IS PRIYONO, YULIUS (2014) PENGARUH PENGUMUMAN DIVIDEN TERHADAP PERUBAHAN HARGA SAHAM SEBELUM DAN SESUDAH EX- DIVIDEND DATE DI BURSA EFEK INDONESIA (Studi Kasus Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia). Masters thesis, UPN ''VETERAN'' YOGYAKARTA.
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Abstract
This study aimed to analyze the effect of dividend announcement on stock price
changes at the companies listed in Indonesia Stock Exchange , with a sampling of 38
stocks of companies listed on the Indonesia Stock Exchange . The study period consisted
of 11 days ie 5 days before the ex - dividend date ( t - 5 ) , 5 days after the ex - dividend
date ( T + 5 ) and the ex - dividend date was announced ( t - 0 ) .The method used in this
research study is the event that will observe the movement of stock prices in the capital
market . To examine the price reaction tests abnormal stock returns during the event
period of 11 days . In this study the stock price is represented by the JCI . Analysis of the
balance computation method Capital Asset Pricing Model (CAPM) .
The results of this study indicate the 5% significance level there are 2 working
days resulted in levels of positive abnormal returns prior to the event date ie on day 5
before the event date by 0.0035 , or approximately 3 % and on day 4 before the event
date amounted to 0 , 0040 , or about 4 % . On day 3 , to 2 and to 1 before the event date
does not generate positive abnormal returns . At the moment it does not give a date evnt
abnormal return means also . While at the time after the event date abnormal returns
exchanges do not give negative or not shall mean even on day 5 after the event date
stock price dropped sharply.
From the results of the study concluded that a dividend information react
positively to changes in stock prices at the time before the ex - dividend date and
dividend payment information to react negatively to the stock price at the time after the
ex - dividend date .
Keywords : Dividend , Ex - Dividend Date , Stock Price
| Item Type: | Thesis (Masters) |
|---|---|
| Subjek: | H Social Sciences > HC Economic History and Conditions |
| Divisions: | x. Faculty of Law, Arts and Social Sciences > School of Management |
| Depositing User: | Erny Azyanti |
| Date Deposited: | 03 Nov 2016 01:43 |
| Last Modified: | 03 Nov 2016 01:43 |
| URI: | http://eprints.upnyk.ac.id/id/eprint/8275 |
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