Volume Activity
ii ABSTRACT
THE ANALYSIS OF DIFFERENCE BETWEEN ABNORMAL RETURN AND TRADING VOLUME ACTIVITY BEFORE AND AFTER
REVERSE STOCK SPLIT ON INDONESIAN STOCK EXCHANGE
This research aims to get empirical evidence about differences abnormal return and trading volume activity before and after reverse stock split event on Indonesian Stock Exchange. The population of this research is companies who do reverse stock split on Indonesian Stock Exchange in period 2005-2014 which amounts to 21 companies. While the sample of this research amounts to 16 companies. The hypothesis of this research is that there is a difference of abnormal return before and after reverse stock split and there is a difference of trading volume activity before and after reverse stock split. The data are collected through the documentation study with various scientific literatures and valid website. The hypothesis of this research is tested by Wilcoxon Signed Rank test with significance level of 5% (0,05) because either the variabels of abnormal return or the variabels of trading volume activity is not distributed normally. The results of this research indicate that there is no difference in abnormal return and trading volume activity before and after reverse stock split.
Keywords: Reverse Stock Split, Abnormal Return, Trading Volume Activity
