Academia Open
Vol 8 No 1 (2023): June
Business and Economics

Examining Dividend-Related Abnormal Returns and Trading Volume in IDX Manufacturing 2016-2020
Analisis Kenaikan Abnormal dan Aktivitas Volume Perdagangan Sebelum dan Sesudah Tanggal Ex-Dividend pada Sektor Manufaktur yang Terdaftar di IDX Periode 2016-2020


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  • Dyah Agung,
  • Heri Widodo*
Dyah Agung
Universitas Muhammadiyah Sidoarjo, Indonesia
Heri Widodo
Unuversitas Muhammadiyah Sidoarjo, Indonesia *

(*) Corresponding Author
Picture in here are illustration from public domain image or provided by the author, as part of their works
DOI: https://doi.org/10.21070/acopen.8.2023.4019
Published June 26, 2023
Keywords
  • Ex-date dividends,
  • market reaction,
  • manufacturing sector,
  • abnormal returns,
  • trading volume activity
How to Cite
Agung, D., & Widodo, H. (2023). Examining Dividend-Related Abnormal Returns and Trading Volume in IDX Manufacturing 2016-2020. Academia Open, 8(1), 10.21070/acopen.8.2023.4019. https://doi.org/10.21070/acopen.8.2023.4019

Copyright (c) 2023 Dyah Agung, Heri Widodo

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This work is licensed under a Creative Commons Attribution 4.0 International License.

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Abstract

This study aims to analyze the market reaction to ex-date dividends within a specific research period. The research period consists of 5 days before the dividend ex-date, 1 day for estimation, and 5 days after the dividend ex-date. A descriptive method was employed for sample selection, focusing on 6 companies in the manufacturing sector over 5 periods from 2016 to 2020. Secondary data was utilized for analysis. The paired sample test for abnormal returns, suitable for normally distributed data, was used to assess the impact of ex-date dividends. Additionally, the Wilcoxon signed rank test was applied to trading volume activity due to its non-uniform distribution. The results indicate a significant difference between trading volume activity before and after the ex-date dividend. The implications of these findings provide insights into the market reaction to ex-date dividends in the manufacturing sector, contributing to a better understanding of dividend-related phenomena in financial markets.

Highlights:

  • Market reaction to ex-date dividends in the manufacturing sector.
  • Analysis of abnormal returns and trading volume activity.
  • Significant difference before and after ex-date dividends.

Keywords: Ex-date dividends, market reaction, manufacturing sector, abnormal returns, trading volume activity.

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