PENGARUH PENGUMUMAN DIVIDEN SAHAM TERHADAP ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SAHAM DI BEI

Ekaliya Jagrataraning Tyas Setjo,

Abstract


Abstrak

Penelitian ini bertujuan untuk menganalisis pengaruh pengumuman dividen saham terhadap abnormal return saham sebelum dan sesudah pengumuman. Jenis penelitian ini adalah event study. Teknik pemilihan sampel dengan purposive sampling dan diperoleh 15 perusahaan yang melakukan pengumuman dividen saham selama periode tahun 2010-2014. Penentuan return estimasi menggunakan market adjusted model. Alat uji analisis parametrik yang digunakan adalah uji paired sample t-test. Hasil penelitian ini menunjukkan bahwa: (1) Pengumuman dividen saham tidak berpengaruh terhadap abnormal return, hal ini dibuktikan dengan hasil uji paired sample t-test dengan tingkat signifikansi 0,741 (0,741>0,05) yang berarti tidak terdapat perbedaan rata-rata abnormal return yang signifikan antara sebelum dan sesudah pengumuman dividen saham. (2) Pengumuman dividen saham berpengaruh terhadap trading volume activity, hal ini dibuktikan dengan hasil uji paired sample t-test dengan tingkat signifikasi 0,000 (0,000<0,05) yang berarti terdapat perbedaan rata-rata trading volume activity yang signifikan antara sebelum dan sesudah pengumuman dividen saham.

 

Kata kunci: dividen saham, abnormal return, trading volume activity

 

Abstract

This study aimed to analyze the announcement effect of stock dividend on abnormal return and trading volume activity before and after the announcement. This type of research was event study. Sample selection technique used purposive sampling and obtained 15 companies doing the announcement of stock dividend during the period 2010-2014. Stock return was estimated using market adjusted model. The test model of parametric analysis in this study was paired sample t-test. The results showed that: (1) The announcement of stock dividend did not have effect on abnormal return; this was evidenced by the test results of paired sample t-test with a significance level of 0.741 (0.741>0.05).This means there was not a significant difference of average abnormal returns before and after the announcement of stock dividend. (2) The announcement of stock dividend had effect on trading volume activity; this was evidenced by the test results of paired sample t-test with a significance level of 0.000 (0.000<0.05). This means there was a significant difference of average trading volume activity before and after the announcement of the stock dividend.

 

Keywords: stock dividends, abnormal return, trading volume activity

 



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References


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