ANALISIS PENGARUH TINGKAT LIKUIDITAS SAHAM DAN KAPITALISASI PASAR SAHAM TERHADAP KEBIJAKAN DIVIDEN PADA PERUSAHAAN YANG TERDAFTAR DI INDEKS KOMPAS 100 PERIODE TAHUN 2011-2015

ZAYANA GRISADENTI ISNASARI, I Wayan Nuka Lantara, S.E., M.Si., Ph.D.

2017 | Skripsi | S1 MANAJEMEN

Penelitian ini bertujuan untuk menganalisis pengaruh tingkat likuiditas saham dan kapitalisasi pasar saham terhadap kebijakan dividen di Indonesia. Likuiditas saham diwakili oleh trading volume activity (TVA), nilai transaksi saham, dan frekuensi perdagangan saham. Kapitalisasi pasar saham menggambarkan ukuran perusahaan. Kebijakan dividen diwakili oleh dividend yield dan dividen per saham (DPS). Penelitian ini menggunakan tiga variabel kontrol yang menggambarkan karakteristik keuangan perusahaan, yakni total asset (TA), return on equity (ROE), dan debt to equity ratio (DER). Perusahaan di Indonesia yang terdaftar dalam Indeks Kompas 100 di Bursa Efek Indonesia tahun 2011-2015 dijadikan sampel, kecuali perusahaan di sektor perbankan dan perusahaan keuangan non-bank. Berdasarkan metode purposive sampling, diperoleh 63 sampel terdiri 8 sektor. Analisis data menggunakan model Generalize Least Square (GLS) dengan bantuan program STATA. Hasil penelitian menunjukkan nilai transaksi saham berpengaruh signifikan positif terhadap kebijakan dividen, frekuensi perdagangan saham berpengaruh signifikan negatif terhadap kebijakan dividen, serta tidak terdapat pengaruh signifikan antara trading volume activity (TVA) dan kebijakan dividen. Kapitalisasi pasar saham berpengaruh signifikan positif terhadap kebijakan dividen yang diwakili dividen per lembar saham (DPS), namun tidak terdapat pengaruh signifikan terhadap dividend yield. Pada variabel kontrol, tidak terdapat pengaruh signifikan antara total asset dan kebijakan dividen, return on equity (ROE) berpengaruh signifikan positif terhadap kebijakan dividen, debt to equity ratio (DER) berpengaruh negatif terhadap kebijakan dividen. Kata kunci: dividend yield, dividen per saham, likuiditas saham, kapitalisasi pasar.

This study aimed to analyze the effect of stock liquidity and stock market capitalization on dividend policy in Indonesia. Stock liquidity is represented by the trading volume activity (TVA), the value of stock transactions, and the frequency of trading. Stock market capitalization describes the size of the company. Dividend policy is represented by dividend yield and dividend per share (DPS). This study used three control variables that describe the company's financial characteristics; total assets (TA), return on equity (ROE), and debt to equity ratio (DER). The samples were companies in Indonesia listed in Kompas 100 Index in Indonesia Stock Exchange at 2011-2015, except banking and non-bank financial companies. Based on purposive sampling method, 63 samples were obtained consisting of 8 sectors. Analysis of data was done using Generalize Least Square (GLS) with STATA statistic program. The results showed that the value of stock transactions correlate positive significant to dividend policy, share trading frequency correlate negative significant to dividend policy, and there was no significant effect between trading volume activity (TVA) and the dividend policy. Stock market capitalization correlate positive significant to dividend policy that represented dividend per share (DPS), but no significant effect on dividend yield. In the control variables, there was no significant effect between total assets and dividend policy, whereas return on equity (ROE) has positive significant effect on dividend policy, debt to equity ratio (DER) negative significant effect on dividend policy. Keywords: dividend yield, dividend per share, stock liquidity, market capitalization.

Kata Kunci : dividend yield, dividend per share, stock liquidity, market capitalization