Stock Market Reaction to Dividend Announcement in Indonesian Listed Companies

Stock Market Reaction to Dividend Announcement in Indonesian Listed Companies

This study aims to investigate the share price reaction to dividend announcement. It also examines whether or not the cumulative abnormal return (CAR) is affect to by control variables which is dividend change, earning change, dividend yield, normal trading volume, pre-cumulative abnormal return (PR...

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Main Author: Dewi, Cynthia Sari
Format: Thesis
Language:eng
eng
Published: 2011
Subjects:
HG Finance
Online Access:https://etd.uum.edu.my/2847/1/Cynthia_Sari_Dewi.pdf
https://etd.uum.edu.my/2847/2/1.Cynthia_Sari_Dewi.pdf
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id my-uum-etd.2847
record_format uketd_dc
institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
advisor Rozali, Mohammad Badri
topic HG Finance
spellingShingle HG Finance
Dewi, Cynthia Sari
Stock Market Reaction to Dividend Announcement in Indonesian Listed Companies
description This study aims to investigate the share price reaction to dividend announcement. It also examines whether or not the cumulative abnormal return (CAR) is affect to by control variables which is dividend change, earning change, dividend yield, normal trading volume, pre-cumulative abnormal return (PRECAR) and firm size). This study uses two methods to estimate the model. The first method is event study and the second method is Ordinary Least Square (OLS) regression. The sample firm utilized the event study and OLS regression are 415 and 243 companies respectively which are listed on the Indonesia Stock Exchange (IDX) during 2006 - 2010. The findings from the event study analysis indicate the share price reaction to dividend announcement is positive for dividend increase and negative for dividend decrease. The OLS regression result shows that the PRECAR variable is positive and significant while the other independent variables are insignificant.
format Thesis
qualification_name masters
qualification_level Master's degree
author Dewi, Cynthia Sari
author_facet Dewi, Cynthia Sari
author_sort Dewi, Cynthia Sari
title Stock Market Reaction to Dividend Announcement in Indonesian Listed Companies
title_short Stock Market Reaction to Dividend Announcement in Indonesian Listed Companies
title_full Stock Market Reaction to Dividend Announcement in Indonesian Listed Companies
title_fullStr Stock Market Reaction to Dividend Announcement in Indonesian Listed Companies
title_full_unstemmed Stock Market Reaction to Dividend Announcement in Indonesian Listed Companies
title_sort stock market reaction to dividend announcement in indonesian listed companies
granting_institution Universiti Utara Malaysia
granting_department Othman Yeop Abdullah Graduate School of Business
publishDate 2011
url https://etd.uum.edu.my/2847/1/Cynthia_Sari_Dewi.pdf
https://etd.uum.edu.my/2847/2/1.Cynthia_Sari_Dewi.pdf
_version_ 1747827443708723200
spelling my-uum-etd.28472022-04-13T01:55:34Z Stock Market Reaction to Dividend Announcement in Indonesian Listed Companies 2011 Dewi, Cynthia Sari Rozali, Mohammad Badri Othman Yeop Abdullah Graduate School of Business Othman Yeop Abdullah Graduate School of Business HG Finance This study aims to investigate the share price reaction to dividend announcement. It also examines whether or not the cumulative abnormal return (CAR) is affect to by control variables which is dividend change, earning change, dividend yield, normal trading volume, pre-cumulative abnormal return (PRECAR) and firm size). This study uses two methods to estimate the model. The first method is event study and the second method is Ordinary Least Square (OLS) regression. The sample firm utilized the event study and OLS regression are 415 and 243 companies respectively which are listed on the Indonesia Stock Exchange (IDX) during 2006 - 2010. The findings from the event study analysis indicate the share price reaction to dividend announcement is positive for dividend increase and negative for dividend decrease. The OLS regression result shows that the PRECAR variable is positive and significant while the other independent variables are insignificant. 2011 Thesis https://etd.uum.edu.my/2847/ https://etd.uum.edu.my/2847/1/Cynthia_Sari_Dewi.pdf text eng public https://etd.uum.edu.my/2847/2/1.Cynthia_Sari_Dewi.pdf text eng public masters masters Universiti Utara Malaysia Abdullah, N. A., Rashid, R. A., & Ibrahim, Y. (2004). Information Content of Dividend Changes in an Emerging Market. The International Journal of Banking, & Finance 2, 1 - 18. Adelegan, 0. J. (2009). Price Reactions to Dividend Announcements on the Nigerian Stock Market. The Afiican Economic Research Consortium, 1-20. Aharony, J., & Swary, I. (1980). Quarterly Dividend and Earnings Announcements and Stockholders' Return: An Empirical Analysis. 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