REAKSI PASAR ATAS PENGUMUMAN DIVIDEN TUNAI DI MASA PANDEMI COVID-19

Abstrak

This study aims to determine whether there is a market reaction to the announcement of increasing, decreasing and constant dividends during the Covid-19 pandemic and after the exclusion of dividends as an income tax object. This research uses an event study approach for 5 days of observation. Market reaction in this study is measured using abnormal returns which estimated using the mean-adjusted model. The population of this study are companies listed on the Indonesia Stock Exchange in 2021. The data collection method in this research is non-participant observation. The one sample t-test was used to see whether there was a market reaction to the cash dividend announcement. The results of this study found that the market reacts positively to increasing dividend announcements, the market does not react negatively to decreasing dividend announcements but on the contrary, this study found that the market reacts positively to decreasing dividend announcements and the market does not react to constant dividend announcements. The theoretical implications of this research are able to support signaling theory and bird in the hand theory and practical implications can be additional information in making decisions for stock investors and companies.