ANALISIS PENGARUH HARGA SAHAM, VOLUME PERDAGANGAN, DAN VARIANSI RETURN SAHAM TERHADAP BID ASK SPREAD PADA MASA SEBELUM DAN SESUDAH STOCK SPLIT

Abstract

The phenomenon of bid ask spread is a consideration for investors in invest funds in a manufacturing company. By knowing the bid ask spread and the factors that influence it, investors can expect minimize the level of risk of loss and increase the rate of profit preformance invest. In this study aims to determine the influence of price shares, trading volume and stock return variance of the bid ask spread in the period before and after the stock split. Sampling method using a purposive sampling method with the sample are manufacturing company listed at BEI in the period 2003-2009 that the stock-split. The number of manufacturing companies who do that as many as 44 companies. This hypothesis was tested with using multiple linear regression model. Data were analyzed using classic assumption test that includes testing multicollinearity, heterocedastity test, and the autocorrelation test. From the results of this study concluded that based on the assumption test classical regression model of this study indicate normally distributed, free multicollinearity, heterocedastity, and autocorrelation. The results of this test partial (t) explains that stock prices have a negative effect but not significant to the bid ask spread of 0.185. Volume of trade but significant negative influence on the bid ask spread of 0.0. Varian return significantly and negatively related to the bid ask spread for 0.0. Dummy before / after the stock split is a negative influence but not significant impact on bid ask spread of 0.239. Simultaneously (F test) note that jointly price variable shares, trading volume, stock return variance, and influential stock split significant effect on the level of bid ask spread with significance of 0.000.