Abstract:
This research is about to understand about stock price phenomenon near Cum Dividend Date. In this research, there is shown about stock phenomenon related with market efficiency theory by Eugene Fama that Indonesia market is in weak form market efficiency.
Eugene Fama has been known in famous financial institution and his hypothesis still has been used by analyst until now.
The research takes 28 samples corporate in period 2008-2011. The sample is taken through data from KSEI and securities. Thus, this research was conducted from 25 November until 20 January 2012.
This research only conduct analysis near Cum Dividend Date, the data already selected with no other factor affect stock price. So, this research is taken 5 days before and 5 days after Cum Dividend Date to exempt any factor that can change stock price that not related by Cum Dividend Date factor and then researcher find out the correlation by using Regression Linear.
The researcher also uses Paired Sample T-Test to know the difference is significance or not, then the corporate that has been selected is the corporate that has not in suspended status, bankrupcy status or in another situation at near the process that can give impact to stock price such as acquisition, new contract or any corporate action that will be affect stock price (example: stock split, reverse stock split, etc).
The researcher also taken the selected corporate that not in high prices, because the change of the price per day may not be equal with corporate who has low range price. The result has shown there is significance but only around T-1 and T+1.
