CAPITAL MARKET REACTION IN INDONESIA STOCK EXCHANGE TO STOCK SPLIT EVENTS REVIEWED FROM ABNORMAL RETRUNS, TRANDING VOLUME AND BID-ASK SPREADS IN GROWING AND GOOD SPEAKING COMPANIES

Abstract

This study aims to obtain empirical evidence and analyze differences in abnormal retruns, tranding volume, and bid-ask spreads on companies that grow and companies do not grow before and after the announcement of a stock split and to know the average abnormal retrun and average tranding volume stock and average daily bid-ask spread of share around stock split announcements. This study uses 66 companies listed on the Indonesia Stock Exchange which carried out a 2013-2019 stock split period. Companies grew to 48 companies and 18 companies did not grow. Categorizing cpmpany growth an growth using the ISO (Investment Opportunity Set) proxy MVE/BVE (Market Vakue For Equity Book) Proxy. Data Collection techniques in this study were carried out using a purposive sampling method base on secondary data availabel on the Indonesia Stock Exchane. The method of analysis use the Pried Test t-test sample, Wilcoxon Signed Rank Test and Multiple Regression with IBM SPSS version 22.This study shows that there are significant differnces in bid-ask spreads, friendly tranding volume in companies growing and not growing before and after the stock split, and there are significant abnormal retrun differnces in reef companies but there are not significant differences in companies not growing before and after a stock split and there is a significant influence of average abnormal retrun and the average trading volume of shares simultaneously on the average bid-ask spread around the annoucement of a stock split.