Pengaruh Pengumuman Dividen Terhadap Perubahan Harga Saham Pada Industri Perbankan Di Bursa Efek Jakarta.
This research objective is to analyze the influence of dividendannouncement on stock price movements at banking industry in the Jakarta StockExchange. A 41-days of observation, divided into a 20-days period before and a20-days period after the ex-dividend date, while t0 is the ex-dividend date.The method used in this research is event study that observe the stockprice movement in the capital market. To examine the existence of price reaction,the abnormal return test will be conducted during the event period with analysisbased on the concpet of CAPM (Capital Assets Pricing Model) and applying thePaired Sample T-test.The result indicate that at the significant level of 15 %, there are twoworking days which yield the abnormal return that is significant, those areseventeenth day and eleventh day before event date. The seventeenth day beforethe event date with the value of -0.050 or approximately -5 %, and the eleventhday after the event date with the value of 0.059 or approximately 5.9 %.The result shows that the average price of stocks before the ex-dividenddate are significantly different with those after the ex-dividend date, that isexperienced of the degradation after ex-dividend date. It indicates that there is a significant movement in the stocks’ prices between the both periods ofobservation due to dividend announcement.
Year of publication: |
2011-06-28
|
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Authors: | Soneta |
Other Persons: | Tarigan Silangit, Zainal Abidin (contributor) |
Subject: | Ex-Dividend Date | Abnormal Return | Harga Saham |
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