The Effect of Stock Split on Stock Return, Stock Trading Volume, and Systematic Risk in Companies Listed on the Indonesia Stock Exchange

Authors

  • Hasnul Muna Faculty of Economics and Business, Universitas Malikussaleh, 24351 Lhokseumawe, Aceh, Indonesia
  • Muammar Khaddafi Faculty of Economics and Business, Universitas Malikussaleh, 24351 Lhokseumawe, Aceh, Indonesia

DOI:

https://doi.org/10.56225/ijfeb.v1i1.4

Keywords:

stock split, abnormal stock return, stock trading volume activity, systematic risk

Abstract

In the Indonesian capital market, corporate action is commonly used. Public companies adopt corporate activities to improve their performance and benefit their shareholders. One of the corporate actions that companies often carry out is a stock split. The stock split is a corporate action carried out by an issuer to increase the number of shares outstanding. The stock return, stock trading volume, and systematic risk indicators are used to assess the effectiveness of the stock split event. The study was carried out to see the effect of the stock split event regarding whether there were differences in stock returns, stock trading volume, and systematic risk before and after the stock split. This study uses secondary data taken from the official website of the Indonesia Stock Exchange. The sample was selected using a purposive sampling method with certain criteria. The sample in this study amounted to 37 companies listed on the Indonesia Stock Exchange that carried out stock split actions from 2017 to 2020. The results showed a significant difference in abnormal stock returns, stock trading volume, and systematic risk before and after the stock split.

References

Agus Amanda Tanoy. (2020). Analysis of the Effect of Stock Split on Trading Volume, Stock Prices, and Abnormal Returns in Companies Listed on the Stock Exchange for the 2017 - 2018 period. Jurnal Manajemen Bisnis Dan Kewirausahaan, 4(1), 84–90.

Anderson, A., & Dyl, E. A. (2005). Market structure and trading volume. Journal of Financial Research, 28(1), 115–131.

Damayanti, N. L., Atmadja, A. T., & Darmawan, N. A. S. (2014). Analysis of the Effect of Stock Split on the Level of Profit (Return) of Stocks and Stock Liquidity (Study on Companies that Go Public on the Indonesia Stock Exchange. Jurnal Ilmiah Mahasiswa Akuntansi S1, 2(1), 10.

Dwi Rahayu, W. M. (2017). The Effect of Stock Split on Stock Return, Bid-Ask Spread and Trading Volume Activity in Companies Listed on the Indonesia Stock Exchange for the Period of 2009 – 2013, 148, 148–162.

Eduardus Tandelilin, S., Hartono, J., & Hanafi, M. M. (2013). Detecting the existence of herding behavior in intraday data: Evidence from the Indonesia stock exchange. Gadjah Mada International Journal of Business, 15(1), 27–44.

Gilli, M., & Schumann, E. (2011). Risk–reward optimisation for long-run investors: an empirical analysis. European Actuarial Journal, 1(2), 303–327.

Hernoyo, M. A. (2013). Effect of Stock Split Announcement on Trading Volume and Return. Management Analysis Journal, 2(1), 110–116.

How, C. C., & Tsen, W. H. (2019). The effects of stock split announcements on the stock returns in bursa Malaysia. Jurnal Ekonomi Malaysia, 53(2), 41–53.

Laksmi, P. (2006). Analysis of the impact of stock split on risk.

Masdupi, E., Megawati, M., & Irawan, R. (2017). Analysis of the Effect of Stock Split on Trading Volume and Stock Returns Listed on the Indonesia Stock Exchange in 2011-2015. Jurnal Kajian Manajemen Bisnis, 6(1), 60–81.

Puspita, N. V., & Yuliari, K. (2019). Analysis of the Effect of Stock Split on Stock Prices, Abnormal Returns and Systematic Risk of Company Stocks (Study on Companies Listed on the Stock Exchange 2016-2018). Ekonika : Jurnal Ekonomi Universitas Kadiri, 4(1), 95.

Putra, I., & Suarjaya, A. A. G. (2020). Analysis of Market Reaction to Announcements Of Stock Split. American Journal of Humanities and Social Sciences Research, 4(6), 114–120.

Ruhama, H. (2012). Impact of Stock Split Publication on Profitability and Systematic Risk in Companies Listed on the Indonesia Stock Exchange (IDX) for the Period 2004-2009.

Schoenmaker, D., & Schramade, W. (2019). Investing for long-term value creation. Journal of Sustainable Finance & Investment, 9(4), 356–377.

Downloads

Published

2022-03-31

How to Cite

Muna, H., & Khaddafi, M. (2022). The Effect of Stock Split on Stock Return, Stock Trading Volume, and Systematic Risk in Companies Listed on the Indonesia Stock Exchange. International Journal of Finance, Economics and Business, 1(1), 51–56. https://doi.org/10.56225/ijfeb.v1i1.4

Issue

Section

Articles
Abstract viewed = 976 times