REAKSI PASAR MODAL TERHADAP PENGUMUMAN PEMBAGIAN DIVIDEN DI BURSA EFEK INDONESIA (BEI)

This study aims to prove that there are differences in abnormal returns and trading volume activity (TVA) at the time before and after the dividend announcement. Sampling was determined using purposive sampling method. The population in this study is a manufacturing company in the period 2010-2012. The study sample was obtained at least 20 and the number of observations are 60. The analysis begins by calculating the average abnormal return and trading volume activity (TVA) in the five days before and five days after the announcement of a dividend announcement. After that, testing the normality of the data to determine whether the variable to be tested is normally distributed or not.The next step hypothesis test through SPSS 17.0, the paired sample t-test. The results showed that the hypothesis (H1 and H2) is rejected. That is, there is no difference of abnormal returns and trading volume activity (TVA) before and after the announcement of the dividend distribution.