Analysis of Market Reaction To Announcements Of Stock Split

ABSTRAK : The purpose of this study is to determine market efficiency based on the acquisition of abnormalreturns during the stock split event period. This study uses an event study approach, which is observed forabnormal return for three days before the announcement, during the announcement and three days after theannouncement. This research uses secondary data obtained from the website www.idx.co.id,www.yahoofinance.com, www.sahamok.com and the Indonesia Capital Market Directory (ICMD) and collectedusing the document observation method. The population in this study are companies that conduct stock split andare listed on the Indonesia Stock Exchange in 2019. Samples were taken using the census method, as many as11 issuers. T-test (t-test) is used to measure the significance of abnormal returns that occur. The analysis showsthat the market did not react during the stock split event period (days t-3 to days t + 3) which was indicated bythe insignificant abnormal return. This happens because the market is in an efficient condition in the form ofhalf strong information that causes the market does not react, thus concluding that the efficient market is notanswered.

Keyword -market efficiency, abnormal returns, stock splits