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NIM : 3111142660
Judul Skripsi : ANALISIS REAKSI PASAR TERHADAP PEMECAHAN
SAHAM (STOCK SPLIT) DENGAN PENDEKATAN
HARGA SAHAM, VOLUME PERDAGANGAN SAHAM
DAN ABNORMAL RETURN DI BURSA EFEK
INDONESIA TAHUN 2012-2015
ABSTRAK
Hasil dari penelitian ini menunjukkan bahwa dengan pendekatan metode harga
saham menunjukkan terdapat reaksi pasar yang signifikan sebelum dan sesudah
pengumuman stock split dari 10 (sepuluh) emiten, tampak dari nilai probabilitas t
hitung sebesar 0.0000 < α 0.05 (5%). Sedangkan untuk pendekatan metode
abnormal return menunjukkan tidak terdapat reaksi pasar yang signifikan sebelum
dan sesudah pengumuman stock split dari 10 (sepuluh) emiten, tampak dari nilai
probabilitas t hitung sebesar 0.7778 > α 0.05 (5%). Sementara pada metode
volume perdagangan menunjukkan terdapat reaksi pasar yang signifikan sebelum
dan sesudah pengumuman stock split dari 10 (sepuluh) emiten, tampak dari nilai
probabilitas t hitung sebesar 0.0000 < α 0.05 (5%).
Penulis
RAEHANATUR RAHMATI
3111142660
xi
Name : Raehanatur Rahmati
NIM : 3111142660
Title : ANALYSIS OF MARKET REACTION TO THE STOCK
SPLIT WITH STOCK PRICE, TRADING VOLUME AND
ABNORMAL RETURN APPROACH ON INDONESIAN
EXCHANGE IN 2012-2015
ABSTRACT
This research aimed to know the market reaction of stock split with stock price,
trading volume and abnormal return at Indonesian Exchange.
Author using quantitatif method with type of panel data (cross section and time
series) and data source came from secondary data which author’s get from
Indonesian Exchange. Data collection techniques using purposive sampling
method with annual data and research period from 2012 until 2015. Data anlysis
techniques that author’s used are the calculations of stock price, trading volume
and abnormal return, and t-statistic test to tested the partial koefisien to tested the
corelations between two variable with 5% significat level.
The result of the research shows that with stock price approach there is a
significant market reaction before and after stock splits from 10 (ten) emitens.
This proven by probabilities value t-arithmetic 0,0000 < α 0,05 (5%). While with
abnormal return approach shows that there’s no significant reaction between
before and after stock split from 10 (ten) emitens, this proven by probabilities
value of t-arithmetic 0,7778 > α 0,05 (5%). Mean while with trading volume
approach shows that there is a significant reaction between before and after stock
splits from 10 (ten) emiten, this proven by probabilities value of t-arithmetic
0,0000 < α 0,05 (5%).
Author’s
RAEHANATUR RAHMATI
3111142660
xii