Preferensi Investor di Sekitar Cum-Dividend Date Sebelum dan Saat Masa Pandemi Covid-19
Abstract
This study aims to determine investor preferences around cum-dividend date before and during Covid-19 pandemic. The population in this study were companies registered in IDX30 before (2018-2019) and during pandemic (2020-July 2021). The data analysis technique used is paired sample t-test and independent sample t-test. The results showed that there was no significant difference in trading volume activity and bid-ask spread around the cum-dividend date before and during Covid-19 pandemic. However, it was found that there was a significant difference in trading volume activity before and after cum-dividend date before the pandemic. The results also show that investors preferences for dividends are more likely to be attracted during Covid-19 pandemic. Theoretical implications are able to support bird in the hand theory and tax differential theory, as well as practical implications can be taken into consideration for companies and stock investors.
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References
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Lavista, E., & Utami, E. S. (2017). Stock Price Reactions Around Cum-Dividend Date in Indonesia Stock Exchange. Journal of Accounting-Business & Management, 24(1), 64–73.
Lintner J. (1956). Distribution of Incomes of Corporations Among Dividends, Retained Earnings, and Taxes. The American Economic Review, 46(2), 97–113. https://doi.org/http://www.jstor.org/stable/1910664
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Litzenberger, R. H., & Ramaswamy, K. (1979). The Effect of Personal Taxes and Dividends on Capital Asset Prices Theory and Empirical Evidence. Journal of Financial Economics, 7(2), 163–195. https://doi.org/10.1111/j.1540-6261.1982.tb03565.x
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Na’im, M. M., & Herlambang, L. (2015). Analisis Reaksi Pasar Atas Pengumuman Cum Dividen (Studi Pada Saham Yang Terdaftar di Jakarta Islamic Index Tahun 2012-2013). Jurnal Ekonomi Syariah Teori Dan Terapan, 2(1), 61–72. https://doi.org/10.20473/vol2iss20151pp61-76
Nabila, N., Halim, A., & Sari, A. R. (2016). Analisa Pengaruh Bid-Ask Spread, Market Value dan Variance Return Terhadap Holding Period Saham Biasa Pada Perusahaan Manufaktur Yang Terdaftar di BEI Tahun 2014. Jurnal Riset Mahasiswa Akuntansi Unikama, 4(1), 1–10.
Octaviani, S., Widyanto, M. L., & Helsinawati. (2019). Analysis of Comparison of Stock Return Before and After Ex-Dividend Date in Industrial Property , Real Estate and Building Construction in Indonesia Stock Exchange Period 2013. East African Sholars Journal of Economics, Business and Management, 2(8), 447–451. https://doi.org/10.36349/easjebm.2019.v02i08.010
Pitaloka, H., Umar, A. U. A. Al, Hartati, E. R., & Fitria, D. (2020). The Economic Impact of the Covid-19 Outbreak : Evidence from Indonesia. Jurnal Inovasi Ekonomi, 5(3), 71–76. https://doi.org/0.22219/jiko.v5i02.11833
Pontoh, W. (2015). Signaling, Bird in the Hand, and Catering Effect in Indonesia. Journal of Life Economics, 2(3), 1–24. https://doi.org/10.15637/jlecon.80
Prameswari, I. A. N., & Wirakusuma, M. G. (2018). Analisis Reaksi Pasar Modal Pada Peristiwa Pemilihan Gubernur Dki Jakarta Tahun 2017. E-Jurnal Akuntansi Universitas Udayana, 22(2), 944–975. https://doi.org/10.24843/EJA.2018.v22.i02.p05
Ratih, D., & Achadiyah, B. N. (2018). Pengaruh Bid-Ask Spread, Market Value dan Risk of Return terhadap Holding Period Saham (Studi pada Perusahaan Foods and Beverages yang Go Public di Bursa Efek Indonesia Tahun 2010-2012). Nominal, Barometer Riset Akuntansi Dan Manajemen, 7(1), 55–68. https://doi.org/10.21831/nominal.v7i1.19359
Saputra G, E. F., Pulungan, N. A. F., & Subiyanto, B. (2021). The Relationships between Abnormal Return, Trading Volume Activity and Trading Frequency Activity during the COVID-19 in Indonesia. Journal of Asian Finance, Economics and Business, 8(2), 737–745. https://doi.org/10.13106/jafeb.2021.vol8.no2.0737
Saraswati, A., & Wirakusuma, M. G. (2017). Analisis Day of The Week Effect dan Rogalski Effect pada Perusahaan LQ45 Tahun 2015. E-Jurnal Akuntansi Universitas Udayana, 21(1), 116–143.
Sih, T. M., Gumanti, T. A., & Paramu, H. (2019). Analisis Perbedaan Abnormal Return dan Trading Volume Activity Pada Sekitar Cum Dividend Date. E-Journal Ekonomi Bisnis Dan Akuntansi, 6(2), 159–163. https://doi.org/10.19184/ejeba.v6i2.11161
Tanushev, C. (2016). Theoretical Models of Dividend Policy. Economic Alternatives, 3, 299–316.
Widiatmoko, A., & Paramita, V. S. (2017). Analisis Perbedaan Return Saham, Trading Volume Activity dan Bid-Ask Spread Sebelum dan Sesudah Stock Split (Studi Kasus pada Perusahaan yang Terdaftar di Bursa Efek Indonesia Tahun 2010-2014). Jurnal Manajemen, 14(1), 17–32.
Wijayantini, B. (2016). Pengaruh Bid-Ask Spread di Seputar Pengumuman Laba untuk Saham Perusahaan Manufaktur di Bursa Efek Indonesia. BENEFIT Jurnal Manajemen Dan Bisnis, 1(2), 131–140. https://doi.org/10.23917/benefit.v1i2.3256
Bursa Efek Indonesia. (2021). Perpajakan dalam Investasi Saham. https://www.idx.co.id/investor/perpajakan/
Celinawati, A., & Isbanah, Y. (2019). Analisis Perbandingan Bid Ask Spread Pada Masa Sebelum Dan Sesudah Pengumuman Right Issue Di Bursa Efek Indonesia Tahun 2015 – 2018. Jurnal Ilmu Manajemen, 7(4), 924–930.
Daadaa, W. (2014). Stock Splits and Stock Dividends: Implications for Bid Ask Spread Components. International Journal of Case Studies, 3(11), 01–08.
Fabian, A., & Santoso, E. B. (2020). Dividend Announcement Effect to Market Reaction in Non-Financial Companies Listed on Indonesia Stock Exchange. Journal of Accounting, Entrepreneurship and Financial Technology, 1(2), 57–67. https://doi.org/10.37715/jaef.v1i2.1467
Febriyanti, G. A. (2020). Dampak Pandemi Covid-19 terhadap Harga Saham dan Aktivitas Volume Perdagangan (Studi Kasus Saham LQ-45 di Bursa Efek Indonesia). Indonesia Accounting Journal, 2(2), 204–214. https://doi.org/10.32400/iaj.30579
Frensidy, B., Josephine, I., & Setyawan, I. R. (2019). Price Formation around Dividend Announcement Date: Empirical Evidence in Indonesian Stock Exchange. European Research Studies Journal, 22(3), 106–118. https://doi.org/10.35808/ersj/1460
Ghani, U., Chaudhary, G. M., & Ghani, M. (2019). The Impact of Dividend Announcement on Stock Prices: Evidence from Banking Sector of Pakistan. Case Studies Journal, 8(4), 1–12. https://doi.org/10.5281/zenodo.3547069
Gordon, M. J. (1962). The Savings Invesment and Valuvation of a Coperation. The Review of Economics and Statistics, 44(1), 37–51. https://doi.org/10.2307/1926621
Hadi, N., Malikhah, A., & Alfie, A. A. (2020). Dampak Trade War Amerika Serikat VS China Terhadap Saham Syariah di Bursa Efek Indonesia. Equilibrium: Jurnal Ekonomi Syariah, 8(2), 193–218.
Howe, J. S., & Lin, J. ‐C. (1992). Dividend Policy and the Bid‐Ask Spread: an Empirical Analysis. Journal of Financial Research, 15(1), 1–10. https://doi.org/10.1111/j.1475-6803.1992.tb00782.x
Istahargyo, B., & Wirakusuma, M. G. (2019). Analisis Volume untuk Perbandingan Minat Investor Disekitar Ex-Dividend Date pada Emiten Kategori LQ-45 Tahun 2017. E-Jurnal Akuntansi Universitas Udayana, 26(1), 175–190. https://doi.org/10.24843/EJA.2019.v26.i01.p07
Jaara, B., Alashhab, H., & Jaara, O. (2018). The Determinants of Dividend Policy for Non-Financial Companies in Jordan. International Journal of Economics and Financial Issues, 8(2), 198–209.
Latuputty, R. B. (2021). Mau Dividen Bebas Pajak? Segera Lakukan Ini! Direktorat Jenderal Pajak. https://www.pajak.go.id/id/artikel/mau-dividen-bebas-pajak-segera-lakukan-ini
Lavista, E., & Utami, E. S. (2017). Stock Price Reactions Around Cum-Dividend Date in Indonesia Stock Exchange. Journal of Accounting-Business & Management, 24(1), 64–73.
Lintner J. (1956). Distribution of Incomes of Corporations Among Dividends, Retained Earnings, and Taxes. The American Economic Review, 46(2), 97–113. https://doi.org/http://www.jstor.org/stable/1910664
Lintner, J. (1963). The Cost of Capital and Optimal Financing of Corporate Growth. The Journal of Finance, 18(2), 292–310. https://doi.org/10.1111/J.1540-6261.1963.TB00725.X
Listyaningsih, E. (2020). The Impact of the United State Presidential Election on Jakarta Islamic Index Stocks: Bid-ask Spread Perspective. International Research Conference on Economics and Business, 252–256.
Litzenberger, R. H., & Ramaswamy, K. (1979). The Effect of Personal Taxes and Dividends on Capital Asset Prices Theory and Empirical Evidence. Journal of Financial Economics, 7(2), 163–195. https://doi.org/10.1111/j.1540-6261.1982.tb03565.x
Mutiara, F. A., & Wardhana, L. I. (2020). Reaksi Pasar atas Pengumuman Dividen: Sebuah Tinjauan Ulang. Jurnal Personalia, Financial, Operating, Marketing Dan Sistem Informasi, 27(2), 23–44. https://doi.org/10.20884/1.jp.2020.27.2.3277
Na’im, M. M., & Herlambang, L. (2015). Analisis Reaksi Pasar Atas Pengumuman Cum Dividen (Studi Pada Saham Yang Terdaftar di Jakarta Islamic Index Tahun 2012-2013). Jurnal Ekonomi Syariah Teori Dan Terapan, 2(1), 61–72. https://doi.org/10.20473/vol2iss20151pp61-76
Nabila, N., Halim, A., & Sari, A. R. (2016). Analisa Pengaruh Bid-Ask Spread, Market Value dan Variance Return Terhadap Holding Period Saham Biasa Pada Perusahaan Manufaktur Yang Terdaftar di BEI Tahun 2014. Jurnal Riset Mahasiswa Akuntansi Unikama, 4(1), 1–10.
Octaviani, S., Widyanto, M. L., & Helsinawati. (2019). Analysis of Comparison of Stock Return Before and After Ex-Dividend Date in Industrial Property , Real Estate and Building Construction in Indonesia Stock Exchange Period 2013. East African Sholars Journal of Economics, Business and Management, 2(8), 447–451. https://doi.org/10.36349/easjebm.2019.v02i08.010
Pitaloka, H., Umar, A. U. A. Al, Hartati, E. R., & Fitria, D. (2020). The Economic Impact of the Covid-19 Outbreak : Evidence from Indonesia. Jurnal Inovasi Ekonomi, 5(3), 71–76. https://doi.org/0.22219/jiko.v5i02.11833
Pontoh, W. (2015). Signaling, Bird in the Hand, and Catering Effect in Indonesia. Journal of Life Economics, 2(3), 1–24. https://doi.org/10.15637/jlecon.80
Prameswari, I. A. N., & Wirakusuma, M. G. (2018). Analisis Reaksi Pasar Modal Pada Peristiwa Pemilihan Gubernur Dki Jakarta Tahun 2017. E-Jurnal Akuntansi Universitas Udayana, 22(2), 944–975. https://doi.org/10.24843/EJA.2018.v22.i02.p05
Ratih, D., & Achadiyah, B. N. (2018). Pengaruh Bid-Ask Spread, Market Value dan Risk of Return terhadap Holding Period Saham (Studi pada Perusahaan Foods and Beverages yang Go Public di Bursa Efek Indonesia Tahun 2010-2012). Nominal, Barometer Riset Akuntansi Dan Manajemen, 7(1), 55–68. https://doi.org/10.21831/nominal.v7i1.19359
Saputra G, E. F., Pulungan, N. A. F., & Subiyanto, B. (2021). The Relationships between Abnormal Return, Trading Volume Activity and Trading Frequency Activity during the COVID-19 in Indonesia. Journal of Asian Finance, Economics and Business, 8(2), 737–745. https://doi.org/10.13106/jafeb.2021.vol8.no2.0737
Saraswati, A., & Wirakusuma, M. G. (2017). Analisis Day of The Week Effect dan Rogalski Effect pada Perusahaan LQ45 Tahun 2015. E-Jurnal Akuntansi Universitas Udayana, 21(1), 116–143.
Sih, T. M., Gumanti, T. A., & Paramu, H. (2019). Analisis Perbedaan Abnormal Return dan Trading Volume Activity Pada Sekitar Cum Dividend Date. E-Journal Ekonomi Bisnis Dan Akuntansi, 6(2), 159–163. https://doi.org/10.19184/ejeba.v6i2.11161
Tanushev, C. (2016). Theoretical Models of Dividend Policy. Economic Alternatives, 3, 299–316.
Widiatmoko, A., & Paramita, V. S. (2017). Analisis Perbedaan Return Saham, Trading Volume Activity dan Bid-Ask Spread Sebelum dan Sesudah Stock Split (Studi Kasus pada Perusahaan yang Terdaftar di Bursa Efek Indonesia Tahun 2010-2014). Jurnal Manajemen, 14(1), 17–32.
Wijayantini, B. (2016). Pengaruh Bid-Ask Spread di Seputar Pengumuman Laba untuk Saham Perusahaan Manufaktur di Bursa Efek Indonesia. BENEFIT Jurnal Manajemen Dan Bisnis, 1(2), 131–140. https://doi.org/10.23917/benefit.v1i2.3256
Published
2024-02-23
How to Cite
MILLAWATI, Ni Putu Shanti; WIRAKUSUMA, Made Gede.
Preferensi Investor di Sekitar Cum-Dividend Date Sebelum dan Saat Masa Pandemi Covid-19.
E-Jurnal Akuntansi, [S.l.], v. 34, n. 2, feb. 2024.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/82382>. Date accessed: 21 nov. 2024.
doi: https://doi.org/10.24843/EJA.2024.v34.i02.p01.
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