ANALISIS PENGARUH STOCK SPLIT DAN RIGHT ISSUE TERHADAP ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY PADA PERUSAHAAN YANG TERDAFTAR DI INDEKS LQ45 DI BURSA EFEK INDONESIA (BEI) PERIODE 2015-2020

Abstract

ABSTRACT
This research is aimed to test the effect of stock split and right issue on abnormal return
and trading volume activity using market model as method during corporate action
window on 7 days before and 7 days after the ex-date stock split and right issue. This
study uses event study methodology with paired sample t-test and normality tes. The data
used in this study aredailydata on stock prices, the number of shares traded, the number
of shares outstanding in companies listed on LQ45 beetween 2015-2020.The result of
this study shows that there is no abnormal return difference in stock split and right issue
event beforeandafter the announcement. Another result shows that there are significant
difference on trading volume activity in stock split event and no difference on trading
volume activity in right issue event.