HOW DOES GLOBALIZATION IMPLY TRADING VOLUME ACTIVITY AND ABNORMAL RETURN BEFORE AND AFTER OF STOCK SPLIT

Widjanarko, Hendro and Safitri, Diyah (2011) HOW DOES GLOBALIZATION IMPLY TRADING VOLUME ACTIVITY AND ABNORMAL RETURN BEFORE AND AFTER OF STOCK SPLIT. 1 st International Conference on Globalisation, Governance & Sustainability in Asean 2011.

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Abstract

In this globalization era stock split has been a debatable and puzzling phenomenon for financial theorist, for there is inconsistency between the theory and practice. Theoretically,stock split will only increase the amount of shared stocks, without increasing the profit for investors, or any value of the firms. While in practice, some empirical research show that market tends to react to the announcement of stock split. This research to explain about there is or not any differences between trading volume activity and abnormal return before after the stock split announcement. Selected population for this research are all company that listed in Indonesian Stock Exchange. Sample consists of 41 stocks performing the stock split during the period of Januari 2005 to December 2009 by purposive sampling method. Pursuant to result of data analysis, could be concluded that as a whole result from the statistic test at 10 days period before and after the stock split announcement to the volume of trade is known that the overall results showed difference between the average trading volume activity before and after the stock split announcement. Neither the average abnormal return as the overall results of statistical tests on the 10 days before and after the stock split announcement showed significant difference in abnormal return before and after the stock split announcement period. Keywords: Globalization, Stock Split, Trading Volume Activity, Abnormal Return.

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