Stock Price Behavior Around Cum-Dividend Date of Indonesia Blue Chips Stocks

Abstract

This study tests whether there are significant stock prices changes around the cum-dividend date. In particular, it examines the stock price movement of two days before and two days after the cum-dividend date. It uses an event study methodology. The population of this study are all companies in the LQ45 listed at Indonesia stock exchange for the year 2017 and the sample consists of 38 companies. Abnormal return is measured using the single index model. Results show that there are no significant abnormal returns around the cum-dividend date. In addition, there is no significant abnormal return difference between two days before and two days after the cum-dividend date. The implication of the reported findings is that investors may not obtain significant positive abnormal returns using a cum-dividend date as the trading strategy.

Stock Price Behaviour around the Announcement Date of Cash Dividend on the Indonesia Stock Exchange

“…Previous research has shown that prices around the cumulative date do not provide abnormal returns, which means that there is no significant increase in stock prices [12]. Nevertheless, the research was only one and two days before and after the cumulative date.…”

“…There are differences in the policy of determining the number of cash dividends distributed in western countries and Indonesia [12]. In western countries, e.g., the US market, London market, German market, and Greek market, the dividend is determined by the management while in Indonesia it is determined at the shareholders' meeting.…”

“…The previous study regarding the dividend announcement date and the volatility of share price has been done. The announcement of cash dividend makes the stock price reaction in Indonesian market [2], [12], [20], German stock market [11], Indian [17], [18], Pakistan [24], and Romanian [27]. The stock price will drop after the ex-dividend date, especially for the lower stock price in the Hong Kong market [10], the German stock market [15], and Pakistan [22], [24].…”

Reaksi Pasar atas Pengumuman Dividen: Sebuah Tinjauan Ulang

“…Melalui hasil pengujian signifikansi Average Abnormal Return tersebut, diketahui bahwa uji t secara konsisten didukung oleh sebagian besar uji statistik lainnya. Hasil temuan ini sejalan dengan hasil penelitian yang sudah dilakukan sebelumnya oleh Lavista & Utami (2017) serta Lestari, Arif, dan Wijayantini (2018), bahwa terdapat indikasi adanya abnormal return positif pada satu sampai dua hari menjelang tanggal cum-dividend. Hal ini dapat disebabkan karena tanggal cum-dividend merupakan tanggal terakhir di mana investor yang akan membeli saham suatu perusahaan dapat memiliki hak dalam pembagian dividen perusahaan tersebut, sehingga aksi pembelian saham suatu perusahaan yang akan membagikan dividen tersebut meningkat.…”