ANALYSIS OF PRICE CHANGES, ABNORMAL RETURN, AND STOCK MARKET VOLUMES BEFORE AND AFTER EX-DIVIDEND DATE, A CASE STUDY OF LISTED STOCKS IN LQ-45 INDONESIAN STOCK EXCHANGE YEAR 2004-2007

• Main Author: R.F. (NIM : 291 07 014); Pembimbing: Ir. A. Imam Istiyanto, MBA, YULIVIA
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/19744
• Institution: Institut Teknologi Bandung

One of many indicators of an economic progress of a country is the stock market activity. This view is based on stock market function as capital transaction facilitator which may give some effects to the economic development of the respective country. As a developing market, equity price movements in Indonesian Stock Exchange are fluctuating relatively high. In the investment activity in a stock market, dividend is a part of equity investment which often forgotten by the investors. Comparative process by the investors between stock portfolio,performance with Index often discard dividend resulted from the stocks that build the Index. Investors often directly compare invested stocks performance with Index without considering dividend factor which can be re-invested. On the other hand, dividend is an important factor that has to be considered in doing investment. Previous researches show that return level and stock prices reacted to dividend announcement according to how much the given dividend is. That reaction happens especially around the ex-dividend date. The purpose of this research is to reveal stock market reactions to dividend announcement according to the increase and the decrease of the dividend value, especially which happens around the ex-dividend date. This research observed stock price, stock market volumes, and abnormal return. Data is collected using purposive sampling, so the research is conducted only with stocks that stayed in LQ-45 Index for three years consequently with observing period restricted to 15 days before and 15 days after the ex-dividend date. The result shows that most stocks reacted positively to the ex-dividend event. In the increasing-dividend group, average negative abnormal return happened in the 2nd, 10th and 11th day before the exdividend date. While the average positive abnormal return as high as 1.00737 happened in the 10th day after the ex-dividend date. In the decreasing-dividend group, average negative abnormal return happened in the 5th day before the ex-dividend date as low as -0.00732 (0.7%) and in the 8th day after the ex-dividend date as high as 0.03294 (3.2%). There is no significant positive abnormal return happened around ex-dividend date. This result shows that the increasing dividend announcement is good information which received by the investors and reflected by the positive reaction such as stock price increase. On the other hand, decreasing dividend announcement will be received by the investors as a bad news thus the stock price decreased. Stock data analysis based on JASICA industry classification shows the characteristic differences among various industries.