EAS Publisher | Analysis on Ex-Dividend Phenomenon before and During COVID-19 Pandemic in Indonesia (Study on Index IDX High Dividend 20)

Analysis on Ex-Dividend Phenomenon before and During COVID-19 Pandemic in Indonesia (Study on Index IDX High Dividend 20)

DOI : https://doi.org/10.36349/easjebm.2022.v05i01.001

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This study aims to find the difference in stock price and trading volume around the ex-dividend date before and during the COVID-19 pandemic. We used event study methods with 100 days estimation period and 11 days event period. The stock price is observed through abnormal return, and trading volume is observed through trading volume activity. The research population is the companies listed on the index IDX High Dividend 20 in the year 2021, and samples are 20 companies on the index with 85 cash dividend events. Normality test used Kolmogorov-Smirnov test, while hypotheses test used Paired T-test and Wilcoxon signed-rank test. The study result shows a significant difference in stock price before, during, and after the ex-dividend date before the pandemic but not during the pandemic. The study also shows no significant difference in trading volume before, during, and after the ex-dividend date, whether before or during the pandemic.

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