PENGARUH PENGUMUMAN DIVIDEN TERHADAP HARGA SAHAM PADA PERUSAHAAN SEKTOR PERTAMBANGAN BATU BARA DI BURSA EFEK INDONESIA TAHUN 2019

Abstract

The purpose of this study was to determine the effect of dividend announcements made by coal mining sector companies on the Indonesia Stock Exchange. The sample used in this study is a coal mining sector company that announces the distribution of final dividends and was listed on the Indonesia Stock Exchange in 2019. Theory used in determining dividend policy namely Dividend Irrelevance Theory, The Bird in the Hand Theory, Tax Difference Theory, Signaling Hypothesis Theory, Clientele Effect Theory.

The method used in this research is Event Study with Average Abnormal Return (AAR) as a research variable used to observe stock price movements. In this study, the Market Model is used to estimate Abnormal Return with an estimated period of 30 exchange days and a window period of 11 exchange days. Testing of AAR during the window period by using a t-test statistical test.

The analysis showed that there was a reaction to the stock price around the date of the dividend announcement both before, during and after the announcement, and based on statistical tests the reaction was significant. This means that there is an effect of dividend announcements on share prices in coal mining companies in the Indonesia Stock Exchange in 2019.