The Phenomenon of Dividend Announcement on Stock Abnormal Return (Case in ASEAN Countries)

Hariyanto, Ikka Tiaraintan; Murhadi, Werner Ria

doi:10.18196/mabis.v12i1.9001

Cited by 2 publications

(2 citation statements)

References 8 publications

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“…The significance level test is carried out using a one-sample t-test with the criteria for acceptance or rejection of the hypothesis in the study. The hypothesis is accepted if the sig.t value of the test results is smaller than the degree of confidence of 5%, in line with the tests carried out by Tjandra (2006), Prayitno (2012), Suroto (2020), Noviarti &Melkisedek (2019), andHariyanto &Murhadi (2021).…”

Section: Methodssupporting

confidence: 61%

Semi-Strong Efficient Market Hypothesis in Dividend Announcements at Indonesia Stock Exchange (Idx)

Ningrum,

Risman

2022

EUrASEANs

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This research examines the semi-strong form of the market efficiency hypothesis in the context of dividend announcements at Indonesia Stock Exchange (IDX), specifically good news in the form of dividend value increase over the previous year and bad news in the form of dividend value decrease. This research aimed to see how dividend announcements affect stock prices and how effective the market reaction is. The samples used in this study are the companies listed on the mainboard with a cash dividend payment policy once a year and consistently distribute dividends in a row in 2020 and 2021. The observation method used in this study is non-participatory. The return anomaly of up to 59 sample companies was used, with a 21-day observation period. One statistically significant event occurred when announcements were positive (dividend increased), and three statistically significant events occurred announcements were negative (dividend dropped), according to the data results processed by t-test. It demonstrates that the market is effective and supports the market efficiency hypothesis in its semi-strong form.

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Section: Methodssupporting

confidence: 61%

Semi-Strong Efficient Market Hypothesis in Dividend Announcements at Indonesia Stock Exchange (Idx)

Ningrum,

Risman

2022

EUrASEANs

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“…So that it impacts trading volume, abnormal stock returns, and changes in stock prices, especially when approaching information regarding dividend policy. This condition allows investors to make the right decisions regarding buying or selling these shares because dividend announcements are information that must be considered (Hariyanto & Murhadi, 2021).…”

Section: Introductionmentioning

confidence: 99%

Market Reactions to Dividends Announcement: An Event Study of Bris and BTPS

Amal,

Darmawan,

Lamondo

2023

JEBA

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Introduction: A dividend announcement is an information disclosed by a public company regarding the distribution of its corporate profits, whether in the form of dividends or retained earnings to strengthen the company in funding future investments. Dividend announcements might have either a positive or negative effect on the market. Methods: This quantitative research uses the event study method in the data collection period of 20 days, ten days before and ten days after the ex-dividend date. The analysis used is a descriptive statistical test, Shapiro-Wilk normality test, and hypothesis test. Results: The study results indicate that the market reaction is a change in the share price of PT. Bank Syariah Indonesia Tbk (BRIS), there is no significant difference between before and after the ex-dividend date but at PT. National Sharia Pension Savings Bank Tbk (BTPS) changes stock prices before and after the ex-dividend date, and there is a significant difference. Furthermore, for abnormal returns at PT. Bank Syariah Indonesia Tbk (BRIS) and PT. National Sharia Pension Savings Bank Tbk (BTPS) before and after the ex-dividend date, there is no significant difference, as well as the trading volume activity of PT. Bank Syariah Indonesia Tbk (BRIS) and PT. National Sharia Pension Savings Bank Tbk (BTPS) before and after the ex-dividend date, there is no significant difference. Conclusion and suggestion: This is because the dividend policy is not a factor of investor interest in investing in the company but is determined through the earning power of the company's assets

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The Phenomenon of Dividend Announcement on Stock Abnormal Return (Case in ASEAN Countries)

Cited by 2 publications

References 8 publications

Semi-Strong Efficient Market Hypothesis in Dividend Announcements at Indonesia Stock Exchange (Idx)

Semi-Strong Efficient Market Hypothesis in Dividend Announcements at Indonesia Stock Exchange (Idx)

Market Reactions to Dividends Announcement: An Event Study of Bris and BTPS

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