Market Reaction Analysis Before and After Ex-Dividend Date on Companies Listed in The Jakarta Islamic Index (JII) 2016-2020

Adrian Dwi Nugraha

Abstract


Abstract: This study aims to examine the market reaction before and after the ex-dividend date and see whether there are differences in abnormal returns, trading volume activity, and security return variability before and after the ex-dividend date. The population in this study are companies listed in the Jakarta Islamic Index (JII) in 2016-2020 that consistently distribute dividends. The sample of this study amounted to 10 companies that consistently distribute dividends. The used method is the event study method with a window period of 10 days, 5 days before and 5 days after. The analysis technique used is the Paired Sample T-Test and the Wilcoxon-Signed Ranked Test. The results show that there are no differences in abnormal returns, trading volume activity, and security return variability before and after the ex-dividend date in the 2016-2020 Jakarta Islamic Index (JII). This shows that dividend announcements are not considered by investors in making investments.

Keywords


Abnormal Return, Trading Volume Activity, Security Return Variability, Dividend Announcement

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References


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DOI: http://dx.doi.org/10.31258/ijeba.7.1.39-52

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