Transfer Informasi Intra-Industri Atas Pengumuman Perubahan Dividen Dan Faktor-Faktor Yang Mempengaruhinya

., Heriyanto Transfer Informasi Intra-Industri Atas Pengumuman Perubahan Dividen Dan Faktor-Faktor Yang Mempengaruhinya. Seminar Nasional Sains dan Teknologi Teknik Industri. ISSN 978-602-73549-0-6

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Abstract

This study aims to empirically investigate the existence of intra-industry information transfer on nonreporter firms as related to cash dividend change announcement by reporter firm. In addition, this study also empirically investigate variables that influence the magnitude and the direction of intra-industry information transfer on nonreporter firm. Samples (observations) that used on this study include reporter and nonreporter firm that respectively 200 and 541 observations on cash dividend increased announcement and 93 and 199 observations on cash dividend decreased announcement. The period that used on this study covers 2001-2012. As related to the statistic method that used to test the hypothesis, t-test (one sample t-test) and multiple regression analysis were used on this study. The result of the hypothesis testing on this research indicate that there was a significant market reaction on reporter’s firm stock in increased cash dividend announcements whereas the hypothesis on decreased cash dividend cases was rejected because the result indicate that there was not exist a significantly negative reaction. In addition, as related to intra-industry information transfer (proxied by the significance of cumulative abnormal return) testing, this study found that there was exist a contagion effect (direct reaction) in which the nonreporter’s firm shares obtain a significantly positive cumulative abnormal return on reporter’s cash dividend increased announcement and obtain a significantly negative cumulative abnormal return on reporter’s cash dividend decreased announcement. As related to the testing about variables that influence the magnitude of intra-industry information transfer, it has been founded that on the cash dividend increased cases, variables that has statically significant were reporter’s firm dividend surprise rate variable (positive), the rate of nonreporter’s firm cash dividend change on the last year (negative), and return correlation between reporter and nonreporter firm (positive), whereas on the cash dividend decreased cases, it has been founded that only reporter’s firm dividend surprise rate variable (positive) and size of reporter’s firm were statistically significant. As related to the testing of intra-industry information transfer direction, it has been found that competitive effect (adverse reaction) were exist on the cases of cash dividend increased announcement, whereas on the cases of cash dividend decreased announcement, this study found the existence of contagion effect (direct reaction).

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