Comparative Analysis of Stock Prices, Abnormal Returns, and Stock Liquidity Before and After Stock Splits in Companies Listed on the Indonesia Stock Exchange

Abstract

This study is an event study that aims to examine the reaction of the Indonesian capital market to stock split events conducted by companies listed on the Indonesia Stock Exchange during the 2020–2024 period. The study employs secondary data obtained from the official website of the Indonesia Stock Exchange and Yahoo Finance. The observation window spans 20 trading days, consisting of 10 days before the event (H−10), the event day (H0), and 10 days after the stock split (H+10). Data were analyzed using the paired sample t-test and the Wilcoxon signed rank test. 1) The empirical results reveal that there is no significant difference in stock prices before and after the stock split. 2) Furthermore, the analysis indicates no significant difference in abnormal returns surrounding the stock split event. 3) In addition, stock liquidity also shows no significant change before and after the stock split. These findings suggest that stock split announcements do not contain sufficient information to trigger a significant market reaction, indicating that the Indonesian capital market has efficiently absorbed the information prior to the event.