REAKSI PASAR TERHADAP PENGUMUMAN DIVIDEN: Kasus pada Dividend Initiation, Dividend Omission, dan Dividend Cut (Studi di Bursa Efek Jakarta periode 1995-1999)

Utami, Ngesti Wahyu (2001) REAKSI PASAR TERHADAP PENGUMUMAN DIVIDEN: Kasus pada Dividend Initiation, Dividend Omission, dan Dividend Cut (Studi di Bursa Efek Jakarta periode 1995-1999). Masters thesis, Program Pascasarjana Universitas Diponegoro.

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Abstract

ABSTRACT Investment in Jakarta Stock Exchange gives an unsatisfied result. Dividend announcement without categorization of there is or not dividend changes does not make change of stock price. It means that investor have not seen information of dividend share as valuable information that can effect market reaction. Phenomenon behind this research before about evidence of dividend announcement to market reaction at announcement of dividend are dividend initiation, dividend omission, and dividend cut are not much researched. Samples are taken by purposive sampling, there are 17 samples (initiation), 22 samples (omission), and 11 samples (dividend cut). Methodology that is used is event study who was increased by Fama (1969) and regresion analysis is used as technical of analysis for those three of research purposes. The result, dividend announcement in case of dividend initiation gives negative abnormal return and unsignificant, and in case of dividend omission gives positive abnormal return but significant, while in case of dividend cut gives negative abnormal return and significant. ABSTRAKSI Investasi di Bursa Efek Jakarta memberikan hasil yang kurang memuaskan. Pengumuman dividen tanpa pengkategorian ada tidaknya perubahan dividen tidak membuat perubahan harga saham. Artinya pelaku pasar belum menganggap informasi pembagian dividen sebagai informasi berharga yang mampu mempengaruhi reaksi pasar. Fenornena dibalik penelitian terdahulu tentang pengaruh pengumuman dividen terhadap reaksi pasar pada kasus pengumuman perubahan dividen, yaitu dividend initiation, dividend omission, dan dividend cut belum banyak diteliti. Teknik pengambilan sampel dilakukan secara purposive, diperoleh sampel sebanyak 17 sampel (dividend initiation), 22 sampel (dividend omission), dan 11 sampel (dividend cut), Metodologi yang digunakan adalah event study yang dikembangkan oleh Fama (1969) dan analisis regresi digunakan sebagai teknik analisis untuk ketiga tujuan penelitian. Hasilnya, peristiwa pengumuman dividen pada kasus dividend initiation memberikan abnormal return negatif dan tidak signifikan, pada kasus dividend omission memberikan abnormal return positif tetapi signifikan, dan pada kasus dividend cut memberikan abnormal return negatif dan signifikan.

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HG Finance
Divisions:Postgraduate Program > Master Program in Management
ID Code:9151
Deposited By:Mr UPT Perpus 2
Deposited On:23 Apr 2010 10:01
Last Modified:23 Apr 2010 10:01

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