PENGARUH STOCK SPLIT TERHADAP LIKUIDITAS SAHAM YANG DIUKUR DENGAN BESARNYA BID-ASK SPREAD DI BURSA EFEK JAKARTA

Abstract

It is widely believed that stock splits are purely cosmetic, since the
corporation's cash flows are unaffected, each shareholder retains his proportionate
ownership and the claims of other classes of security holders are unaltered. Although
stock splits appear to be purely cosmetic changes, research shows real effects
associated with them. Despite extensive study, controversies still abound in the
literature about these effects. These controversies include whether stock splits affect
shareholder wealth, change a stock risk, improve liquidity, and provide signals to the
market. The objective of this research is to verify empirically that stock splits relate
those real effects especially stock liquidity as measured by bid-ask spread.
This research examines thirty companies which did stock splits in Jakarta
Stock Exchange during July 1995 to June 1997. A paired-difference test is used to
test some hypothesis about the difference between two population means for stock
prince, variance, trading volume, turnover volume, and bid-ask spread variables.
Furthermore, the multiple regression analysis is used to examine the relation of stock
price, trading volume, stock volatility to bid-ask spread.
Overall, the results of this research indicate that there are significant
differences among stock price, turnover volume, and bid-ask spread for before and
after the listing date. Besides that, the difference of bid-ask spread is affected by
stock price, volatility, and trading volume.