Analysis of Differences in Abnormal Returns, Trading Volume Activity, and Bid–Ask Spread Before and After Stock Splits in Companies Listed on the Indonesia Stock Exchange During the 2020–2024 Period
DOI:
https://doi.org/10.21111/at.v11i2.15687Keywords:
Stock Split, Abnormal Return, Trading Volume Activity, Bid Ask SpreadAbstract
This research is driven by the increasing trend in the number of companies implementing stock splits in recent years, which raises important questions about how the market reacts in terms of abnormal returns, trading volume activity, and bid-ask spreads. The objective of this study is to analyze the variation of these three indicators before and after stock splits among companies listed on the Indonesia Stock Exchange during the 2020–2024 period. This research uses an event study methodology with a quantitative approach, relying on secondary data covering stock price information, trading volume activity, and the bid-ask spread within a predetermined event window. The sample was determined using purposive sampling, resulting in 12 companies meeting the selection criteria. The observation period covered 20 trading days, consisting of 10 days before the event (D–10), the day of the event (D0), and 10 days after the event (D+10). The data were analyzed using the Wilcoxon signed-rank test. The results showed no statistically significant differences in abnormal returns, trading volume activity, or bid-ask spreads before and after the stock split.References
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