Relevansi Cum-Dividend Date Dengan Perubahan Harga Saham Pada Sektor Manufaktur Di Bursa Efek Indonesia

Abstract

This study focuses on analyzing the stock price changes in the days around the cum-dividend date. Cum-dividend date is the date when the shareholdersare entitled to receive the dividend already declared, which will be paid on the pre-determined date. The sample of this study consists of 37 manufacturing companies that are continuously distributing dividends from 2014 to 2016. The results show stock prices tend to be higher on the cum-dividend date. The analysis onyear 2015 data shows that significant stock price differences were found only between the cum-dividend date and the first day after cum-dividend date. Different results are found for data of 2016, where significant stock price differences occur between cum-dividend date and day one, day two, and day three after cum-dividend date. The implication of the research result is that cum-dividend date has the potential to become one of investment strategy in capital market.Keywords : stock price, cum-dividend date, investment strategyCorrespondence to : retsi_ayu@yahoo.co.id, alfi.rif@unej.ac.id, bayu@unmuhjember.ac.id ABSTRAK Penelitian ini berfokus pada kajian perubahan harga saham pada hari-hari di sekitar cum-dividend date. Cum-dividend date (hari dengan dividen) adalah tanggal ketika pemilik saham berhak untuk menerima dividen yang telah dinyatakan, yang akan dibayarkan pada suatu waktu. Sampel penelitian ini berjumlah 37 perusahaan manufaktur yang secara terus menerus membagikan dividen tahun 2014 sampai 2016. Hasil penelitian menunjukkan harga saham cenderung lebih tinggi pada cum-dividend date. Pada analisis terhadap data tahun 2015, perbedaan harga saham yang signifikan ditemukan hanya antara cum-dividend date dan hari pertama sesudah. Hasil berbeda ditemukan untuk data tahun 2016, dimana perbedaan harga saham yang signifikan terjadi antara cum-dividend date dan hari pertama, kedua, dan ketiga sesudah cum-dividend date. Implikasi hasil penelitian adalah cum-dividend date berpotensi untuk dijadikan sebagai salah satu strategi berinvestasi di pasar modal.Kata kunci : harga saham, cum-dividend date, strategi investasiKorespondensi : retsi_ayu@yahoo.co.id, alfi.rif@unej.ac.id, bayu@unmuhjember.ac.id

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

“…The results of this study are in line with research by Lee & Mauck (2016), Myrzgold & Nowak (2016) and Yu & Webb (2017) who state that there is a significant market reaction to the announcement of dividend initiations. Besides this research is also in line with the results of research from Lavista et al (2018) and Lestari et al (2018) which shows the difference in abnormal returns around the day of the cum-dividend date. Finally, this paper concludes there is no difference in market reaction before and after the announcement of dividend omissions, hence reject hypothesis one.…”

“…In addition, the existence of a positive abnormal return before the cum-dividend date event indicates the leak of information used by investors so that investors follow the trend of information to buy these shares (Lestari et al, 2018). While the negative abnormal return value after the cum-dividend date shows that the rapid market reaction in response to the event of dividend initiations so that investors quickly sell their shares which in turn causes a decline in stock prices at the time after the announcement.…”

“…In addition, research from Lavista et al (2018) and Lestari et al (2018) says that there are differences in abnormal returns around the day of the cum-dividend date. Announcement of dividend initiations is usually considered a good signal by investors because it is considered a good company performance and is able to distribute dividends to its shareholders.…”