Analysis of Differences in Trading Volume Activity and Abnormal Return Before and After Stock Split in Manufacturing Companies

Abstract

The manufacturing sector plays a strategic role in Indonesia's economy, resulting in increasingly intense competition among firms within the industry. One corporate action commonly used to maintain stock attractiveness is a stock split. However, prior studies on market reactions to stock splits have shown inconsistent findings. This study aims to analyze differences in trading volume activity (TVA) and abnormal return before, during, and after stock splits among manufacturing companies listed on the Indonesia Stock Exchange (IDX) during the 2016–2024 period. A quantitative comparative approach was employed using secondary data obtained from the IDX and Yahoo Finance. A purposive sampling technique yielded a sample of 32 companies, with an 11-day trading event window. Hypothesis testing was conducted using the Wilcoxon Signed-Rank Test, as the data were not normally distributed. The results show that TVA differed significantly across all period comparisons, with a declining trend from before to after the stock split. Meanwhile, abnormal return showed no significant difference between the pre- and during-split periods, nor between the during- and post-split periods, but differed significantly between the pre- and post-split periods, shifting from a positive to a negative average. These findings indicate that stock splits have not consistently improved trading activity or generated a stable market response among investors.