ABSTRACT
This research is
aimed to examine the influence of ex-dividend date on stock price
movements in the Jakarta Stock Exchange. A 30-days of observation,
divided into a 15-days period before and a 15-days period after the
ex-dividend date, is analized by using an event study method applying
the Paired Sample T-test.The result shows that the average price of
stocks before the ex-dividend date are significantly different with
those after the ex-dividend date. It indicates that there is a
significant movement in the stocks’ prices between the both periods of
observation due to dividend announcement. Far more than that, the
research also reveals that the amount of the stocks’ price alteration is
statistically the same as the amount of their dividend per share.
Keywords: dividend, ex-dividend date, stock price.
ABSTRAK
Penelitian
ini bertujuan untuk menganalisis pengaruh ex-dividen date terhadap
perubahan harga saham di Bursa Efek Jakarta. Periode penelitian selama
30 hari, yaitu 15 hari sebelum dan 15 hari sesudah ex-dividend date yang
dianalisa dengan menggunakan metode event study melalui aplikasi uji
beda dua rata-rata berpasangan. Hasil penelitian menunjukkan bahwa nilai
rata-rata harga saham sebelum ex-dividend date dan nilai rata-rata
harga saham sesudah ex-dividend date secara statistik berbeda
signifikan. Hal ini mengindikasikan, bahwa terjadi pergerakan harga
saham yang signifikan selama antara dua periode observasi tersebut
akibat pengumuman pembagian dividen. Lebih lanjut, besarnya perubahan
harga saham tersebut secara statistik tidak berbeda dengan nilai dividen
perlembar saham yang dibagikan.
Kata kunci: dividen, ex-dividend date, harga saham.