ANALISIS REAKSI PASAR MODAL TERHADAP PENGUMUMAN DIVIDEN DI BURSA EFEK INDONESIA (BEI)

Abstract

This study aims to examine the difference in the stock market reaction before and after the dividend announcement in Indonesia Stock Exchange in 2012. This study was conducted by observing the abnormal return and trading volume activity during the study period. The date is from 8 days before the dividend announcement to 8 days after the dividend announcement. The research sampling are the 26 companies that registered in index LQ 45-year period of 2012 and selected using purposive sampling method. This study uses secondary data obtained from the IDX website, BEI, and stock history data from Yahoo Finance. Statistical test for abnormal returns and trading volume activity use Paired Sample T-Test. The result of the research shows that there is no difference in the average Abnormal Return before and after the dividend announcement. While the result of research on trading volume activity shows that there is difference in the average Trading Volume Activity before and after the dividend announcement event.