PENGARUH PENGUMUMAN DIVIDEN TERHADAP RETURN SAHAM
SEBELUM DAN SESUDAH EX-DEVIDEND DATE
DI BURSA EFEK INDONESIA
1Danies Arta Waluyo
2Prihantoro, SE.,M.M.
1 Fakultas Ekonomi, Universitas Gunadarma dolphin@student.gunadarma.ac.id
Abstrak
Penelitian ini bertujuan untuk menganalisis pengaruh pengumuman kenaikan dan penurunan deviden terhadap return saham sebelum dan sesudah Ex-Dividend Date di Bursa Efek Indonesia. Pada penelitian ini sampel yang digunakan terdiri dari 23 perusahaan yang tergabung dalam kelompok 50 biggest market capitalization di Bursa Efek Indonesia. Pengujian pengaruh pengumuman deviden dilakukan melalui pengamatan terhadap return tidak normal (abnormal return) selama 21 hari pengamatan yaitu pada 10 hari sebelum, hari pengumuman deviden, serta 10 hari sesudah tanggal pengumuman dividen.
Hasil penelitian ini, menunjukkan perusahaan yang mengumumkan kenaikan deviden secara keseluruhan tidak mempunyai pengaruh positif yang signifikan terhadap return saham sebelum dan sesudah ex-devidend date. Sedangkan pada perusahaan yang mengumumkan penurunan deviden secara keseluruhan pengumuman deviden menurun tidak mempunyai pengaruh positif yang signifikan terhadap return saham sebelum dan sesudah ex-devidend date di Bursa Efek Indonesia.
Kata Kunci:Pengumuman Dividen, Return Saham, Ex-Dividend Date.
DAFTAR PUSTAKA(1999-2009)
ABSTRACT
This study aimed to analyze the effect of the announcement of dividend increase and decrease of stock returns before and after the Ex-Dividend Date in Indonesia Stock Exchange. In this study sample consisted of 23 companies belonging to the group of 50 biggest market capitalization on the Indonesia Stock Exchange. Testing the effect of dividend announcements made through observation of the abnormal return (the abnormal return) during 21 days of observation that is in the 10 days before, day of the announcement of dividends, and 10 days after the dividend announcement date.
The results of this study, showed that companies announcing dividend increases as a whole does not have a significant positive effect on stock returns before and after the ex-dividend date. While the company announced a decline in overall dividend announcements of dividend decreases do not have a significant positive effect on stock returns before and after the ex-dividend date in Indonesia Stock Exchange.
The results of this study, showed that companies announcing dividend increases as a whole does not have a significant positive effect on stock returns before and after the ex-dividend date. While the company announced a decline in overall dividend announcements of dividend decreases do not have a significant positive effect on stock returns before and after the ex-dividend date in Indonesia Stock Exchange.
Keywords: Dividend Announcement, Stock Return, Ex-Dividend Date.
REFERENCES (1999 - 2009)
REFERENCES (1999 - 2009)
