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REAKSI PASAR TERHADAP PERUBAHAN DIVIDEN DENGAN INDIKATOR ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY

Jurnal Economia

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Title REAKSI PASAR TERHADAP PERUBAHAN DIVIDEN DENGAN INDIKATOR ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY
 
Creator Setiawan, Adhe Raka
Bandi, Bandi
 
Subject dividen; abnormal return; trading volume activity
 
Description Abstrak: Reaksi Pasar Terhadap Perubahan Dividen dengan Indikator Abnormal Return dan Trading Volume Activity. Penelitian ini bertujuan untuk mengetahui reaksi pasar terhadap perubahan dividen, yaitu dividen tetap, dividen naik, dividen turun, dividen inisiasi, dan dividen omisi dengan indikator abnormal return dan trading volume activity pada perusahaan yang terdaftar di Bursa Efek Indonesia pada sektor properti, real estate, dan konstruksi bangunan periode 1998-2015. Penelitian ini menggunakan desain event study, di mana dilakukan pengamatan 5 hari sebelum dan 5 hari sesudah peristiwa. Analisis data yang digunakan dalam penelitian ini adalah Uji Paired Sample t-test. Hasil penelitian menunjukkan bahwa hanya dividen tetap dan dividen inisiasi dengan indikator trading volume activity terjadi reaksi pasar secara signifikan. Hasil penelitian ini juga menunjukkan bahwa untuk melihat reaksi pasar lebih baik menggunakan indikator trading volume activity dari pada abnormal return.Kata kunci: dividen, abnormal return, trading volume activity.Abstract: Market Reaction to Dividend Change with Abnormal Return and Trading Volume Activity as Indicators. The aim of this study is to find the influence of dividend change on market reaction, which are fixed dividend, rise dividend, fall dividend, initiation dividend, and omission dividend with abnormal return and trading volume activity as indicators at the companies listed in Indonesian Stock Exchange in property, real estate, and building construction sectors in 1998-2015. This study employs event study, in which it is observed within 5 days before and 5 days after the event date. Paired Sample t-test is utilized to analyze the data. The results show that fixed dividend and initiation dividend using average trading volume activity have significant effect on market reaction. Furthermore, it also suggests that to comprehend market reaction, trading volume activity is better indicator rather than abnormal return.Keywords: dividend, abnormal return, trading volume activity.
 
Publisher Fakultas Ekonomi Universitas Negeri Yogyakarta
 
Contributor —
 
Date 2015-10-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journal.uny.ac.id/index.php/economia/article/view/8291
10.21831/economia.v11i2.8291
 
Source Jurnal Economia; Vol 11, No 2 (2015); 200-209
2460-1152
1858-2648
10.21831/economia.v11i2
 
Language eng
 
Relation https://journal.uny.ac.id/index.php/economia/article/view/8291/6916
 
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