Pengaruh Informasi EX-Deviden Date Terhadap Perubahan Harga Saham BUMN dan Saham Berkapitalisasi Pasar Terbesar Yang Diperdagangkan Di Bursa Efek Indonesia
This thesis is intended to test semi-strong efficient market hypothesis on Bursa Efek Indonesia to analyze the impact of ex-dividend date information to state owned enterprise (BUMN) and the price movement of biggest capitalization stock. This thesis will focus on abnormal return. The ex-dividend da...
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Main Authors: | , |
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Format: | Theses and Dissertations NonPeerReviewed |
Published: |
[Yogyakarta] : Universitas Gadjah Mada
2012
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Subjects: | |
Online Access: | https://repository.ugm.ac.id/98380/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=53506 |
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Institution: | Universitas Gadjah Mada |
Summary: | This thesis is intended to test semi-strong efficient market hypothesis on
Bursa Efek Indonesia to analyze the impact of ex-dividend date information to
state owned enterprise (BUMN) and the price movement of biggest capitalization
stock. This thesis will focus on abnormal return.
The ex-dividend date is the period where the investors who purchase the
stocks has lost its rights to earn dividend. The lost of right to get diviend decreases
investor�s motivation to buy share on ex-dividend date, thus depressed the stock
price on ex-dividend date.
The Purpose of this research is to test �negative abnormal return� on exdividend
date, either in state owned enterprise (BUMN) or the biggest
capitalization stocks traded on Bursa Efek Indonesia. Researcher used event study
method that focus on abnormal return. To test abnormal return, researcher used
market model to determine the abnormal return.
The result shows negative abnormal return on ex-dividend date, either to
state owned enterprise (BUMN) stocks or the biggest capitalization stocks. On the
fourth day after ex-dividen date, the result shows postive return and market starts
to make a new equilibrium. |
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