Analisis Perbedaan Abnormal Return dan Volume Perdagangan Sebelum dan Sesudah Stock Split di Bursa Efek Indonesia

(1)

Lampiran 1

Daftar Populasi dan Sampel

No.

Kode

Emiten

Nama Perusahaan

Tanggal

Stock Split

Kriteria

S

A B C D

2007

1 AKRA

AKR Corporindo Tbk

27 Juli 2007

_√

_×

_√

2 ANTM Aneka Tambang (Persero)

Tbk

12 Juli 2007

_√

₁

3 BMTR

Global Mediacom Tbk

24 April 2007

_√

_×

_√

4 CPIN

Charoen Pokphand

Indonesia Tbk

01 November

2007

√

10 SMGR

Semen Indonesia (Persero)

Tbk

07 Agustus

2007

√

3

11 SOBI

Sorini Agro Asia

Corporindo Tbk

22 Agustus

2007

√

4 ICON

Island Concepts Indonesia

Tbk

10 Desember

2008

√

×

√

5 INCO

Vale Indonesia Tbk

15 Januari

2008

√

6

6 MIRA

Mitra International

Resources Tbk

30 Mei 2008

_√

_×

_√

7 PANR

Panorama Sentrawisata

Tbk

11 Februari

2008

√

7

8 PANS

Panin Sekuritas Tbk

21 Januari

2008

√

×

√

9 PGAS

Perusahaan Gas Negara

(Persero) Tbk

04 Agustus

2008

√

(2)

Daftar Populasi dan Sampel

No.

Kode

Emiten

Nama Perusahaan

Tanggal

Stock Split

Kriteria

S

1 ARNA

Arwana Citramulia Tbk

11 September

2009

√

Indonesia Tbk

8 Desember

2010

√

×

√

2 CTRA

Ciputra Development Tbk 15 Juni 2010

_√

_×

_√

3 DILD

Intiland Development Tbk 26 Juli 2010

_√

_×

_√

4 DVLA

Darya-Varia Laboratoria

Tbk

12 November

2010

√

×

√

5 KKGI

Resource Alam Indonesia

Tbk

2 BBRI

Bank Rakyat Indonesia

(Persero) Tbk

11 Januari

2011

√

×

√

3 BTPN

Bank Tabungan

Pensiunan Nasional Tbk

28 Maret

2011

√

×

√

4 INTA

Intraco Penta Tbk

6 Juni 2011

_√

₁₁

5 JTPE

Jasuindo Tiga Perkasa

Tbk

26 Juli 2011

_√

₁₂

6 LSIP

PP London Sumatra

Indonesia Tbk

25 Februari

2011

√

11 SSIA

Surya Semesta Internusa

Tbk

7 Juli 2011

_√

_×

_√

2012

1 ACES

Ace Hardware Indonesia

Tbk

1 November

2012

√

×

√

2 ASII

Astra International Tbk

5 Juni 2012

_√

₁₆

3 BFIN

BFI Finance Indonesia

Tbk

7 Agustus

2012

√

(3)

Daftar Populasi dan Sampel

No.

Kode

Emiten

Nama Perusahaan

Tanggal

Stock Split

Kriteria

S

Resources Tbk

3 Agustus

2012

√

×

√

6 HERO

Hero Supermarket Tbk

5 April 2012

_√

_×

_√

7 IMAS

Indomobil Sukses

Internasional Tbk

7 Juni 2012

_√

_×

_√

8 KLBF

Kalbe Farma Tbk

8 Oktober

2012

√

18

9 KREN

Kresna Graha Sekurindo

Tbk

7 Agustus

2012

√

×

√

10 MDRN Modern Internasional

Tbk

3 Juli 2012

_√

_×

_√

11 PNSE

Pudjiadi & Sons Tbk

28 September

2012

√

×

√

12 POOL

Pool Advista Indonesia

Tbk

16 TOTO

Surya Toto Indonesia

Tbk

9 Agustus

2012

√

20 2013

1 AMRT

Sumber Alfaria Trijaya

Tbk

4 JKON Jaya Konstruksi Manggala Pratama Tbk

26 September

2013 √

× _√ _√

5 JPFA

Japfa Comfeed Indonesia

Tbk

19 April 2013

√

_×

√

6 JRPT

Jaya Real Property Tbk

1 Agustus

2013

√

×

√

7 MDLN Modernland Realty Ltd.

Tbk

13 November

2013

√

×

√

8 NIPS

Nipress Tbk

25 November

2013

√

(4)

Daftar Populasi dan Sampel

No.

Kode

Emiten

Nama Perusahaan

Tanggal

Stock Split

Kriteria

S

A B

C D

9 ROTI

Nippon Indosari

Corpindo Tbk

29 November

2013

√

×

√

10 TLKM

Telekomunikasi

Indonesia (Persero) Tbk

28 Agustus

2013

√

22

11 TOWR Sarana Menara

Nusantara Tbk

22 Juli 2013

_√

_×

2014

1 ALMI

Alumindo Light Metal

Industry Tbk

12 Februari

2014

√

×

√

2 INAI

Indal Aluminium

Industry Tbk

12 Februari

2014

√

23

3 MLBI

Multi Bintang Indonesia

Tbk

06 November

2014

√

×

√

4 TOTO

Surya Toto Indonesia

Tbk

25 Juli 2014

_√

_×

_√

(5)

Lampiran 2

1. PT Aneka Tambang (Persero) (ANTM)

T

Harga

5 2700 0.048543689 2,333.68 0.017035723 0.031507966 39,736,000 9,538,459,750 0.004165872

4 2575 -0.009615385 2,294.59 -0.002933074 -0.006682311 20,367,500 9,538,459,750 0.002135303

3 2600 0 2,301.34 0.006613537 -0.006613537 15,128,000 9,538,459,750 0.001586

2 2600 -0.018867925 2,286.22 -0.006682308 -0.012185617 8,288,500 9,538,459,750 0.000868956

1 2650 0 2,301.60 0.007300037 -0.007300037 27,336,500 9,538,459,750 0.002865924

0 2650 -0.8 2,284.92 0.005058458 -0.805058458 92,598,500 9,538,459,750 0.009707909

-1 13250 0 2,273.42 -0.003925727 0.003925727 22,599,500 9,538,459,750 0.002369303

-2 13250 -0.032846715 2,282.38 0.004860567 -0.037707282 14,748,500 9,538,459,750 0.001546214

-3 13700 0.007352941 2,271.34 0.019887295 -0.012534354 35,677,500 9,538,459,750 0.003740384

-4 13600 0.054263566 2,227.05 0.002755602 0.051507964 27,898,500 9,538,459,750 0.002924843

-5 12900 0.048543689 2,220.93 0.011306407 0.012503117 15,189,000 9,538,459,750 0.001592395

2. PT Davomas Abadi Tbk (DAVO)

T

Harga

5 285 -0.017241379 2,093.11 -0.008826802 -0.008414577 2,192,500 12,403,711,320 0.000176762

4 290 0.035714286 2,111.75 0.013160167 0.022554118 683,500 12,403,711,320 0.000055104

3 280 0 2,084.32 0.014070254 -0.014070254 285,000 12,403,711,320 0.000022977

2 280 0 2,055.40 -0.001622352 0.001622352 509,500 12,403,711,320 0.000041076

1 280 -0.034482759 2,058.74 -0.008676978 -0.025805781 1,553,000 12,403,711,320 0.000125204

0 290 -0.049180328 2,076.76 0.00792553 -0.057105858 2,887,000 12,403,711,320 0.000232753

-1 610 0.016666667 2,060.43 -0.008741461 0.025408127 16,595,000 12,403,711,320 0.001337906

-2 600 0.034482759 2,078.60 -0.012189616 0.046672375 31,310,000 12,403,711,320 0.002524244

-3 580 0 2,104.25 0.012266987 -0.012266987 2,991,000 12,403,711,320 0.000241138

-4 580 0 2,078.75 0.003611311 -0.003611311 467,000 12,403,711,320 0.000037650

(6)

3. Semen Indonesia (Persero) Tbk

5

4,800 -0.035175879 2,168.64 -0.019362774 -0.015813105 2,720,500 5,931,520,000 0.000458651

4

4,975 0.005050505 2,211.46 0.001839268 0.003211237 846,000 5,931,520,000 0.000142628

3

4,950 -0.01 2,207.40 -0.015169091 0.005169091 2,717,000 5,931,520,000 0.000458061

2

5,000 0 2,241.40 -0.009387264 0.009387264 4,193,000 5,931,520,000 0.000706901

1

5,000 0 2,262.64 0.040739259 -0.040739259 6,402,000 5,931,520,000 0.001079319

0

5,000 2.572703412 2,174.07 -0.006870372 2.579573784 3,403,000 5,931,520,000 0.000573715

-1

51,200 -0.028462998 2,189.11 -0.035545139 0.00708214 952,500 5,931,520,000 0.000160583

-2

52,700 0.002854424 2,269.79 -0.000466786 0.00332121 212,500 5,931,520,000 0.000035826

-3

52,550 0.02038835 2,270.85 0.00644415 0.0139442 670,000 5,931,520,000 0.000112956

-4

51,500 -0.019047619 2,256.31 -0.039324384 0.020276765 326,500 5,931,520,000 0.000055045

-5

52,500 0.009615385 2,348.67 0.020473159 -0.010857775 307,500 5,931,520,000 0.000051842

4. Sorini Agro Asia Corporindo Tbk (SOBI)

T

Harga

5

710 -0.013888889 2,134.88 -0.011451142 -0.002437747 2,567,500 900,000,000 0.002852778

4

720 -0.01369863 2,159.61 -0.007235617 -0.006463013 5,107,500 900,000,000 0.005675

3

730 0 2,175.35 0.015043558 -0.015043558 1,278,500 900,000,000 0.001420556

2

730 0 2,143.11 0.012017982 -0.012017982 5,040,000 900,000,000 0.0056

1

730 0 2,117.66 0.026500371 -0.026500371 3,318,000 900,000,000 0.003686667

0

730 -0.797222222 2,062.99 0.035112719 -0.832334941 1,090,000 900,000,000 0.001211111

-1

3,600 -0.052631579 1,993.01 -0.023790398 -0.028841181 300,000 900,000,000 0.000333333

-2

3,800 0.055555556 2,041.58 0.069651689 -0.014096134 1,050,500 900,000,000 0.001167222

-3

3,600 0 1,908.64 -0.05935695 0.05935695 102,500 900,000,000 0.000113889

-4

3,600 -0.058823529 2,029.08 -0.064353696 0.005530167 1,195,500 900,000,000 0.001328333

(7)

5. Bank Central Asia Tbk (BBCA)

5

3,600 0.014084507 2,701.63 0.020707868 -0.006623361 32,062,500 24,408,459,120 0.001313581

4

3,550 0 2,646.82 0.007448853 -0.007448853 14,136,500 24,408,459,120 0.000579164

3

3,550 0.007092199 2,627.25 0.006470372 0.000621827 13,455,500 24,408,459,120 0.000551264

2

3,525 -0.013986014 2,610.36 0.000966317 -0.014952331 12,656,000 24,408,459,120 0.000518509

1

3,575 -0.006944444 2,607.84 0.009988188 -0.016932632 8,631,000 24,408,459,120 0.000353607

0

3,600 -0.5 2,582.05 -0.014669012 -0.485330988 9,246,500 24,408,459,120 0.000378824

-1

7,200 0.043478261 2,620.49 0.041240513 0.002237747 53,166,000 24,408,459,120 0.002178179

-2

6,900 0.037593985 2,516.70 0.016322871 0.021271114 50,500,000 24,408,459,120 0.002068955

-3

6,650 0.055555556 2,476.28 0.079214825 -0.023659269 51,248,000 24,408,459,120 0.0020996

-4

6,300 -0.045454545 2,294.52 -0.076978776 0.031524231 83,696,000 24,408,459,120 0.003428975

-5

6,600 -0.043478261 2,485.88 -0.047967738 0.004489477 16,572,000 24,408,459,120 0.000678945

6. Vale Indonesia Tbk (INCO)

T

Harga

5

7,700 -0.099415205 2,294.52 -0.076978776 -0.022436429 30,097,500 9,936,338,720 0.003029033

4

8,550 -0.090425532 2,485.88 -0.047967738 -0.042457794 19,656,500 9,936,338,720 0.001978244

3

9,400 -0.040816327 2,611.13 -0.014400139 -0.026416188 8,246,500 9,936,338,720 0.000829933

2

9,800 0.037037037 2,649.28 0.021976538 0.015060499 14,810,000 9,936,338,720 0.001490489

1

9,450 -0.059701493 2,592.31 -0.050446332 -0.00925516 20,805,000 9,936,338,720 0.00209383

0

10,050 0.015151515 2,730.03 -0.028586983 0.043738498 20,553,000 9,936,338,720 0.002068468

-1

9,900 -0.003522899 2,810.37 -0.007027623 0.003504724 6,530,000 9,936,338,720 0.000657184

-2

9,935 0.034895833 2,830.26 0.016025158 0.018870676 7,300,000 9,936,338,720 0.000734677

-3

9,600 0 2,785.62 0.003317233 -0.003317233 4,235,000 9,936,338,720 0.000426213

-4

9,600 -0.013867488 2,776.41 0.004057587 -0.017925076 4,985,000 9,936,338,720 0.000501694

(8)

7. Panorama Sentrawisata Tbk (PANR)

5

345 0.112903226 2,684.70 -0.001298271 0.114201497 25,987,000 1,200,000,000 0.021655833

4

310 0.033333333 2688.19 0.004686712 0.028646622 17,903,000 1,200,000,000 0.014919167

3

300 0 2675.65 0.024846981 -0.024846981 232,000 1,200,000,000 0.000193333

2

300 -0.016393443 2,610.78 0.007218169 -0.023611612 1,000,000 1,200,000,000 0.000833333

1

305 -0.016129032 2,592.07 0.001038859 -0.017167891 1,636,000 1,200,000,000 0.001363333

0

310 0 2,589.38 -0.018836038 0.018836038 7,991,000 1,200,000,000 0.006659167

-1

310 -0.009584665 2,639.09 -0.024095405 0.014510741 1,998,000 1,200,000,000 0.001665

-2

313 0.068259386 2,704.25 0.000969785 0.067289601 41,787,000 1,200,000,000 0.0348225

-3

293 0.097378277 2,701.63 0.020707868 0.076670409 28,072,500 1,200,000,000 0.02339375

-4

267 0.015209125 2,646.82 0.007448853 0.007760272 525,000 1,200,000,000 0.0004375

-5

263 0 2,627.25 0.006470372 -0.006470372 2,010,000 1,200,000,000 0.001675

8. Arwana Citramulia Tbk (ARNA)

T

Harga

5

37 0 2,468.90 0.004847395 -0.004847395 26,396,000 1,835,357,744 0.014381937

4

37 -0.026315789 2,456.99 0.007227306 -0.033543095 4,298,000 1,835,357,744 0.002341778

3

38 0.055555556 2,439.36 0.007954184 0.047601372 12,866,000 1,835,357,744 0.007010077

2

36 0 2,420.11 0.015700676 -0.015700676 2,930,000 1,835,357,744 0.001596419

1

36 -0.052631579 2,382.70 -0.013762702 -0.038868877 19,404,000 1,835,357,744 0.010572326

0

38 -0.025641026 2,415.95 _0.001695787 _-0.027336812 _48,952,000 1,835,357,744 _0.026671639

-1

39 0 2,411.86 0.0119664 -0.0119664 20,652,000 1,835,357,744 0.011252302

-2

39 -0.025 2,383.34 _0.005077384 _-0.030077384 _6,188,000 1,835,357,744 _0.00337155

-3

40 0.052631579 2,371.30 0.013207201 0.039424378 26,148,000 1,835,357,744 0.014246814

-4

38 0.055555556 2,340.39 0.007598784 0.047956771 23,004,000 1,835,357,744 0.012533796

(9)

9. Resource Alam Indonesia Tbk (KKGI)

5

650 0.120689655 2,799.15 0.00875723 0.111932425 81,500 1,000,000,000 0.000081500

4

580 0 2,774.85 0.019842991 -0.019842991 30,500 1,000,000,000 0.000030500

3

580 0 2,720.86 0.006830965 -0.006830965 30,500 1,000,000,000 0.000030500

2

580 0 2,702.40 -0.014790537 0.014790537 30,500 1,000,000,000 0.000030500

1

580 0 2,742.97 0.00209335 -0.00209335 30,500 1,000,000,000 0.000030500

0

580 -0.747826087 2,737.24 -0.006900655 -0.740925432 30,500 1,000,000,000 0.000030500

-1

2,300 0 2,756.26 0.032457925 -0.032457925 122,000 1,000,000,000 0.000122000

-2

2,300 0 2,669.61 0.001162568 -0.001162568 122,000 1,000,000,000 0.000122000

-3

2,300 0.045454545 2,666.51 -0.003739931 0.049194476 122,000 1,000,000,000 0.000122000

-4

2,200 0 2,676.52 0.002359356 -0.002359356 3,000,000 1,000,000,000 0.003000000

-5

2,200 0 2,670.22 0.00491124 -0.00491124 3,000,000 1,000,000,000 0.003000000

10. Tunas Ridean Tbk (TURI)

T

Harga

5

540 -0.035714286 2,914.09 -0.003658382 -0.032055903 120,713,000 5,580,000,000 0.021633154

4

560 -0.034482759 2,924.79 -0.003339478 -0.03114328 3,805,500 5,580,000,000 0.000681989

3

580 0 2,934.59 -0.002484789 0.002484789 4,859,500 5,580,000,000 0.000870878

2

580 -0.033333333 2,941.90 0.004201953 -0.037535287 7,481,500 5,580,000,000 0.001340771

1

600 0.016949153 2,929.59 0.013313272 0.003635881 9,161,000 5,580,000,000 0.001641756

0

590 -0.74893617 2,891.10 0.011347974 -0.760284144 16,638,500 5,580,000,000 0.00298181

-1

2,350 0.056179775 2,858.66 0.010066533 0.046113242 18,924,000 5,580,000,000 0.003391398

-2

2,225 -0.032608696 2,830.17 0.001177994 -0.033786689 9,116,000 5,580,000,000 0.001633692

-3

2,300 0.010989011 2,826.84 0.008901103 0.002087908 8,502,000 5,580,000,000 0.001523656

-4

2,275 -0.010869565 2,801.90 0.011227845 -0.02209741 11,440,000 5,580,000,000 0.002050179

(10)

11. Intraco Penta Tbk (INTA)

5

710 -0.02739726 3,748.76 -0.01026758 -0.0171296801 17,677,500 2,160,029,220 0.0081839171

4

730 -0.013513514 3,787.65 -0.004871013 -0.0086425008 13,585,000 2,160,029,220 0.0062892668

3

740 -0.026315789 3,806.19 -0.005130926 -0.0211848633 24,959,000 2,160,029,220 0.0115549363

2

760 -0.012987013 3,825.82 -0.004457513 -0.0085294999 22,160,000 2,160,029,220 0.0102591205

1

770 0 3,842.95 0.002282093 -0.0022820927 15,347,000 2,160,029,220 0.0071049965

0

770 -0.8 3,834.20 -0.002554617 -0.7974453827 22,459,000 2,160,029,220 0.0103975445

-1

3,850 0 3,844.02 0.00163116 -0.0016311598 17,337,500 2,160,029,220 0.0080265118

-2

3,850 -0.006451613 3,837.76 0.000205892 -0.0066575045 27,297,500 2,160,029,220 0.0126375605

-3

3,875 0 3,836.97 0.002830529 -0.0028305289 45,747,500 2,160,029,220 0.0211791116

-4

3,875 0.013071895 3,826.14 -0.001641256 0.0147131518 56,495,000 2,160,029,220 0.0261547388

-5

3,825 0.006578947 3,832.43 0.004616207 0.0019627401 51,940,000 2,160,029,220 0.0240459710

12. Jasuindo Tiga Perkasa Tbk (JTPE)

T

Harga

5

285 0.017857143 4,177.85 -0.003717711 0.021574854 4,818,000 1,769,680,000 0.002722526

4

280 0 4,193.44 0.015164133 -0.015164133 5,412,000 1,769,680,000 0.00305818

3

280 -0.050847458 4,130.80 -0.00362533 -0.047222128 15,739,000 1,769,680,000 0.008893698

2

295 -0.016666667 4,145.83 -0.006775097 -0.00989157 6,249,500 1,769,680,000 0.003531429

1

300 -0.016393443 4,174.11 0.010000532 -0.026393975 10,224,000 1,769,680,000 0.005777316

0

305 -0.789655172 4,132.78 0.011179103 -0.800834275 24,721,000 1,769,680,000 0.013969192

-1

1,450 -0.026845638 4,087.09

-0.0048042037 -0.022041434 10,487,500 1,769,680,000 0.005926213

-2

1,490 0 4,106.82 0.0095254015 -0.009525401 6,350,000 1,769,680,000 0.003588219

-3

1,490 0 4,068.07 0.0043055031 -0.004305503 16,542,500 1,769,680,000 0.009347735

-4

1,490 0.006756757 4,050.63 0.0067629032 -0.000006146 18,412,500 1,769,680,000 0.010404423

-5

1,480 -0.026315789 4,023.42

(11)

13. PP London Sumatra Indonesia Tbk (LSIP)

5

2,350 0.032967033 3,542.90 0.013838731 0.019128302 24,748,500 6,493,344,465 0.003811364

4

2,275 0.011111111 3,494.54 0.00239229 0.008718822 28,791,500 6,493,344,465 0.004434002

3

2,250 0.011235955 3,486.20 -0.007521451 0.018757406 13,142,500 6,493,344,465 0.002023996

2

2,225 0.034883721 3,512.62 0.012180328 0.022703393 14,399,000 6,493,344,465 0.002217501

1

2,150 0 3,470.35 0.007788519 -0.007788519 7,579,000 6,493,344,465 0.001167195

0

2,150 -0.795238095 3,443.53 0.001279393 -0.796517489 7,681,000 6,493,344,465 0.001182904

-1

10,500 -0.027777778 3,439.13 -0.010071615 -0.017706163 30,577,500 6,493,344,465 0.004709053

-2

10,800 -0.009174312 3,474.12 0.006670337 -0.015844649 38,205,000 6,493,344,465 0.005883717

-3

10,900 -0.009090909 3,451.10 -0.013306115 0.004215206 20,865,000 6,493,344,465 0.00321329

-4

11,000 0.00456621 3,497.64 -0.001102385 0.005668595 20,882,500 6,493,344,465 0.003215985

-5

10,950 0.037914692 3,501.50 0.019543557 0.018371135 35,457,500 6,493,344,465 0.005460591

14. Malindo Feedmill Tbk (MAIN)

T

Harga

5

1,020 -0.009708738 3,821.83 0.007085751 -0.016794489 4,969,500 1,695,000,000 0.002931858

4

1,030 0.009803922 3,794.94 0.017650277 -0.007846355 7,436,000 1,695,000,000 0.004387021

3

1,020 0 3,729.12 0.002079874 -0.002079874 3,429,500 1,695,000,000 0.002023304

2

1,020 -0.009708738 3,721.38 -0.005103637 -0.004605101 4,898,000 1,695,000,000 0.002889676

1

1,030 -0.019047619 3,740.47 -0.014174079 -0.00487354 4,085,500 1,695,000,000 0.002410324

0

1,050 -0.803738318 3,794.25 0.005560164 -0.809298482 8,714,500 1,695,000,000 0.005141298

-1

5,350 0.009433962 3,773.27 0.006538162 0.0028958 7,520,000 1,695,000,000 0.004436578

-2

5,300 0 3,748.76 -0.01026758 0.01026758 4,917,500 1,695,000,000 0.00290118

-3

5,300 -0.009345794 3,787.65 -0.004871013 -0.004474782 5,657,500 1,695,000,000 0.003337758

-4

5,350 0 3,806.19 -0.005130926 0.005130926 6,250,000 1,695,000,000 0.003687316

(12)

15. Metro Realty Tbk (MTSM)

5

710 0 3,710.48 0.000998171 -0.000998171 2,000 232,848,000 0.0000085893

4

710 0 3,706.78 0.023785719 -0.023785719 2,000 232,848,000 0.0000085893

3

710 -0.053333333 3,620.66 -0.000585186 -0.052748147 2,000 232,848,000 0.0000085893

2

750 0 3,622.78 -0.016967365 0.016967365 1,500 232,848,000 0.0000064420

1

750 0 3,685.31 0.017470866 -0.017470866 1,500 232,848,000 0.0000064420

0

750 -0.75 3,622.03 -0.02868858 -0.72131142 1,500 232,848,000 0.0000064420

-1

3,000.00 0 3,729.01 0.017554057 -0.017554057 6,000 232,848,000 0.0000257679

-2

3,000.00 0 3,664.68 -0.002911264 0.002911264 6,000 232,848,000 0.0000257679

-3

3,000.00 0 3,675.38 0.010850044 -0.010850044 6,000 232,848,000 0.0000257679

-4

3,000.00 0 3,635.93 0.029498124 -0.029498124 6,000 232,848,000 0.0000257679

-5

3,000.00 0 3,531.75 0.023375291 -0.023375291 6,000 232,848,000 0.0000257679

16. Astra International Tbk (ASII)

T

Harga

5

6,650 0.007575758 3,852.58 -0.003525416 0.011101174 17,595,000 40,483,553,140 0.000434621

4

6,600 -0.007518797 3,866.21 0.01068666 -0.018205457 43,667,500 40,483,553,140 0.001078648

3

6,650 -0.022058824 3,825.33 -0.003975941 -0.018082882 14,550,500 40,483,553,140 0.000359418

2

6,800 -0.021582734 3,840.60 -0.000190038 -0.021392695 45,218,000 40,483,553,140 0.001116947

1

6,950 0.053030303 3,841.33 0.033204407 0.019825896 41,969,000 40,483,553,140 0.001036693

0

6,600 -0.894230769 3,717.88 0.017320732 -0.911551501 27,014,500 40,483,553,140 0.000667296

-1

62,400 -0.014996054 3,654.58 -0.038210207 0.023214154 44,140,000 40,483,553,140 0.001090319

-2

63,350 -0.014774495 3,799.77 -0.008622894 -0.006151601 45,595,000 40,483,553,140 0.00112626

-3

64,300 -0.025757576 3,832.82 -0.021720709 -0.004036867 63,410,000 40,483,553,140 0.001566315

-4

66,000 0.012269939 3,917.92 -0.000290886 0.012560825 35,245,000 40,483,553,140 0.0008706

(13)

17. Berlina Tbk (BRNA)

5

670 0.015151515 4,332.08 0.003123705 0.01202781 1,578,000 690,000,000 0.002286957

4

660 0 4,318.59 -0.003472831 0.003472831 1,936,500 690,000,000 0.002806522

3

660 0.03125 4,333.64 0.001333219 0.029916781 2,585,000 690,000,000 0.003746377

2

640 -0.03030303 4,327.87 -0.005183408 -0.025119623 1,580,500 690,000,000 0.00229058

1

660 -0.029411765 4,350.42 0.00837917 -0.037790934 1,177,500 690,000,000 0.001706522

0

680 -0.802898551

4,314.27

0.002633083 -0.805531634 1,110,500 690,000,000 0.00160942

-1

3,450 0 4,302.94 -0.008285529 0.008285529 3,015,000 690,000,000 0.004369565

-2

3,450 -0.007194245 4,338.89 0.000814235 -0.008008479 1,117,500 690,000,000 0.001619565

-3

3,475 0.01459854 4,335.36 -0.003431955 0.018030495 1,310,000 690,000,000 0.001898551

-4

3,425 -0.007246377 4,350.29 -0.003278651 -0.003967726 3,610,000 690,000,000 0.005231884

-5

3,450 0.00729927 4,364.60 0.007671938 -0.000372667 2,867,500 690,000,000 0.004155797

18. Kalbe Farma Tbk (KLBF)

T

Harga

5

980 0.010309278 4,313.52 0.000494040 0.009815238 20,082,500 50,780,072,110 0.0003954799

4

970 -0.010204082 4,311.39 0.006165737 -0.016369819 24,280,000 50,780,072,110 0.0004781403

3

980 0 4,284.97 0.001158876 -0.001158876 28,477,000 50,780,072,110 0.0005607909

2

980 0.020833333 4,280.01 -0.000056071 0.020889405 63,946,500 50,780,072,110 0.0012592834

1

960 0.010526316 4,280.25 0.002816156 0.00771016 32,860,000 50,780,072,110 0.0006471042

0

950 -0.802083333 4,268.23 -0.009992323 -0.792091011 37,794,500 50,780,072,110 0.0007442782

-1

4,800 0.021276596 4,311.31 0.009329363 0.011947233 48,042,500 50,780,072,110 0.0009460896

-2

4,700 0.027322404 4,271.46 0.00469245 0.022629954 50,510,000 50,780,072,110 0.0009946815

-3

4,575 0 4,251.51 -0.001252102 0.001252102 30,827,500 50,780,072,110 0.0006070787

-4

4,575 0.005494505 4,256.84 0.004850943 0.000643563 51,995,000 50,780,072,110 0.0010239253

(14)

19. Petrosea Tbk (PTRO)

5

4,225 -0.005882353 4,008.64 0.005339386 -0.011221739 4,498,500 1,008,605,000 0.004460121

4

4,250 -0.034090909 3,987.35 -0.00104972 -0.033041189 4,195,000 1,008,605,000 0.00415921

3

4,400 -0.016759777 3,991.54 0.006016125 -0.022775902 7,022,000 1,008,605,000 0.006962091

2

4,475 -0.021857923 3,967.67 0.006379169 -0.028237092 3,602,500 1,008,605,000 0.003571765

1

4,575 -0.010810811 3,942.52 -0.006190952 -0.004619859 3,849,500 1,008,605,000 0.003816658

0

4,625 -0.894886364 3,967.08 -0.004471881 -0.890414482 10,320,000 1,008,605,000 0.010231954

-1

44,000 -0.020044543 3,984.90 -0.004986429 -0.015058114 700,000 1,008,605,000 0.000694028

-2

44,900 -0.002222222 4,004.87 0.010746311 -0.012968533 2,345,000 1,008,605,000 0.002324993

-3

45,000 0.034482759 3,962.29 -0.005751265 0.040234024 2,235,000 1,008,605,000 0.002215932

-4

43,500 0.005780347 3,985.21 0.020916804 -0.015136457 1,285,000 1,008,605,000 0.001274037

-5

43,250 0.054878049 3,903.56 0.011017814 0.043860235 1,775,000 1,008,605,000 0.001759856

20. Surya Toto Indonesia Tbk (TOTO)

T

Harga

5

7,700 0 4,160.51 0.004471281 -0.004471281 3,000 495,360,000 0.000006056

4

7,700 0.132352941 4,141.99 0.004956861 0.12739608 267,000 495,360,000 0.000539002

3

6,800 -0.00729927 4,121.56 0.004638601 -0.011937871 3,000 495,360,000 0.000006056

2

6,850 -0.068027211 4,102.53 -0.009423985 -0.058603226 26,000 495,360,000 0.000052487

1

7,350 -0.098159509 4,141.56 0.002515026 -0.100674535 75,000 495,360,000 0.000151405

0

8,150 -0.880147059 4,131.17 0.009890704 -0.890037762 69,000 495,360,000 0.000139293

-1

68,000 0.03030303 4,090.71 0.001255636 0.029047395 40,000 495,360,000 0.000080749

-2

66,000 0 4,085.58 -0.004852028 0.004852028 40,000 495,360,000 0.000080749

-3

66,000 0.015384615 4,105.50 0.001387869 0.013996746 40,000 495,360,000 0.000080749

-4

65,000 0 4,099.81 0.001636897 -0.001636897 110,000 495,360,000 0.000222061

(15)

21. Sepatu Bata Tbk (BATA)

5

1,220 0.016666667 4,349.42 -0.002000854 0.01866752 504,500 1,300,000,000 0.0003880769

4

1,200 -0.111111111 4,358.14 0.039816189 -0.1509273 958,500 1,300,000,000 0.0007373077

3

1,350 -0.181818182 4,191.26 0.029199357 -0.211017538 1,776,500 1,300,000,000 0.0013665385

2

1,650 0.25 4,072.35 0.005305046 0.244694954 206,500 1,300,000,000 0.0001588462

1

1,320 0.245283019 4,050.86 -0.005548109 0.250831128 266,000 1,300,000,000 0.0002046154

0

1,060 -0.987529412 4,073.46 -0.021745865 -0.965783547 204,500 1,300,000,000 0.0001573077

-1

85,000 0 4,164.01 0.015307603 -0.015307603 50,000 1,300,000,000 0.0000384615

-2

85,000 0 4,101.23 -0.022373775 0.022373775 50,000 1,300,000,000 0.0000384615

-3

85,000 0 4,195.09 0.022297549 -0.022297549 50,000 1,300,000,000 0.0000384615

-4

85,000 0 4,103.59 0.019150722 -0.019150722 50,000 1,300,000,000 0.0000384615

-5

85,000 0 4,026.48 0.014778822 -0.014778822 50,000 1,300,000,000 0.0000384615

22. Telekomunikasi Indonesia (Persero) Tbk (TLKM)

T

Harga

(16)

23. Indal Aluminium Industry Tbk (INAI)

T

Harga saham

Actual Return IHSG Market

Return

Abnormal Return

Volume Transa

ksi

Jumlah Volume Beredar

TVA

5

290 -0.010238908 4,592.65 0.0080023 -0.018241208 27,100 316,800,000 0.000085543

4

293 0.010344828 4,556.19 0.000180007 0.01016482 9,200 316,800,000 0.000029040

3

290 -0.046052632 4,555.37 0.01049902 -0.056551651 114,100 316,800,000 0.000360164

2

304 -0.031847134 4,508.04 0.003646759 -0.035493892 125,500 316,800,000 0.000396149

1

314 -0.01875 4,491.66 -0.001029738 -0.017720262 3,700 316,800,000 0.000011679

0

320 -0.428571429 4,496.29 0.005838678 -0.434410107 23,700 316,800,000 0.000074811

-1

290 -0.010238908 4,592.65 0.004367803 -0.115478914 41,000 316,800,000 0.000129419

-2

293 0.010344828 4,556.19 -0.003564176 0.089771073 200 316,800,000 0.000000631

-3

290 -0.046052632 4,555.37 0.009483107 -0.009483107 24,200 316,800,000 0.000076389

-4

304 -0.031847134 4,508.04 0.009214677 -0.009214677 16,400 316,800,000 0.000051768

(17)

Lampiran 3

Rata-rata Abnormal Return Sebelum dan Sesudah Stock Split

Kode Emiten

Rata-rata Abnormal Return

Sebelum Stock Split

Rata-rata Abnormal

Return Sesudah Stock Split

ANTM

0.003539034

-0.000254707

DAVO

0.003846

-0.004823

SMGR

0.006753

-0.007757

SOBI

0.009578

-0.012493

BBCA

0.007173

-0.009067

INCO

0.006867

-0.017101

PANR

0.031952

0.015444

ARNA

0.009025

-0.009072

KKGI

0.001661

0.019591

TURI

-0.000460

0.002996

INTA

0.001111

-0.011554

JTPE

-0.011965

-0.015419

LSIP

-0.001059

0.002731

MAIN

-0.002868

-0.007240

MTSM

-0.015673

-0.015607

ASII

0.002674

-0.005351

BRNA

0.002793

-0.003499

KLBF

0.002144

0.004177

PTRO

0.008186

-0.019979

TOTO

0.020738

-0.009658

BATA

-0.009832

0.030450

TLKM

0.004785

-0.006783

(18)

Lampiran 4

Rata-rata Trading Volume Activity(TVA) Sebelum dan Sesudah Stock Split

Kode Emiten

Rata-rata TVA Sebelum

Stock Split

Rata-rata TVA Sesudah

Stock Split

ANTM

0.002435

0.002324

DAVO

0.000834

0.000084

SMGR

0.000083

0.000569

SOBI

0.000833

0.003847

BBCA

0.002091

0.000663

INCO

0.000600

0.001884

PANR

0.012399

0.007793

ARNA

0.008307

0.007181

KKGI

0.001273

0.000041

TURI

0.002586

0.005234

INTA

0.018409

0.008678

JTPE

0.007183

0.004797

LSIP

0.004497

0.002731

MAIN

0.003618

0.002928

MTSM

0.000026

0.000322

ASII

0.001063

0.000805

BRNA

0.003455

0.002567

KLBF

0.001139

0.000668

PTRO

0.001654

0.004594

TOTO

0.000137

0.000151

BATA

0.000038

0.000571

TLKM

0.001418

0.000961

(19)

Lampiran 5

Uji Normalitas Kolmogrov Smirnov Rata-rata Abnormal Return

One-Sample Kolmogorov-Smirnov Test

AR_Sebelum AR_Sesudah

N 23 23

Normal Parametersa,,b Mean .00307024 -.00451459

Std. Deviation .010212801 .012815454

Most Extreme Differences Absolute .175 .164

Positive .175 .164

Negative -.126 -.076

Kolmogorov-Smirnov Z .839 .787

Asymp. Sig. (2-tailed) .482 .566

a. Test distribution is Normal.

b. Calculated from data.

Uji Normalitas Kolmogrov Smirnov Rata-rata Trading Volume Activity

(TVA)

One-Sample Kolmogorov-Smirnov Test

TVA_Sebelum TVA_Sesudah

N 23 23

Normal Parametersa,,b Mean .00322380 .00259002

Std. Deviation .004507517 .002649804

Most Extreme Differences Absolute .252 .209

Positive .252 .209

Negative -.239 -.168

Kolmogorov-Smirnov Z 1.208 1.002

Asymp. Sig. (2-tailed) .108 .268

a. Test distribution is Normal.

(20)

Lampiran 6

Uji Paired Sample T-Test Rata-rata Abnormal Return

Paired Samples Statistics

Mean N Std. Deviation Std. Error Mean

Pair 1 AR_Sebelum .00307024 23 .010212801 .002129516

AR_Sesudah -.00451459 23 .012815454 .002672207

Paired Samples Correlations

N Correlation Sig.

Pair 1 AR_Sebelum & AR_Sesudah 23 .123 .575

Paired Samples Test

Paired Differences

t df Sig.

(2-tailed) Mean

Std.

Deviation

Std. Error

Mean

95% Confidence Interval

of the Difference

Lower Upper

Pair

1

AR_Sebelum

-

AR_Sesudah

(21)

Lampiran 7

Uji Paired Sample T-Test Rata-rata Trading Volume Activity (TVA)

Paired Samples Statistics

Mean N Std. Deviation Std. Error Mean

Pair 1 TVA_Sebelum .00322380 23 .004507517 .000939882

TVA_Sesudah .00259002 23 .002649804 .000552522

Paired Samples Correlations

N Correlation Sig.

Pair 1 TVA_Sebelum & TVA_Sesudah 23 .860 .000

Paired Samples Test

Paired Differences

t df Sig.

(2-tailed) Mean

Std.

Deviation

Std. Error

Mean

95% Confidence Interval

of the Difference

Lower Upper

Pair

1

TVA_Sebelum

-

TVA_Sesudah

.000633771 .002607999 .000543805

-.000494012