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)
摘要：Keywords: Dividends, Ex-dividend date, Return stock ABSTRACT This research’s aimed to analyze whether the announcement of dividend increase and decrease positive effect on stock returns before and after the ex-dividend date in Indonesia Stock Exchange as well as whether the dividend announcement was a major signal in the determination of stock prices. In this study sample consisted of 24 companies belonging to the group LQ45 the period February 2009 - July 2009 on the Indonesian Stock Exchange. Researchers divided the sample into two groups: group dividend rises and dividend falls. Increasing dividend group is consisting 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, a day 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 capital market so as to examine whether there is a reaction to the stock price, then the test will be conducted during the event period abnormal return, where the model used was tested using the Market Model with One Sample T-test. Based on the results, it is known that announcements of dividend increases provide a positive influence 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 before and after the ex-dividend date in Indonesia Stock Exchange (BEI). It is characterized by the existence of significant negative abnormal return on day t +9. And the dividend announcement was not a primary signal in determining stock prices. It is a signal in the determination of stock prices is the existence of stock price fluctuations caused by external factors.
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