Analisis Reaksi Pasar Atas Pengumuman Cum Dividen (Studi Pada Saham Yang Terdaftar di Jakarta Islamic Index Tahun 2012-2013)
Abstract: Cash dividends is
one of the corporate action that contains information related to the company's
performance and signal to investors about the company's prospects. This
internal information of the company will affect the investment decisions of
investors. The reaction of investors in the market will lead to changes in
demand and supply of common stocks around the cum-dividend date. This study
aims to determine the reaction of the Islamic capital market as indicated by
the change in abnormal return around the cum-dividend date.
This study uses event study approach, carried out on 30 issuers listed on
the JII during 2012-2013 who pay cash dividends. The period of observation in
this study was for 29 days, starting 14 days before the event date to 14 days
after the event date. This study uses one-sample test in hypothesis testing.
The results based on the statistical test showed significant variables
caar AAR and on some days around cum dividedn date. These results indicate that
there is a market reaction around cum dividend.
Keywords: event study, cum
dividen, Jakarta Islamic Index, abnormal return
Penulis: Mohammad Mulfi Na'im,
Leo Herlambang
Kode Jurnal: jpmanajemendd151398
