Sensitivitas Reaksi Investor Atas Pengumuman Perubahan Dividen Terhadap Market Direction dan Volatilitas Pasar: Studi Empiris di Bursa Efek Indonesia

LAYYINATURROBANIYAH, Dr. Suad Husnan, M.B.A.

2008 | Tesis | S1 Extention - Accounting

Penelitian ini bertujuan untuk menguji secara empiris reaksi investor terhadap pengumuman kenaikan (penurunan) dividen selama perioda tahun 2001-2006 dan menguji sensitivitas reaksi investor tersebut terhadap market direction (market up dan down) dan volatilitas pasar (high dan low). Desain event study digunakan untuk mengidentifikasi dan menguji signifikansi abnormal return positif (negatif) yang muncul disekitar tanggal kenaikan (penurunan) dividen. Pengujian dilakukan terhadap 177 sampel pengumuman kenaikan dividen dan 112 sampel pengumuman penurunan dividen dengan perhitungan abnormal return menggunakan metoda Single Index Model-Beta OLS, Single-Index Market Model Beta Koreksi, dan Market Adjusted Model. Sedangkan pengujian sensitivitas reaksi investor dilakukan dengan uji beda t-test MCAR dari masing-masing subsampel yang telah dikelompokkan berdasarkan market direction dan volatilitas pasar. Hasil penelitian menunjukkan bahwa investor secara signifikan bereaksi positif (negatif) terhadap kenaikan (penurunan) dividen. Reaksi tersebut tampaknya sesuai dengan rent-extraction hypothesis. Lebih lanjut, hasil penelitian menunjukkan bahwa investor ternyata lebih sensitif ketika merespon pengumuman kenaikan (penurunan) dividen yang dilakukan pada saat volatilitas pasar tinggi dibandingkan pada saat volatilitas pasar rendah dan hal tersebut signifikan secara statistik. Selain itu, terdapat kecenderungan bahwa investor lebih sensitif ketika merespon pengumuman kenaikan (penurunan) dividen yang dilakukan pada saat kondisi arah pergerakan pasar (market direction) berlawanan dengan muatan informasi, meskipun hal tersebut tidak signifikan secara statistik. Hasil penelitian ini menjelaskan secara parsial implikasi dari dynamic rational expectations equilibrium model yang dibangun oleh Veronesi (1999) dan konsep frame reference yang menghubungkan reaksi investor terhadap market direction dan volatilitas pasar. Kata-kata kunci: Kenaikan dividen, Penurunan dividen, Abnormal returns, Rent extraction hypothesis, Frame reference, Market direction, dan Volatilitas Pasar.

This research examines investor reaction to dividend change announcements over the period 2001-2006 at Indonesia Stock Exchange and whether investor reactions are sensitive to the recent direction of underlying market movements and market volatility. Event study methodology used to identify and examine significance of positif (negative) abnormal return around event date of dividend increases (decreases). Examination on sample that consists of 177 sample dividend increases and 112 sample dividend decrease using single index-market model beta ordinary least square (OLS), single index-market model using corrective beta method of Fowler and Rorke four lag and four lead, and market adjusted model to compute abnormal return. Whereas to examine sensitivity of investor reaction, we used independent sample t-test to compare mean cumulative abnormal returns (MCAR) from every subsampel that have been categorized by market direction and volatility. This research found that when firms announced dividend increase (decrease), investor shows significant positive (negative) reaction. It supports the rent extraction hypothesis. Furthermore, there is significant difference in the mean cumulative abnormal returns when the firms announced dividend increase (decrease) at the time of high-market volatility and low market volatility. It suggest that investor became more sensitive when the dividend increases (decreases) announced at the time of high market volatility than low market volatility, and dividend change announcements elicit a greater change in stock price when the nature of the news (good or bad) goes against the grain of the recent market direction although this latter tendency lacks statistical significance. The researcher suggest an explanation for these results that combines the implications of a dynamic rational expectations equilibrium model built by Veronesi (1999) partially with frame reference concept that link the responsiveness of investors to market direction and volatility. Keywords: Dividend increases, Dividend decreases, Abnormal returns, Rent extraction hypothesis, Frame reference, Market direction and volatility.

Kata Kunci : Kenaikan dividen, Penurunan dividen, Abnormal returns, Rent extraction hypothesis, Frame reference, Market direction, dan Volatilitas Pasar