ANALISIS PENGUMUMAN PEMBAYARAN DEVIDEN TERHADAP ABNORMAL RETURN SAHAM PADA PERUSAHAAN LQ 45 DI BURSA EFEK INDONESIA

Abstract

The purpose of this study is to see the stock market
reaction to an event (event) dividend payment announcement
abnormal return approach, the average abnormal stock
return and Trading Volume Activity (TVA) before and after
the dividend announcement on companies that make dividend
payments. This study uses event study approach, to see
the abnormal return by way of observing the stock market
during the window period is 20 days before and 20 days after
the event. Method of sampling using purposive sampling that
sample selection based on certain criteria and acquired 26
companies that make the announcement of dividends paid
in 2007. Results showed that there is a significant abnormal
return occurs on day t-17, T-10, t-2, t +1, t +5 and this means
that the announcements have information content of dividend
payments so that the market reacted to the announcement,
as evidenced by obtaining a significant abnormal return. In
addition the research also shows that announcements of
dividend payments make a difference on average abnormal
stock returns significantly between before and after the event.
Another result of this research is that there are differences
in Trading Volume Activity significantly between before and
after the announcement of events paying dividends.
Keyword: Dividend, Abnormal return, Efficiency market