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标题：DIVIDEND ANNOUNCEMENT ON THE EFFECT OF CHANGES IN SHARE PRICE (RETURN) BEFORE AND AFTER Ex-Dividend Date IN INDONESIA STOCK EXCHANGE (IDX) (Case Study Group Shares LQ45 period from February to July 2009)
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作者：Irma Juniyanti
期刊名称：Faculty of Economics
出版年度：2010
卷号：0
期号：0
语种：English
出版社：Faculty of Economics
摘要：Keywords: Dividends, Ex-dividend date, Return stockABSTRACTThis research’s aimed to analyze whether the announcement of dividend increase and decreasepositive effect on stock returns before and after the ex-dividend date in Indonesia StockExchange as well as whether the dividend announcement was a major signal in the determinationof stock prices. In this study sample consisted of 24 companies belonging to the group LQ45 theperiod February 2009 - July 2009 on the Indonesian Stock Exchange. Researchers divided thesample into two groups: group dividend rises and dividend falls. Increasing dividend group isconsisting of 13 listed companies and on dividends down the group consisting of 11 issuers.While the study period consisted of 21 days, it’s consisting of 10 days before the event date, aday when the event date and 10 days after the event date.The method used in this study is Event Study by observing the movement of shares in the capitalmarket so as to examine whether there is a reaction to the stock price, then the test will beconducted during the event period abnormal return, where the model used was tested using theMarket Model with One Sample T-test.Based on the results, it is known that announcements of dividend increases provide a positiveinfluence on stock return on before and after the ex-dividend date in Indonesia Stock Exchange(IDX). It is characterized by an average of significant positive abnormal return on day t +10.While the announcement of dividend reduction is not a positive influence on stock returns beforeand after the ex-dividend date in Indonesia Stock Exchange (BEI). It is characterized by theexistence of significant negative abnormal return on day t +9. And the dividend announcementwas not a primary signal in determining stock prices. It is a signal in the determination of stockprices is the existence of stock price fluctuations caused by external factors.