This research entitled efficiency of capital market on stock split
announcement in period 2011-2013 in Indonesia stock exchange. This research
aimed to reveal and evaluate stock price movement before and after stock split
announcement in Indonesia stock exchange. It also reveals and analyses the
abnormal Return stages before and after stock split announcement in Indonesia
stock exchange.
Purposive sampling method was used in this research. The samples of this
research were company that split their stock in period 2011-2013 and don't do any
policy like stock dividend, right issue, bonus share or announcement of strategic
company that directly affect stock liquidity at the time of stock split
announcement or at the end of period after stock split announcement. The stock
samples were selected active would be traded. Company doesn't undergo
delisting. The analysis was using Run Test and Wilcoxon test with significance
0,05.
The result of this research showed stock price was moving in random
before and after stock split announcement in Indonesia stock exchange. It is
proved by Run Test from 29 samples of companies, there were 19 companies had
random stock price and only 10 companies had non-random stock price. This
research found empirical proves of equal abnormal Return before and after stock
split announcement in Indonesia stock exchange. It is proved by Wilcoxon test
showed significance 0,882 more than 0,05.