ANALYSIS MARKET REACTION TO THE ANNOUNCEMENTS OF DIVIDEND DISTRIBUTION ON COMPANY LQ-45

Abstract

This study aimed to test the market reaction to the announcement of dividend distribution to approach the stock price, trading volume, trading frequency and abnormal stock returns. Using the event study on 10-day observation period. The data used in this study were 40 companies in 2015 and 38 companies in 2016 were classified into LQ-45 index. Tools statistical test used different test. The results of the analysis that there are significant differences in the variable stock price at t + 1. There are significant differences in the variable stock trading volume in t-2, and at t + 4. There are significant differences in the variable frequency stock trading in t-2, and at t + 3. And there are significant differences in the variable abnormal at t + 1. The results showed that the market reacts to the announcement of dividend distribution at the time before and after the event dividend.