REAKSI PASAR TERHADAP PENGUMUMAN CASH DIVIDEND FINAL DI SEKITAR EX-DIVIDEND DATE

This study aims to look at the market reaction around the ex-dividend date in the group of final cash dividend increased and group of final cash dividend decreased.
Sample of companies are determined using purposive sampling method in order to obtain a total of 93 samples. Group of final cash dividend increased as much as
54 samples and group of final cash dividend decreased as much as 39 samples. The period of the study in 2015 with a window period of 11 days and the estimated period of 30 days. Counting abnormal return using the market model
and hypothesis testing by t-test against the group of final cash dividend increased and group of final cash dividend decreased. The results of the research that is
going negative and positive reactions. Reacted negatively in both groups occurring at the time of the ex-dividend date (t=0) and reacted positively in t-3 before the ex-dividend date on group of final cash dividend increased.

Keywords: ex-dividend date, the final cash dividend increase, the final cash dividend decrease.