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ABSTRACT:

This study was conducted to analyze the response of investors to the determination of the ex-dividend date on the Indonesia Stock Exchange. The difference in investor response is measured by the difference in the market price of the stock before and after the ex-dividend date. This study uses a sample of 100 randomly selected corporations. The data used for analysis is the daily closing price. The stock price difference test uses the Wilcoxon Signed Ranks Test because all data is not normally distributed. The results of the analysis show that investors' responses during a certain observation period cause a difference in stock prices between before and after the ex-dividend date, especially in the period of time close to the ex-dividend date. However, in other observation periods, the response did not cause a significant price difference.

KEYWORDS:

Investor Response, Dividend Policy, Ex-Dividend Date, Closing Price.

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