PERILAKU REAKSI HARGA DAN VOLUME PERDAGANGAN SAHAM TERHADAP PENGUMUMAN DIVIDEN

Bandi (Adv : Dr. Jogiyanto H.M., MBA., Akt), Dr. Jogiyanto H.M., MBA., Akt

1998 | Tesis | S2 Accounting

Penelitian tentang reaksi harga dan volume perdagangan saham yang dihubungkan dengan pengumuman laba telah banyak dilakukan. Bamber dan Cheon (1995) menyatakan bahwa ada hubungan pOsitif antara besaran reaksi harga dan volume perdagangan saham rata-rata.



Hampir seperempat pengumuman laba kwartalan menyebabkan reaksi harga dan volume dengan besaran relatif yang berbeda. Sayangnya, belum banyak bukti empiris tentangreaksi demikian berkenaan dengan pengumuman dividen.



Penelitian ini mengamati reaksi harga dan volume perdagangan saham dihubungkan dengan pengumuman dividen.



Hasil penelitian ini menunjukkan reaksi yang dependen antara volume dan harga.



Volume dan harga menunjukkan hubungan yang positif. walaupun ada hubungan antara reaksi harga dan volume perdagangan saham di sekitar pengumuman dividen, besaran relatif dari reaksi harga dan volume berbeda.



Sebanyak 32,88 persen dari sampel penelitian ini menunjukkan perbedaan besaran relatif reaksi volume dan harga, 30,87 persen menunjukkan reaksi yang sama besarannya, dan 36,24 persen sisanya menunjukkan reaksi yang tidak bisa ditentukan.

Many of researches on price and volume reaction associated with the earnings announcement have been conducted. Bamber and Cheon (1995) acknowledge that there is a positive relation between the average of magnitudes of price and of volume reaction. Nearly a quarter of the quarterly earning announcements generate price and volume reaction of different relative magnitudes. Surprisingly, there is little empirical evidence of such reaction regarding the dividend announcements. This research investigates the volume and price reactions associated with the dividend



announcements.



The result of this study shows a dependence between price and volume reaction. Additionally, price and trading volume is positively related.



Although there is a relation between price and volume reaction around dividend announcements, the reactions are very relatively different in magnitudes.



The relative magnitudes of price and volume reactions are extremely different for 32,88 percent of these sample dividend announcements, relatively similar reactions for 30,87 percent, and the remaining 36,24 percent shows relatively indeterminate reactions.

Kata Kunci : Reaksi harga, Reaksi volume, Pengumuman dividen, Volume perdagangan saham, Price reaction, Volume reaction, dividend announcement, Trading volume.