Analysis Abnormal Return and Stock Trading Volume Around Ex-Dividend Date at IDXHIDIV20 in Indonesian Stock Exchange during Covid-19 Pandemic

Astika, Anak Agung Made and Saputra, Made Dana and Nurhayanti, Ketut (2022) Analysis Abnormal Return and Stock Trading Volume Around Ex-Dividend Date at IDXHIDIV20 in Indonesian Stock Exchange during Covid-19 Pandemic. Repositori Politeknik Negeri Bali.

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Abstract

The impact of the Covid-19 pandemic in Indonesia is the decrease of stock investment returns on the Indonesia Stock Exchange (IDX). The dividend distribution policy is a corporate action that investors have been waiting for because it can provide investment returns during the pandemic. Stock prices will fluctuate during the period of distribution divdends. Fluctuating stock prices will certainly lead to the possibility of abnormal returns and differences in trading voume activity. The purpose of this study is to identify whether there are differences in abnormal returns and trading volume activity of stock before and after the ex-dividend date in companies listed on the high dividend 20 index on the IDX. The results of this study can be used as advice to investors or traders for making investment decisions during dividend distribution period. The quantitative research in this study uses the event study approach. The analysis found that (1) anomalous returns for the High Dividend 20 Index differed significantly before and after the ex-dividend date during the Covid-19 epidemic. This suggests that dividend distribution measures implemented during the Covid-19 pandemic were informative. Investors consider that this dividend distribution contains negative information so that make abnormal stock returns decrease from before and after the ex-dividend date. (2) There is no significant differ-ence in trading volume activity before and after the ex-dividend date on high dividend 20 index during the covid-19 pandemic. Theis is indicates that the dividend distribution policy during the COVID-19 pandemic does not contain in-formation if we viewed from the trading volume activity indicator.

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