Dividend Announcement Effect To Market Reaction in Non-Financial Companies Listed on Indonesia Stock Exchange

Fabian, Alvin; Santoso, Eko Budi

doi:10.37715/jaef.v1i2.1467

Cited by 1 publication

(3 citation statements)

References 14 publications

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“… After the results of the actual return and expected return are devised, the analysis will be continued by computing the abnormal return. Several researchers conducting studies with similar topics also utilized the abnormal return analysis to decide on the market reaction (Anwar et al 2017 ; Chaabouni 2017 ; Fabian and Santoso 2020 ; Kadioglu et al 2015 ; Khanal and Mishra 2017 ). The abnormal return can be obtained from the difference between the expected return and the actual return.…”

Section: Methodsmentioning

confidence: 99%

“…This result supports the tax-clientele effect theory proposed by Modigliani and Miller ( 1958 ). Fabian and Santoso ( 2020 ), who specify in the market reaction toward the dividend omission and dividend initiation of non-financial companies in the Indonesia stock market, has discovered a difference of reaction before and after the announcement period. Their research shows that before the dividend initiations announcement date, the average abnormal return is higher than after the announcement date and during the dividend omission period.…”

Section: Literature Review and Hypotheses Developmentmentioning

confidence: 99%

“…In addition, studies by Fabian and Santoso ( 2020 ), Felimban et al ( 2018 ), and Mestel et al ( 2003 ) classified the changes in cash dividend announcement into an increase in the dividend, a decrease in the dividend, and a constant dividend. Their studies have proven that the market may react differently in different dividend patterns.…”

Section: Literature Review and Hypotheses Developmentmentioning

confidence: 99%

See 2 more Smart Citations

Dividend announcement effect analysis before and during the COVID-19 pandemic in the Indonesia Stock Exchange

Robiyanto

Yunitaria

2022

SN Bus Econ

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The emergence of the SARS-CoV-2 or COVID-19 pandemic has become a challenge for the global society, including the investors in the capital market, due to the uncertainty it has caused. In relation to the phenomenon, this research aimed to examine the impact of COVID-19 pandemic on the dividend announcement effect in Indonesia Stock Exchange by comparing the market volatility around the dividend announcement date of the selected stocks in 2019 and 2020. Implication of dividend increase and decrease as well as stock–risk profiling is also added for further learning. This research used event study methodology as a tool to analyze the data of the 23 sample companies taken from the LQ45 index. The period of analysis is ranged from 10 days before the dividend announcement to 10 days after the dividend announcement date. The study discovered that in 2019, the capital market presented a weak response toward the event, indicated by the inexistence of abnormal return. Moreover, in 2020, the dividend announcement effect caused negative insignificant abnormal returns and the number of companies with low volatility increased, which implies that the stock market is more pessimistic during the pandemic period. Even when the dividend amount increased from the previous period, the market still shows a negative reaction to it in 2020.

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