Ex-Dividend Date: Problematic Abnormal Returns for Sharia Stock Index Companies
Abstract
This research aims to determine changes in stock prices before and after the ex-dividend date at PT. Indonesian Sharia Bank. Tbk. This research uses a quantitative approach with the event study method to analyze stock fluctuations in an event. Whether or not stock fluctuations are present, data will be collected 30 working days before the event and 30 days after the event by means of a sample t-test. The test results show that the value of Sig. (2-tailed) of 0.042 <0.05, thus rejecting H0 and accepting H1 which means there is a difference in stock price fluctuations before and after the announcement of the ex-dividend date. The magnitude of the value of changes in stock prices with the value of dividends per share distributed has the conclusion that the magnitude of changes in stock prices is reflected in the magnitude of the value of dividends per share distributed by the company.
References
Abu Bakar, N., Rosbi, S., & Uzaki, K. (2019). Evaluation of Long Term Performance for Initial Public Offerings using Market Adjusted Cumulative Abnormal Returns (MACAR): A Case Study of Islamic Finance in Malaysia. International Journal of Advances in Scientific Research and Engineering, 5(1), 51–58. https://doi.org/10.31695/ijasre.2019.33050
Adrianna Syariefur Rakhmat, Fahamsyah, M. H. ., Preatmi Nurastuti, & Muhammad Hamdan Ainulyaqin. (2023). Integrating Banking Fundamental Factors with Financial Technology in Reducing Banking Risk. East Asian Journal of Multidisciplinary Research, 2(9), 3567–3572. https://doi.org/10.55927/eajmr.v2i9.5402
Ainulyaqin, M. H., Rakhmat, A. S., Achmad, L. I., Fahamsyah, M. H., & Alfatihah, S. A. (2024). Keputusan Nasabah Menggunakan Produk Pembiayaan Mitra Emas iB Maslahah: Antara Physical Evidence, Promise, dan Customer Centric. Jurnal Ilmiah Ekonomi Islam, 10(01), 389-400. doi: http://dx.doi.org/10.29040/jiei.v10i1.11361
Ainulyaqin, M. H., Rakhmat, A. S., Edy, S., & Maharani, S. (2023). Pengaruh Dana Pihak Ketiga ( DPK ), Risiko dan Fee Based Income ( FBI ) Terhadap Pembiayaan Bagi Hasil Pada Bank Umum Syariah. 8(1), 196–207.
Al Islami, M., Fudin, A., & Mawardi, I. (2020). Analysis of Market Reaction to Announcement of Right Issue (Case Study on Shares Registered at ISSI). Journal of Theory and Applied Sharia Economics, 6(6), 1101. https://doi.org/10.20473/vol6iss20196pp1101-1113
AN, A. (2019). Bunga Deposito Dan Volume Perdagangan Saham. Jurnal Keuangan Dan Perbankan, 9, 14–48.
Ananda, R. R., Nawir, J., & Siti, H. (2019). Analysis Abnormal Return Eid Al-Fitr on Food and Beverages Company Listed In Indonesia Stock Exchange Year 2013 – 2017. Journal of Economics, Business, and Government Challenges, 2(1), 79–85. https://doi.org/10.33005/ebgc.v2i1.67
Arrias, J. C., Alvarado, D., & Calderón, M. (2019a). PENGARUH PROFITABILITAS TERHADAP HARGA SAHAM (Studi Empiris pada Perusahaan Sektor Makanan dan Minuman yang Terdaftar di Bursa Efek Indonesia Periode 2015-2019). 5–10.
Arrias, J. C., Alvarado, D., & Calderón, M. (2019b). The Effect of Profitability on Stock Prices (Empirical Study of Food and Beverage Sector Companies Listed on the Indonesia Stock Exchange 2015-2019 Period). 5–10.
Asnawi, S. K. (2016). Stock price. Http://Id.Beritasatu.Com/Home/Harga-Saham/148970.
Azizah, A. . (2019). Deposit Interest and Stock Trading Volume. Journal of Finance and Banking, 9, 14–48.
BEI. (2018). IDX Syariah. Bei, 1–2.
Bsi, K. U. R., & Pinjaman, J. (2022). dan Cara Mengajukan Akad. 1–6.
Choriliyah, S., Sutanto, H. A., & Hidayat, D. S. (2019). Reaksi Pasar Modal Terhadap Penurunan Harga Bahan Bakar Minyak (BBM) Atas Saham Sektor Industri Transportasi Di Bursa Efek Indonesia. Journal of Economic Education, 5(1), 1–10.
Cruz, A. P. S. (2013). Bab Ii Landasan Teori. Journal of Chemical Information and Modeling, 53(9), 1689–1699.
Dany, B. Y., Gibran, M., & Harga, M. R. (2022). Harga Saham Naik Turun : 8 Faktor yang Berkaitan Erat 1 . Suatu Peristiwa yang Berkaitan Dengan Ekonomi Makro. 1–8.
Elvira, I. E., & Praptoyo, S. (2022). Stock Prices Before And After Dividend Policy. Journal of Accounting Science and Research, 11(10).
Fahamsyah, M. H., Soejarminto, Y. ., Yaqin, H. A. ., & Rakhmat, A. S. . (2023). Analytic Network Process (ANP) Method: Factor Analysis of the Non-Implementation of Municipal Islamic Bonds in Sukuk Potential Areas in Indonesia. East Asian Journal of Multidisciplinary Research, 2(8), 3305–3322. https://doi.org/10.55927/eajmr.v2i8.5409
Fahamsyah, M. H., Taftazani, A. M., Rakhmat, A. S., & Yaqin, M. H. A. (2023). Ecologies of green finance: Green Sukuk and development of green Infrastructure in Bekasi Regency on SWOT Analysis. Enrichment : Journal of Management, 13(3), 2113-2122. https://doi.org/10.35335/enrichment.v13i3.1574
Gitman, L., & Zutter, C. . (2012). Principle of Managerial Finance (13th ed.). Prentice-Hall.
Hadianto, B., Herlina, H., Njotoprajitno, R. S., & Suwarno, N. A. N. (2022). Market Reaction Around Ex-Dividend Date. Jurnal Ilmiah Universitas Batanghari Jambi, 22(1), 115–119. https://doi.org/10.33087/jiubj.v22i1.1597
Hartono, J. (2010). Studi peristiwa Menguji Reaksi Pasar Modal Akibat Suatu Peristiwa. BPFE.
Haryono, S. (2016). Asimetri informasi dalam transaksi perbankan syariah di Indonesia. IJTIHAD Jurnal Wacana Hukum Islam Dan Kemanusiaan, 15(1), 103. https://doi.org/10.18326/ijtihad.v15i1.103-118
Ii, B. A. B. (2011). Dividend. SpringerReference, 15–40. https://doi.org/10.1007/springerreference_1305
Indexes, M. (n.d.). Ini Penyebab Naik Turun Harga Saham, 2022. 20–23.
Junevensia, G., & Giriati, G. (2022). Analisis Portofolio dan Kinerja Keuangan. OPTIMISM Journal of Management Business …, 1(1), 64–80.
Kementrian keuangan RI. (2021). 2, 13817.
Koo, B., & Chae, J. (2020). Dividend month premium in the Korean stock market. Journal of Derivatives and Quantitative Studies: 선물연구, 28(2), 77–104. https://doi.org/10.1108/jdqs-04-2020-0006
Kurniawan, N., & Mawardi, W. (2017). Analisis pengaruh profitabilitas keputusan investasi keputusan pendanaan dan kebijakan dividen terhadap nilai perusahaan. Diponegoro Journal of Management, 6(2), 1–11.
Laila, A., Puspitaningtyas, Z., & Eko, D. (2021). The Difference in Share Prices Before and After Dividend Distribution in Property and Real Estate Sector Companies Listed on the Indonesia Stock Exchange for the 2014-2019 Period. Interdisciplinary Journal on Law, Social Sciences and Humanities, 01(2), 22–48. https://doi.org/10.19184/ijl.v1i1.20993
Lavista, E. (2019). Stock Price Behavior Around Cum-Dividend Date of Indonesia Blue Chips Stocks. Review of Management and Entrepreneurship, 2(1), 49–60. https://doi.org/10.37715/rme.v2i1.952
Legenzova, R., Jurakovaite, O., & Galinskaite, A. (2017). The analysis of dividend announcement impact on stock prices of baltic companies. Central European Business Review, 6(1), 61–75. https://doi.org/10.18267/J.CEBR.173
Lliyd, B., Effectenbueurs, D. A., Namanya, I., & Efek, A. P. (1939). Ulasan Pasar Modal : Pengertian , Sejarah , dan Manfaatnya Sejarah Pasar Modal Fungsi Pasar Modal Instrumen Investasi Pasar Modal Manfaat Pasar Modal Obligasi sebagai Produk Investasi Menguntungkan. 2–5.
M Nurlina. (2020). Bab ii kajian pustaka bab ii kajian pustaka 2.1. Bab Ii Kajian Pustaka 2.1, 2(2004), 6–25.
Megawati, S. (2019). The Influence of Interest Rates on Bond Yield to Maturity Mediated by Inflation (Study of Banking Companies Listed on the Indonesia Stock Exchange). Journal of Business Management Krisnadwipayana, 7(2). https://doi.org/10.35137/jmbk.v7i2.293
Mentari, N. M. I., & Abundanti, N. (2016). Market Reaction To Events Announcing Cash Dividends In Manufacturing Industries Registered On The Bei. E-Journal of Management of Udayana University, 5(2), 1043–1073.
M. H. Fahamsyah and M. Hamdan’Ainulyaqin, “A Bibliometric Analysis of Profit Loss Sharing (PLS) in Islamic Banking Research Using Vosviewer Application,” Perisai Islam. Bank. Financ. J., vol. 7, no. 1, pp. 126–142, 2023.
Mongkito, A. W., Putra, T. W., Imran, M., Novita, K., & Ansar, A. N. (2021). Implementasi Pembiayaan Kredit Usaha Rakyat (Kur) Mikro Syariah Dalam Pengembangan Usaha Mikro. Robust: Research of Business and Economics Studies, 1(1), 91. https://doi.org/10.31332/robust.v1i1.2886
Mujilan. (2022). Stock Price Behaviour around the Announcement Date of Cash Dividend on the Indonesia Stock Exchange. Jurnal Akuntansi Dan Keuangan, 24(1), 10–23. https://doi.org/10.9744/jak.24.1.10-23
Ngoc, D. B., & Cuong, N. C. (2016). Dividend Announcement and Ex-Dividend Effects on Stock Return. International Journal of Economics and Finance, 8(7), 207–215. https://doi.org/10.5539/ijef.v8n7p207
Nida, D. R. P. P., Yoga, I. G. A. P., & Adityawarman, I. M. G. (2020). Analisis Reaksi Pasar Modal Terhadap Peristiwa Pemilu Serentak Tahun 2019. WICAKSANA: Jurnal Lingkungan Dan Pembangunan, 4(1), 64–73. https://doi.org/10.22225/wicaksana.4.1.1813.64-73
Nurhaya, Listian Indriyani Achmad, MH Ainulyaqin, & Sarwo Edy. (2024). Analisis Pengaruh Bagi Hasil, Inflasi, Nilai Tukar, dan Bi-Rate Terhadap Dana Pihak Ketiga pada Bank Bjb Syariah. Al-Kharaj: Jurnal Ekonomi, Keuangan & Bisnis Syariah, 6(5), 4911 –. https://doi.org/10.47467/alkharaj.v6i5.2041
Octaviani, S., Widyanto, M. L., & Helsinawati. (2019). Analysis of Comparison of Stock Return Before and After Ex-Dividend Date in Industrial Property , Real Estate and Building Construction in Indonesia Stock Exchange Period 2013. East African Sholars Journal of Economics, Business and Management, 2(8), 447–451. https://doi.org/10.36349/easjebm.2019.v02i08.010
Oktavia, I., & Genjar, K. (2019a). Factors Influencing Stock Prices. Journal of Multiparadigm Accounting Research, 6(1), 29–39.
Oktavia, I., & Genjar, K. (2019b). Faktor-Faktor Yang Mempengaruhi Harga Saham. Jurnal Riset Akuntansi Multiparadigma, 6(1), 29–39.
Otoritas Jasa Keuanga. (2022). Market Update Pasar Modal Syariah Indonesia Periode Januari - Juni 2022. Otoritas Jasa Keuangan (OJK) Press.
Ozo, F. K., & Arun, T. G. (2019). Stock market reaction to cash dividends: evidence from the Nigerian stock market. Managerial Finance, 45(3), 366–380. https://doi.org/https://doi.org/10.1108/MF-09-2017-0351
P. Angipora, M. (2018). Defenisi Harga. 1–34.
Pratama, D., & Fernos, J. (2019). Prosedur Pelaksanaan Kredit Usaha Rakyat (Kur) Pada Pt. Bank Nagari Cabang Padang. Akademi Keuangan Perbankan, 1–9.
Putri, E. L. (2017). Stock Prices Before And After The Ex-Dividend Date Of Service And Manufacturing Companies On The Indonesia Stock Exchange (IDX) (Period 2014 -2015). Journal of FEB Brawijaya University, 1(1), 1–12.
Qoyum, A., Mardiya, M., & Sakti, M. R. P. (2018). Indonesian Capital Market Efficiency: Islamic vis-a-vis Conventional. Shirkah: Journal of Economics and Business, 2(3), 283–316. https://doi.org/10.22515/shirkah.v2i3.171
Rahmah, M. (2019). Pasar Modal Pasar Modal. Otoritas Jasa Keuangan, 1(1), 1–5.
Rakhmat, A. S., Mohammad Hatta Fahamsyah, Preatmi Nurastuti, & Muhammad Hamdan Ainulyaqin. (2024). Integrating Banking Fundamental Factors with Financial Technologies in Increasing Banking Performance. Ilomata International Journal of Management, 5(1), 251-260. https://doi.org/10.52728/ijjm.v5i1.1054
Sakum., Ainulyaqin, M. H., Achmad, L. I., Mamun, S., & Anggadita, I. (2024). Minat Pedagang Muslim Menabung Di Perbankan Syariah: Seberapa Besar Pengaruh Pengetahun dan Budaya Kerja?. Jurnal Ilmiah Ekonomi Islam, 10(01), 490-497. doi: http://dx.doi.org/10.29040/jiei.v10i1.12388
Said Kelana Asnawi. (2016). Harga Saham. Novi, 1(1), 7.
Shaid, N. J. (2022). Apa Itu Dividen: Pengertian, Jenis, dan Cara Menghitungnya. Kompas.Com, 1–20.
Soebiantoro, U. (2021a). PERDAGANGAN SAHAM YANG PALING MONCER DALAM MASA PANDEMI COVID 19. 48–56.
Soebiantoro, U. (2021b). The Most Successful Stock Trading During the Covid 19 Pandemic. Journal of FEB UPN V Press, 1(5), 48–56.
Sukmaningrum, P. S., Madyan, M., & Hendratmi, A. (2019). Reaksi Pasar Saham Yang Terdaftar Dalam Jakarta Islamic Index (Jii) Terhadap Pengumuman Penetapan Gubernur Dki Jakarta Tahun 2017. Jurnal Ekonomi Dan Bisnis Islam (Journal of Islamic Economics and Business), 5(1), 1–14. https://doi.org/10.20473/jebis.v5i1.10087
Sularso, R. A. (2018). The Effect of Dividend Announcement on Changes in Stock Prices (Return) Before and After the Ex-Dividend Date on the IDX. Journal of Accounting & Finance, 5(1).
Tandelilin, E. (2010). Portofolio dan Investasi. Kanisius.
Umam, 2022. (n.d.). Gramedia.Com, 1.
Wongso, A. (2013). Effect of Dividend Policy, Ownership Structure, and Debt Policy on Firm Value in the Perspective of Agency Theory and Signaling Theory. Jurnal Ilmiah Mahasiswa Manajemen, 1(5).
