Stock Split Impact on Price, Returns, and Trading Volume in Indonesia

Abstract

This research examines how stock splits influence market dynamics in Indonesia's capital market. While theory suggests stock splits signal positive future performance, market responses often diverge from these expectations. This study investigates differences in share prices, abnormal returns, and Trading Volume Activity (TVA) surrounding stock split events. Employing a quantitative methodology, we analyzed 36 companies that executed stock splits on the Indonesia Stock Exchange between 2020 and 2023. Due to non-normal data distribution, the Wilcoxon Signed-Rank Test was applied. Findings reveal no statistically significant changes in stock prices or trading volume following splits. However, abnormal returns exhibited significant differences, predominantly negative, suggesting market skepticism. These results challenge conventional assumptions about stock split effectiveness in emerging markets.