Perbedaan Harga Saham, Likuiditas Saham dan Reaksi Pasar Sebelum dan Sesudah Stock Split - Rahmadina, Salsabila; Wijayanti, Risna (Fakultas Ekonomi dan Bisnis Universitas Brawijaya, 2023)
The objective of this study is to identify the differences in stock price, stock liquidity, and market reaction between the periods of before and after the application of stock split policy among public companies listed on the Indonesia Stock Exchange. This research uses the daily stock data from 2018 to 2022. The research population is all 42 companies listed on the stock market that split their stock during the 2018-2022 period. Using purposive sampling technique, 32 of them were selected as the sample. This research uses event study in making observation seven days prior and seven days after the stock split. The results of the analysis using Wilcoxon signed-rank test suggest that there are no significant differences in stock price between the period of before and after the stock split, but significant differences were found in stock liquidity and market reaction between the periods of before and after the stock split. Abstrak Penelitian ini bertujuan untuk mengetahui perbedaan harga saham, likuiditas saham, dan reaksi pasar sebelum dan sesudah stock split pada perusahaan yang tercatat di Bursa Efek Indonesia. Data penelitian ini merupakan data saham harian pada periode 2018-2022. Populasi dalam penelitian ini adalah seluruh perusahaan di Bursa Efek Indonesia yang melakukan stock split pada periode 2018-2022. Pengambilan sampel menggunakan metode purposive sampling. Dari total populasi 42 perusahaan yang melakukan stock split, 32 perusahaan memenuhi kriteria menjadi sampel penelitian. Metode analisis dalam penelitian ini menggunakan studi peristiwa dengan pengamatan 7 hari sebelum dan 7 hari sesudah stock split. Hasil analisis statistik dengan menggunakan wilcoxon signed rank test menunjukkan tidak terdapat perbedaan signifikan antara harga saham sebelum dan sesudah stock split, tetapi terdapat perbedaan signifikan antara likuiditas saham dan reaksi pasar sebelum dan sesudah stock split.