ANALYSIS OF STOCK MARKET REACTIONS BEFORE AND AFTER THE CUM-EX DIVIDEND ANNOUNCEMENT DATE IN 2024 USING THE EVENT STUDY METHOD

Yuliasari Yuliasari

doi:10.62567/micjo.v3i3.2983

Authors

Yuliasari Universitas Pamulang

DOI:

https://doi.org/10.62567/micjo.v3i3.2983

Keywords:

Cum Dividend, Ex Dividend, Abnormal Return, Stock Trading Volume, Event Study, Indonesia Stock Exchange

Abstract

This study aims to analyze stock market reactions to Cum-Ex Dividend announcements for companies listed on the Indonesia Stock Exchange (IDX) in 2024. Market reactions were measured through abnormal returns and stock trading volume before and after Cum-Ex Dividend announcements. This study was motivated by differences in investor behavior in responding to dividend distribution information, which is regarded as a positive signal for the market. The research employed a comparative quantitative method with an event study approach. The sampling technique used was purposive sampling. Secondary data were obtained from the Indonesia Stock Exchange, comprising a sample of 88 issuers that distributed cash dividends. Research variables consisted of stock prices and stock trading volume. Data analysis was performed using dummy regression and the Wilcoxon Signed Rank Test with EViews 12 software. The results showed that the majority of issuers (81.82%) experienced significant market reactions to the Cum-Ex Dividend announcement. A total of 56.82% of issuers showed significant negative reactions consistent with the dividend drop theory, while 25% showed significant positive reactions, indicating that investors viewed dividends as a positive signal for company prospects. Meanwhile, 18.18% of issuers showed no significant reaction to dividend announcements. This study demonstrates that Cum-Ex Dividend announcements affect abnormal returns and stock trading volume, thus providing a basis for investor consideration in making investment decisions in the capital market.

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