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All Journal IJEBA (International Journal of Economic, Business & Applications)
Nugraha, Adrian Dwi
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Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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Market Reaction Analysis Before and After Ex-Dividend Date on Companies Listed in The Jakarta Islamic Index (JII) 2016-2020 Nugraha, Adrian Dwi
International Journal of Economic, Business & Applications Vol. 7 No. 1 (2022): International Journal of Economic, Business and Applications
Publisher : Program Pascasarjana, Universitas Riau

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31258/ijeba.69

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.
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