PENGARUH PENGUMUMAN DIVIDEN TERHADAP RETURN SAHAM DALAM PENGAMBILAN KEPUTUSAN INVESTASI(studi pada perusahan yang termasuk dalam Jakarta Islamic Index)

Raharjo, ArisToto (2010) PENGARUH PENGUMUMAN DIVIDEN TERHADAP RETURN SAHAM DALAM PENGAMBILAN KEPUTUSAN INVESTASI(studi pada perusahan yang termasuk dalam Jakarta Islamic Index). Other thesis, University of Muhammadiyah Malang.

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Abstract

This study aimed to analyze the effect of dividend announcements on stock returns are included in the Jakarta Islamic Index by taking a sample of nine companies for two consecutive years ie 2008 to 2009. This study uses a window period for 5 days before and five days after the dividend announcement. The method used in this research is the study of events by taking a sample using purposive sampling method. To test the effect of dividend announcements on stock returns, then conducted tests on the abnormal return by using test One Sample T-test with significant values at 5%. Results showed that there was a significant effect of dividend announcements in the daily abnormal return of T +4 after the dividend announcement. This is also supported by the minimum value of -0.002347 T +4. From the results it can be concluded that the dividend announcement contains information on the market is quite efficient in the semi strong form of the publication of the dividend announcement shows that the market can absorb the information quickly so that no investors who acquire abnormal return in the long term.

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