ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI BID-ASK SPREAD SEBELUM DAN SESUDAH STOCK SPLIT DI BURSA EFEK JAKARTA TAHUN 2001-2005

Abstract

The objective of this research was to analyze the effects of stock price, stock trading volume, variance of stock return on bid ask spread before and after stock split. This research was also intended to indetify the diferences between bid ask spread before and after stock split. This reseach examines thirty companies which did stock split in Jakarta stock exchange during 2001-2005. Perception were conducted 5 days before until 5 days after stock split. A multiply regression analysis was used to examine the effect of stock price, stock trading volume, variance of stock return on bid ask spread. Furthermore, this research used to a paired sample t-test analysis to examine the different of bid-ask Spread before and after stock split. The result of parsial regression analysis for financial sector indicate that stock trading volume had significant influence on bid ask spread before after stock split. Other result indicated that simultaneously stock price, stock trading volume, variance of stock return had significant influence on bid ask spread before and after stock split. The result also indicated that there were siginificant different between bid ask spread before and after stock split.