Pengaruh Informasi EX-Deviden Date Terhadap Perubahan Harga Saham BUMN dan Saham Berkapitalisasi Pasar Terbesar Yang Diperdagangkan Di Bursa Efek Indonesia

• Main Authors: , Winny Khrissanti Rahardja, , Dr. Eko Suwardi, Msc
• Format: Theses and Dissertations NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 2012
• Subjects: ETD
• 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
• Institution: Universitas Gadjah Mada

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.