Handriyanto, Satria Pradana and Cacik Rut Damayanti, S.Sos. M.Prof.Acc.,DBA (2021) Analisis Dampak Cum Date Dan Ex Date Terhadap Harga Saham Melalui Indikator Abnormal Return Dan Trading Volume Activity. (Studi Pada Perusahaan Yang Terdaftar Dalam Indeks Idx High Dividend 20 Periode Februari 2020 Hingga Januari 2021. Sarjana thesis, Universitas Brawijaya.
Abstract
IDX High Dividend 20 merupakan indeks yang mengukur kinerja harga dari 20 saham atau emiten yang membayarkan dividen tunai selama 3 tahun terakhir serta memiliki dividend yield yang tinggi. Setiap pembayaran dividen tunai, terjadi volatilitas atau perubahan harga saham terutama sekitar peristiwa penting dalam pembagian dividen seperti cum date dan ex date. Tingkat pengaruh peristiwa penting tersebut terhadap perubahan harga diukur menggunakan abnormal return dan trading volume activity. Tujuan dari penelitian ini adalah: (1) Mengetahui dan menganalisis dampak cum date dan ex date terhadap harga saham indeks IDX High Dividend 20 Periode Februari 2020 hingga Januari 2021, (2) Mengetahui tingkat perbedaan Trading Volume Activity ketika saat sebelum serta setelah cum date dan ex date, (3) Mengetahui tingkat perbedaan Abnormal Return ketika saat sebelum serta setelah cum date dan ex date. Penelitian ini menggunakan metode studi peristiwa dan event window selama 6 hari (t-2, t-1, cum date, ex date, t+1, t+2). Teknik analisis data yang digunakan adalah Uji beda sampel berpasangan (paired sample t-test) dan wicoxon signed rank test pada program SPSS (Statistical Package for Social Science). Hasil dari penelitian ini menunjukkan cum date dan ex date pada pembagian dividen tahun 2020 tidak memberikan dampak signifikan terhadap perubahan harga saham diukur dari abnormal return dan trading volume activity
English Abstract
IDX High Dividend 20 is an index that measures the price performance of 20 stocks or issuers that have paid cash dividends over the past 3 years and have high dividend yields. For each cash dividend payment, there is volatility or changes in share prices, especially around important events in dividend distribution such as cum date and ex date. The level of influence of these important events on price changes is measured using abnormal returns and trading volume activity. The objectives of this study are: (1) Knowing and analyzing the impact of cum date and ex date on the IDX High Dividend 20 index stock price for the period February 2020 to January 2021, (2) Knowing the level of difference in Trading Volume Activity when before and after the cum date and ex date, (3) Knowing the level of difference in abnormal returns before and after cum date and ex date. This research uses the event study method and the event window for 6 days (t-2, t-1, cum date, ex date, t + 1, t + 2). The data analysis technique used was the paired sample t-test and the wicoxon signed rank test in the SPSS (Statistical Package for Social Science) program. The results of this study indicate that cum date and ex date on the 2020 dividend distribution do not have a significant impact on stock price changes as measured by abnormal returns and trading volume activity.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | 0521030084 |
| Uncontrolled Keywords: | cum date, ex date, abnormal return, trading volume activity.,cum date, ex date, abnormal return, trading volume activity |
| Subjects: | 600 Technology (Applied sciences) > 658 General management |
| Divisions: | Fakultas Ilmu Administrasi > Ilmu Administrasi Bisnis / Niaga |
| Depositing User: | Unnamed user with username nova |
| Date Deposited: | 07 Feb 2022 01:12 |
| Last Modified: | 24 Feb 2022 03:36 |
| URI: | http://repository.ub.ac.id/id/eprint/189370 |
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Text (DALAM MASA EMBARGO)
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