ISKANDAR, JOEY EFRAIM (2024) PENGUJIAN ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SAHAM PADA LQ45 SEBELUM HINGGA SETELAH PENGUMUMAN CUM DIVIDEND PERUSAHAAN. S2 thesis, Universitas Mercu Buana Jakarta.
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Abstract
The announcement of dividends is often considered or assumed to contain information when the market reacts upon receiving the announcement. This research aims to determine whether there is a significant difference in stock returns and trading volume before and after dividend announcements in companies included in the LQ45 stock index for the period from February 2017 to August 2022. The sampling technique used is purposive sampling. Data collection was conducted by documenting the necessary data from the stock market website. The data analysis technique used is the normality test using the Kolmogorov-Smirnov test, and hypothesis testing was conducted using the Independent Sample T-test, processed using SPSS version 25. The results of this research show that there is abnormal return from the day before to the day after the cum dividend date in the LQ45 index during the period 2017-2022. There is an average abnormal trading volume activity on the fifth day up to the cum dividend date, as well as on the first and second days after the cum dividend date. Therefore, it can be concluded that there is abnormal trading volume activity from the day before to the day after the cum dividend date in the LQ45 index for the period 2017-2022. Keywords: Dividend Announcement, LQ45 Index, Abnormal Return, Trading Volume Activity. Pengumuman dividen sering sekali dianggap atau diasumsikan memiliki kandungan informasi apabila pasar bereaksi pada saat pengumuman tersebut diterima oleh pasar. Penelitian ini bertujuan untuk mengetahui apakah terdapat perbedaan yang signifikan dari return saham dan volume saham pada saat sebelum hingga sesudah pengumuman dividen dilakukan pada perusahaan-perusahaan yang termasuk dalam indeks saham LQ45 periode Februari 2017-Agustus 2022. Teknik pengambilan sampel menggunakan purposive sampling. Pengumpulan data dilakukan dengan mendokumentasikan data yang dibutuhkan pada website pasar modal. Teknik analisis data yang digunakan adalah uji normalitas dengan menggunakan Kolmogorov Smirnov dan pengujian hipotesis menggunakan uji Independent sample T-test yang diolah menggunakan aplikasi SPSS versi 25. Hasil penelitian ini menunjukan bahwa terdapat abnormal return pada hari sebelum hingga sesudah cum dividend pada indeks LQ45 periode 2017-2022. Terdapat average abnormal trading volume activity pada hari ke lima hingga pada hari cum dividend dan pada hari pertama dan kedua setelah cum dividend dilaksanakan. Sehingga dapat disimpulkan bahwa terdapat abnormal trading volume activity pada hari sebelum hingga sesudah cum dividend pada indeks LQ45 periode 2017-2022. Kata Kunci: Pengumuman Dividen, indeks LQ45, abnormal return, trading volume activity.
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