i ABSTRAK
PENGARUH HARGA SAHAM, VOLUME PERDAGANGAN, DAN
VARIAN RETURN TERHADAP BID-ASK SPREAD SEBELUM DAN SESUDAH STOCK SPLIT
DI BURSA EFEK INDONESIA
Penelitian ini bertujuan untuk mengetahui pengaruh harga saham, volume perdagangan dan varian return terhadap bid-ask spread pada perusahaan sebelum dan sesudah stock split di Bursa Efek Indonesia. Jenis data yang digunakan adalah data sekunder yang bersumber dari laporan keuangan perusahaan yang terdaftar di Bursa Efek Indonesia (BEI). Penelitian ini menggunakan teknik analisis deskriptif, analisis regresi linear berganda dan Paired Sample T Test. Sampel perusahaan diperoleh sebanyak 22 perusahaan yang melakukan stock split. Hasil penelitian menunjukkan bahwa secara simultan harga saham, volume perdagangan, dan varian return berpengaruh positif dan signifikan terhadap bid-ask spread 5 hari sebelum dan 5 hari sesudah stock split. Sedangkan secara parsial harga saham dan volume perdagangan berpengaruh negatif dan signifikan terhadap bid-ask spread dan varian return berpengaruh positif dan tidak signifikan terhadap bid-ask spread 5 hari sebelum stock split dengan nilai koefisien determinasi sebesar 51,9%. Selanjutnya, secara parsial, harga saham, dan volume perdagangan berpengaruh negatif dan signifikan terhadap bid-ask spread dan varian return berpengaruh positif dan signifikan terhadap bid-ask spread 5 hari sesudah stock split dengan nilai koefisien determinasi sebesar 55,9%. Hasil Uji beda Paired Sample T Test menunjukkan bahwa tidak ada perbedaan yang signifikan pada bid-ask spread 5 hari sebelum dan 5 hari sesudah stock split.
Kata Kunci : Harga Saham, Volume Perdagangan, Varian Return, Bid-Ask Spread, dan Stock Split
ii ABSTRACT
THE EF FECT OF STOCK PRICE, TRADE VOLUME, AND VARIANT RETURN TO BID-ASK SPREAD BEF ORE AND AF TER STOCK
SPLIT IN INDONESIA STOCK EXCHANGE
This study aims to determine the effect of stock price, trade volume and variants return to the Bid-Ask Spread in the company before and after the stock split in the Indonesia Stock Exchange. Data used is secondary data obtained from the financial statements of companies listed on the Indonesian Stock Exchange (BEI). This research using descriptive analysis techniques, multiple linear regression analysis and Paired Sample T Test. Samples companies acquired as many as 22 companies doing stock split. The results showed that simultaneous stock price, trading volume, and the variant return positive and significant impact on the bid-ask spread 5 days before and 5 days after the stock split. Partially, stock prices and trading volume and a significant negative effect on the bid-ask spread and variants return a significant positive effect and not significant on the bid-ask spread 5 days before stock split with a coefficient of determination of 51.9%. Partially, the stock price, and trade volume have significant negative effect on the bid-ask spread and variants return positive and significant impact on the bid-ask spread 5 days after the stock split with a coefficient of determination of 55.9%. The results of Paired sample T test showed that there was no significant difference in the bid-ask spread 5 days before and 5 days after the stock split.
Keywords: Stock Price, Trading Volume, Return Varian, Bid-Ask Spread, and Stock Split
