The Differences of Abnormal Return and Trading Volume Activity in Cum-Dividend Date Events

ABSTRACT: Dividend distribution is a signal that is deliberately given by company management to show the company’s prospects in the future. This study aims to analyze the differences in abnormal returns and trading volume activity around the cum-dividend date which is the last trading day of stocks that still have the right to receive dividends. The population of this study are all companies listed on the LQ45 Index for the period February to July 2022 on the Indonesia Stock Exchange. The sample was determined using a non-probability sampling method with a purposive sampling technique so that 34 samples were obtained. The analytical method used in this study is the paired sample t-test. The results showed that there were differences in abnormal returns before and after the cum-dividend date. This study also shows that there is no difference in trading volume activity before and after the cum-dividend date.

KEYWORDS : abnormal return, trading volume activity, cum-dividend date, event study