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Please use this identifier to cite or link to this item: http://repository.uksw.edu/handle/123456789/1306
Title: Abnormal Return di Sekitar Tanggal Pengumuman Pembagian Dividen Setelah Lama Tidak Membagi: Studi Peristiwa Berbasis Data Intraday
Authors: Prayitno, Yogo Heru
Keywords: abnormal return;event study;intraday data
Issue Date: 14-Dec-2012
Publisher: Fakultas Ekonomika dan Bisnis UKSW
Abstract: This study was a study of event-based intraday data. The researcher observed the announcement event of dividend sharing long after the dividend was shared for the last time. In this study the researcher examined whether there were differences in abnormal returns in each period of 30 minutes of the event. The researcher used the intraday data of the stock price per 30 minutes to calculate a 30-minute return. The estimation periods used in this study were 200 periods of 30 minutes and the event periods used were as many as 53 periods of 30 minutes. The research sample used was 17 companies listed on Indonesian Stock Exchange. One Sample T-test and Paired Sample T-test were used to test the first and second hypotesis. The result showed that there were no differences in the abnormal returns before and after the event and there were no cumulative abnormal returns around the announcement event of dividend sharing long after the dividend was shared for the last time. In the event periods, abnormal returns occurred only in three periods of 30 minutes after the event.
Penelitian ini adalah studi peristiwa berbasis data intraday. Peneliti mengamati peristiwa pengumuman pembagian dividen setelah lama tidak membagi. Dalam penelitian peneliti menguji apakah terdapat perbedaan abnormal return sebelum dan sesudah peristiwa dan apakah terdapat abnormal return di setiap periode 30 menitan pada periode peristiwa. Peneliti menggunakan data intraday harga saham per 30 menitan untuk menghitung return 30 menitan. Periode estimasi yang digunakan dalam penelitian ini sebanyak 200 periode 30 menitan dan periode peristiwa yang digunakan sebanyak 53 peride 30 menitan. Sampel penelitian menggunakan 17 perusahaan yang terdaftar di Bursa Efek Indonesia. One Sample T-test dan Paired Sample T-test digunakan untuk menguji hipotesis pertama dan kedua. Hasilnya, peneliti tidak menemukan perbedaan abnormal return sebelum dan sesudah peristiwa dan secara kumulatif tidak terdapat abnormal return disekitar peristiwa pengumuman pembagian dividen setelah lama tidak membagi. Pada periode peristiwa, abnormal return hanya terjadi pada 3 periode 30 menitan setelah peristiwa.
Description: p. 441-458
URI: http://repository.uksw.edu/handle/123456789/1306
ISBN: 978-979-3775-51-7
Appears in Collections:Capturing Opportunities for ASEAN Economic Community 2015 : Proceeding Call for Paper

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