Analisis Tujuan Investor Berinvestasi dari Pengumuman Dividen Perusahaan

Winarto, Margaretha Fidelia (2020) Analisis Tujuan Investor Berinvestasi dari Pengumuman Dividen Perusahaan. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Penelitian ini bertujuan untuk menganalisis perilaku investor saham menjelang hari terakhir kepemilikan hak dividen untuk menangkap sinyal tujuan berinvestasi. Untuk melihat apakah informasi mengenai pengumuman dividen mempengaruhi tujuan investasi yang dilakukan investor, maka dapat dilihat dari perubahan volume perdagangan serta return saham pada tanggal-tanggal di sekitar pengumuman dividen. Perubahan tersebut terjadi karena investor merespon dari informasi yang diumumkan. Hal ini mengindikasikan adanya sinyal lain dari pengumuman dividen. Penelitian ini menggunakan data volume perdagangan dan return saham perusahaan-perusahaan yang mengumumkan dividen yang terdaftar di Bursa Efek Indonesia tahun 2019. Terdapat 170 sampel yang memenuhi kriteria. Metode analisis data yang digunakan adalah uji paired sample t-test. Hasil penelitian membuktikan terdapat peningkatan yang signifikan dalam volume perdagangan dan return saham saat cum dividend date dan penurunan signifikan saat ex dividend date. Hal ini membuktikan bahwa tujuan investor membeli saham menjelang hari terakhir kepemilikan hak dividen adalah untuk mendapatkan dividen. Penelitian ini membuktikan bahwa pengumuman dividen juga memberikan sinyal tujuan investor dalam berinvestasi. / This study aims to analyze the behavior of investors towards the last day of ownership of dividend rights to capture the purpose of investing signal. To see whether information regarding dividend announcements affects the investment objectives made by investors, it can be seen from changes in trading volume and stock returns on the dates around the dividend announcement. This change occurred because investors responded to the information announced. This indicates another signal from the dividend announcement. This study used trading volume and stock return data of listed firms in the Indonesia Stock Exchange that announce dividend during 2019. There are 170 samples that meet the criteria. Data analysis method used in this study is paired sample t-test. The results show that there are significant increase in trading volume and stock return around cum dividend date and significant decrease around ex dividend date. This proves that the objective of investors buying shares before the last day of ownership of dividend rights are to get dividends. Thus, this study proves that dividend announcement also signals the purpose of investing.

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