PENGARUH HARGA SAHAM, VOLUME PERDAGANGAN,DAN VARIAN RETURN TERHADAP BID-ASK SPREAD PADA MASA SEBELUM DAN SESUDAH RIGHT ISSUE DI BURSA EFEK JAKARTA PERIODE 2000-2002

Abstract

Emiten as a company can not run from various economic occurence. This economic occurence are accepted by market as information that will be responded by all market participle through the stocks trade activity in capital market. Right Issue is a new stocks offering to the old owner, it will influence the stocks liquidity. One of the respon can be perceived from bid-ask spread. Bid-ask Spread is the difference between the lowest asked price and the highest bid price that happens under a certain period. This research aims to confirm whether variables like: stock price, trading volume and variant of return have an effect to bid-ask spread around right issue and this research also aims to know the influence of right issue on bid-ask spread. This Research examined 22 companies that issued right issue in the Jakarta Stock Exchange during 2000-2002. Perception were conducted 5 days before until 5 days after right issue. A multiple regression analysis was used to examine the effect of stock price, trading volume and variant of return on the bid-ask spread. Furthermore, this research used a paired sample t-test analysis to examine the different of bid-ask spread before and after right issue. The result indicated that trading volume and variant of return had significant influence on bid-ask spread before and after right issue. But this research failed to prove that stock price had significant influenced on bid-ask spread before and after right issue. Other result indicated that simultanously stock price, trading volume and variant of return had significant influenced on bid-ask spread before and after right issue. The result also indicated that there was no different between bid-ask spread before and after the right issue. Key Word : Right Issue, Bid-Ask Spread, Stock Price, Trading Volume, Variant of Return