Abnormal Return Sebelum dan Sesudah Stock Split
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Abstract
Abstract
An abnormal return refers to the variation between the actual return, the return that actually transpires, and the anticipated return. Abnormal returns can manifest when a company announces an event. In this investigation, the specific event under scrutiny is a stock split. The computation of abnormal returns is accomplished through the application of an event study. The objective of this study is to ascertain whether there exists a disparity in abnormal returns preceding and following the stock split. The research employed a sample of 45 companies, selected through purposive sampling, from a population of 57 entities listed on the Indonesia Stock Exchange between 2016 and 2020. To analyze the data, SPSS Statistics version 26 was utilized. In this study, the observation period spanned 11 days, inclusive of the stock split announcement date as the event. The expected return was determined using the market-adjusted model. To test the hypothesis, a Paired Sample t-Test with a significance level of 0.05 or 5% was employed. The findings demonstrate a notable contrast in abnormal returns before and after the stock split.
Abstrak
Penelitian ini fokus pada konsep abnormal return, yang merupakan selisih antara return aktual saham perusahaan dengan return yang diharapkan. Abnormal return umumnya terjadi sekitar pengumuman peristiwa penting, seperti pemecahan saham. Dalam penelitian ini, metode yang digunakan adalah studi peristiwa untuk menginvestigasi apakah terdapat perbedaan yang signifikan antara abnormal return sebelum dan sesudah stock split. Populasi penelitian mencakup 57 perusahaan yang terdaftar di Bursa Efek Indonesia selama periode 2016-2020. Teknik purposive sampling digunakan untuk memilih 45 perusahaan yang memenuhi kriteria tertentu. Data yang dikumpulkan diolah dengan menggunakan perangkat lunak SPSS Statistict versi 26. Metode studi peristiwa dalam penelitian ini melibatkan pengamatan selama 11 hari, termasuk tanggal publikasi stock split sebagai tanggal peristiwa. Model penyesuaian pasar (market adjusted model) digunakan untuk mencari return ekspektasi. Hipotesis penelitian diuji dengan menggunakan Paired Sample t-Test dengan tingkat signifikansi 0,05 atau 5%. Hasil penelitian menunjukkan bahwa terdapat perbedaan yang signifikan antara abnormal return sebelum dan sesudah stock split. Hasil penelitian ini dapat menjadi panduan berharga bagi investor, analis, dan manajer keuangan dalam mengambil keputusan terkait investasi saham dan strategi keuangan.
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