Abnormal Return of Stocks During Stock Split Announcement (Empirical Study at Indonesia Stock Exchangein 2019)

ABSTRACT : The purpose of this study is to determine the significant difference in abnormal returns around thestock split event in 2019. The approach used in this study is an event study by observing abnormal returns forthree days before the announcement, at the time of the announcement and three days after the announcement.This research was conducted on companies that carried out a stock split on the Indonesia Stock Exchange in2019. Data was collected using the non-participant observation method. The sample determination method usedis the census method, the total sample size is 11 companies listed on the Indonesia Stock Exchange andconducted a stock split in 2019. The data analysis technique used is the One Sample T-test. The results showthat there was no abnormal return around the stock split announcement. This means that the lack of informationcontent causes the market to not react, so that the efficient market is not answered.

Keywords: abnormal return, event study, stock split