ANALISIS DAMPAK PENGUMUMAN DEVIDEN TERHADAP REAKSI PASAR (Study Pada Perusahaan Indeks LQ 45)

Abstract

The purpose of this research was to analyze market reaction on cash dividends announcement at LQ45 Index company in the year of 2014. The sample in this research was 22 companies, taken by purposive sampling technique with event study method. The data analysis method for hypothesis test used paired sample t-test. The result of this research was ten  days  before  and  ten  days  after  dividends  announcement  showed  negative  market reaction and wasn`t the differenced abnormal return significantly between the company which shares dividend up and the company which shares dividend down. Based on the paired sample t-test result was  (α = 0.05) as significant. It means that negative abnormal return  showed  that  increased  dividends  shares  didn`t  have  distinct  meaning  to  the information which descreased dividends shares. It indeceted that market wasn`t the information  of  increasing  dividends  announcement  as  references  to  make  investment decision.