Pengaruh Return Saham, Volume Perdagangan Saham dan Volatilitas Harga Saham terhadap Bid-Ask Spread (Studi Kasus pada Perusahaan yang Melakukan Stock Split di Bursa Efek Indonesia Periode 2017-2019)

Abstract

Stock split is the breakdown of the number of shares into a number of more shares by using a lower nominal value per share proportionally. This trading activity is inseparable from the movement of the distance between the bid and ask (offer), therefore this study aims to analyze the effect of stock returns, stock trading volume and stock price volatility on the bid-ask spread on companies that conduct stock split on the Stock Exchange Indonesia for the period 2017-2019. This research is quantitative with a sample of 39 company financial statements. The analytical method used is multiple linear regression. The results of this study indicate that stock returns have a positive and significant effect on bid-ask spreads, stock trading volume has no effect on bid-ask spreads and stock price volatility has a negative and significant effect on bid-ask spreads on companies that conduct stock split on the Exchange Indonesian Securities 2017-2019 period. the coefficient of determination is obtained with an adjusted R value of 0.291, this means that the bid-ask spread can be explained by the existence of stock returns, trading volume and stock price volatility of 29.1%, while the remaining 70.9% can be influenced by other variables that are not researched.