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Determinants of Stock Splits’ Ex-Date Returns: Empirical Evidence from Indonesian Stock Market

Hendra, Edwin and Handoko, Bambang Leo and Ariyanto, Stefanus (2020) Determinants of Stock Splits’ Ex-Date Returns: Empirical Evidence from Indonesian Stock Market. Pertanika Journals : Social Sciences & Humanities, 28 (2). ISSN 0128-7702

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This study analyzes the stock returns on the days surrounding stock split events to find whether there are price movement anomalies during the split event of Indonesian public companies and whether they follow a signalling hypothesis or a trading range/liquidity hypothesis. This study used the stock returns data for 60 days around 50 split events of publicly traded stock on the Indonesia Stock Exchange from 2010 to 2015. This study found an anomaly pattern of stock prices with the ex-date as the peak and a positive average return that could not be explained by the general market movement. The cross-sectional regression of the conservative capital asset pricing model (CAPM) and three other factors failed in explaining the ex-date return anomalies. The results of the empirical model indicate that ex-date return anomalies were not related to a firm’s operating performance but were strongly related to the split factor, weakly related to trading volume, and also weakly related to the market value. Overall, these findings support the trading range/liquidity hypothesis.

Item Type: Article
Subjects: H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions: Fakultas Bisnis > Program Studi Akuntansi
Depositing User: mr admin umn
Date Deposited: 17 Jun 2021 04:54
Last Modified: 17 Jun 2021 04:54

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