Dividend-Timing Strategy and Its Risk-Return Performance: Evidence from the Indonesian Stock Market

This study investigates market reactions to different dividend events by analyzing abnormal returns. Based on a database of 45 companies listed on Bucharest Stock Exchange, for the period of 2011-2016, we found that the Declaration Date, Ex-Dividend Date and Record Date could have significant influence on stock returns in Romania. Using an event window of 41 days around the dividend announcement, we find evidence that shareholders react as a response to new information regarding dividend policy. However, further research should be performed in order to see the exact market reaction when the company decides to increase, decrease or keep the same level of dividends. Using the event study methodology, we find evidence that dividend events influence significantly the returns after the event, and only for some cases, they affect the returns before the event.

PurposeThe purpose of this paper is to discuss the stock price adjustment after a dividend distribution, allowing for different types of investors and market imperfections, including taxes and transaction costs.Design/methodology/approachAn arbitrage model is developed to determine the possible equilibria for the stock price adjustment, after a dividend distribution. The approach is theoretical, providing general results.FindingsThe model shows that, in the presence of different types of investors, a unique equilibrium only exists in the absence of transaction costs. The allowance for market imperfections, such as taxes and transactions costs, implies that there is not a unique equilibrium for the level of stock price adjustment following a dividend distribution event, but rather there is much possible equilibrium. It is showed that the observation of abnormal trading volume around the dividend event may give us some insights on the identification of which investors are present in the market.Practical implicationsOn future studies of the stock price adjustment after dividend distributions, it should be taken into account that there is no unique equilibrium.Originality/valueThe main contribution of this paper is to show that the existence of taxes and transaction costs precludes the determination of a unique equilibrium point for the stock price adjustment after a dividend distribution.

The ongoing discourse surrounding the ramifications of dividend announcements and ex-dividend dates on stock prices persists, particularly against the backdrop of the Covid-19 pandemic's significant upheaval on the Indonesian economy, including its stock market. Thus, this study endeavors to delve into the intricate dynamics of how dividend announcements and ex-dividend dates influence stock prices, coupled with an exploration of investor reactions amidst the pandemic. Focusing on companies listed on the IDX that dispensed dividends from 2018 to 2021, this research adopts a purposive sampling approach, yielding a robust dataset comprising 181 observations. Leveraging descriptive analysis and hypothesis testing via SPSS software, the study unravels compelling insights. Notably, it unveils a positive nexus between dividend announcements, the pandemic, and stock prices. Intriguingly, however, the ex-dividend date appears to exert negligible impact on stock prices, challenging conventional wisdom. By shedding light on these dynamics, this research contributes to a deeper understanding of market behavior amidst dividend-related events and the unprecedented disruptions posed by the Covid-19 pandemic, offering valuable insights for investors and policymakers.

This paper is to investigate the changes in the dividend tax rate effect on the stock price of the companies listed in Indonesia Stock Exchange (IDX) and to demonstrate the existence of abnormal returns by examining stock trading situations before and after the ex-dividend date. Standard event study methodology, using the market model, is employed to determine the abnormal returns surrounding the ex-dividend date. The findings are useful to researchers, practitioners and investors interested in companies listed on the Indonesian stock market for their proper strategic decision making. In particular, the results can be used to encourage transparency and good governance practices in the Indonesian stock market. This study is the first to use dividend tax rate data after the Introduction of the Omnibus Law on Job Creation and the Law on Harmonization of Tax Regulations. By using the event study method, the study reveals that there is no significant difference in abnormal returns prior to and following the ex-dividend date, both preceding and subsequent to the reduction in the new tax rate. Thus, the dividend tax rate reduction does not affect the market reaction in the event window.

The objective of this research was to analyze the impact of ex-dividend date announcement in Jakarta Stock Exchange (JSX) on stock return during the period of 2000- 2004. This research takes 25 corporation samples which are divided into two groups, namely increasing dividend group and decreasing dividend group. The method used in this research is event study that observed the stock return movement in capital market. The observation period was during 15 days before and 15 days after ex-dividend date. In order to examine the existence of price reaction, the abnormal return was conducted during the event period towards the increasing dividend group and decreasing dividend group. The independent variable used was dividend declaration (increasing dividend and decreasing dividend) and dependent variable used was stock return. The calculation of this research using paired sample t test, was to prove if there is any stock return differences between before and after ex-dividend date announcement with the presence of increasing dividend declaration and decreasing dividend declaration in Jakarta Stock Exchange (JSX). The result of this research had shown two conclutions that for the increasing dividend group, there were no stock return (abnormal return) diffrerence between before and after ex-dividend date due to the increasing dividend declaration in Jakarta Stock Exchange (JSX) and for the decresing dividend group there was stock return (abnormal return) difference between before and after ex-dividend date due to decresing dividend declaration in Jakarta Stock Exchange (JSX).

Objectives: This research intends to investigate how inflation and profitability influence the stock returns of firms listed in the LQ45 index on the Indonesia Stock Exchange (IDX). Methodology: This research employs a regression technique based on panel data utilizing the Common Effect Model (CEM) method. The information analyzed consists of secondary data obtained from 25 LQ45 firms spanning the years 2017 to 2021. To confirm the integrity of the regression model, classical assumption evaluations, including tests for multicollinearity, autocorrelation, and heteroscedasticity, were performed. Findings: The results of the analysis show that neither inflation nor profitability have a significant effect on stock returns in LQ45 companies. Although inflation has a positive coefficient, this relationship is not statistically significant. Meanwhile, profitability shows a negative relationship to stock returns, but is also not significant. This suggests that other factors outside of inflation and profitability are likely to play a greater role in determining stock returns in the Indonesian capital market. Conclusion: This study indicates that investors cannot fully rely on inflation and profitability variables as determinants of stock returns in LQ45 companies. Other factors, such as macroeconomic conditions, industry performance, and market expectations, are likely to have a greater influence in determining stock returns on the IDX.

Market risk premium and market volatility are important in investment decisions. Volatility is an important variable in derivative securities which is a measure of changes in stock returns. The research focuses on stock return volatility, research that points to a risk premium in emerging markets. The purpose of this study is to explain the relationship between market equity premium and volatility using GARCH (1.1) on the Indonesia Stock Exchange. This research uses daily closing price data of the Indonesia Stock Exchange Composite Index (JCI). The result of this study, that there is a relationship between risk premium and volatility in the Indonesian stock market. The conclusion of this study is to try to test whether there is a relationship from the volatility of return to risk premium in the Indonesian stock market. Using the daily trend of the Indonesian stock market (IDX) from January 2010 to September 2023.

The aim of this research is to analyze the Quadruple Witching Days phenomenon and its impact on abnormal returns on the Indonesian stock market. This phenomenon has attracted the attention of many investors and academics, because it is believed to be able to significantly influence stock price movements. It is hoped that the results of this research can provide an in-depth understanding of the influence of Quadruple Witching Days on the Indonesian capital market. Associative descriptive research tests the influence of Quadruple Witching Days. Using secondary data and library methods in the LQ45 and SRI-KEHATI stock indices listed on the Indonesia Stock Exchange for the period 2010 to 2022 with daily and weekly data. The hypothesis test that will be used in this research is the Paired Sample t - Test and the non-parametric Mann-Withney test. There are differences in abnormal returns before and after the Quadruple Witching Days event on the LQ45 stock index. There is no difference in abnormal returns before and after the Quadruple Witching Days event on the SRI-KEHATI stock index. High Vigilance, Quick Selling or Buying, Portfolio Diversification as a consideration for taking profits for investors LQ45, Long Term Investment Approach, Portfolio Stabilization may be more suitable with investment strategies because there is no significant difference in abnormal returns, investors in SRI-KEHATI.

Introduction: A dividend announcement is an information disclosed by a public company regarding the distribution of its corporate profits, whether in the form of dividends or retained earnings to strengthen the company in funding future investments. Dividend announcements might have either a positive or negative effect on the market. Methods: This quantitative research uses the event study method in the data collection period of 20 days, ten days before and ten days after the ex-dividend date. The analysis used is a descriptive statistical test, Shapiro-Wilk normality test, and hypothesis test. Results: The study results indicate that the market reaction is a change in the share price of PT. Bank Syariah Indonesia Tbk (BRIS), there is no significant difference between before and after the ex-dividend date but at PT. National Sharia Pension Savings Bank Tbk (BTPS) changes stock prices before and after the ex-dividend date, and there is a significant difference. Furthermore, for abnormal returns at PT. Bank Syariah Indonesia Tbk (BRIS) and PT. National Sharia Pension Savings Bank Tbk (BTPS) before and after the ex-dividend date, there is no significant difference, as well as the trading volume activity of PT. Bank Syariah Indonesia Tbk (BRIS) and PT. National Sharia Pension Savings Bank Tbk (BTPS) before and after the ex-dividend date, there is no significant difference. Conclusion and suggestion: This is because the dividend policy is not a factor of investor interest in investing in the company but is determined through the earning power of the company's assets

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.

This study aims to examine the market reaction before and after the ex-dividend date and see whether there are differences in abnormal returns, trading volume activity, and security return variability before and after the ex-dividend date. The population in this study are companies listed in the Jakarta Islamic Index (JII) in 2016-2020 that consistently distribute dividends. The sample of this study amounted to 10 companies that consistently distribute dividends. The used method is the event study method with a window period of 10 days, 5 days before and 5 days after. The analysis technique used is the Paired Sample T-Test and the Wilcoxon-Signed Ranked Test. The results show that there are no differences in abnormal returns, trading volume activity, and security return variability before and after the ex-dividend date in the 2016-2020 Jakarta Islamic Index (JII). This shows that dividend announcements are not considered by investors in making investments.

Abstract: This study aims to examine the market reaction before and after the ex-dividend date and see whether there are differences in abnormal returns, trading volume activity, and security return variability before and after the ex-dividend date. The population in this study are companies listed in the Jakarta Islamic Index (JII) in 2016-2020 that consistently distribute dividends. The sample of this study amounted to 10 companies that consistently distribute dividends. The used method is the event study method with a window period of 10 days, 5 days before and 5 days after. The analysis technique used is the Paired Sample T-Test and the Wilcoxon-Signed Ranked Test. The results show that there are no differences in abnormal returns, trading volume activity, and security return variability before and after the ex-dividend date in the 2016-2020 Jakarta Islamic Index (JII). This shows that dividend announcements are not considered by investors in making investments.

Purpose: The study aims to uncover the dynamics of the relationship between ASEAN countries (Malaysia, Singapore, Thailand, and the Philippines), the US, and China to the Indonesian capital market. Methodology/approach: This study uses weekly composite stock price index data for two observation periods: January 2016 to December 2019 (pre-COVID-19) and January 2020 to December 2023 (during and post-COVID-19). The econometric model is analyzed separately for (i) Indonesia and other ASEAN markets, and (ii) Indonesia, the US, and China. Findings: The ARDL cointegration analysis reveals that before COVID-19, the Indonesian stock market was influenced by Malaysia, the Philippines, and Thailand within the ASEAN data group, while only China had a long-term impact within the Indonesia-US-China data group. In the short term, there was a stronger link between the Indonesian capital market and Malaysia compared to Singapore, the Philippines, and Thailand. After the pandemic, there was a significant increase in the relationship between China's capital market and Indonesia, while the impact of the U.S. stock exchange on Indonesia was considered insignificant in the short term. Practical implications: This study can help investors and policymakers make informed decisions regarding portfolio diversification and risk management. More importantly, the long-term impact of China on the Indonesian stock market; so investors in Indonesia need to monitor and assess developments in the Chinese market for potential long-term implications. Originality/value: This study offers new insights into the dynamics of the relationship between the Indonesian capital market and ASEAN, the US, and China; a topic that has been relatively under-researched in the context before and after the COVID-19 pandemic.

Investment in the Indonesian capital market has grown significantly, surpassing 18 million investors as of August 2025. This study compares five portfolio optimization methods—Classical Mean–Variance, Fast Minimum Covariance Determinant (FMCD), Robust S-Estimator, Robust Constrained M (CM) Estimator, and Mean–Value at Risk (Mean–VaR)—using LQ100 constituent stocks. Daily closing data from January 2023 to December 2024, selecting ten stocks with the highest Sharpe ratios to construct the portfolio. Each model was optimized under various levels of risk aversion and evaluated through backtesting from January to August 2025. Using an initial capital of Rp 100 million, the results indicate that while robust estimators such as FMCD and CM provide greater stability during market volatility, the Classical Mean–Variance model with moderate risk aversion (γ = 25) yields the most profitable and well-diversified portfolio composition, with the largest allocations in AMMN.JK (20.36%), BSSR.JK (19.65%), and JPFA.JK (9.22%). The backtesting results in a total projected profit of approximately Rp 13.7 million over eight months. These findings confirm that the Classical Markowitz framework remains a reliable and efficient approach for portfolio allocation in the Indonesian stock market, especially for moderately risk-averse investors seeking a balance between diversification and return stability.

This study aims to prove the response of stock prices around the dividend announcement 10 days before and after the ex-dividend date that occurs in 2021. Using a sample of 158 issuers listed on the Indonesia Stock Exchange that declare cash dividends, the results of trend graph analysis and difference tests the average change in stock prices (paired sample t-test) shows that the first; the announcement of cash dividends has caused a tendency for stock price changes to increase before the ex-dividend date and decrease after the ex-dividend date, secondly; there is a significant difference in stock price changes before and after the ex-dividend date. This indicates that there was a significant movement of stock prices during the two observation periods due to the announcement of the dividend distribution.