PENGARUH DIVIDEND POLICY TERHADAP SHARE PRICE VOLATILITY PADA PERUSAHAAN INDUSTRI KONSUMSI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) PERIODE 2010 – 2014
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Abstract
Abstrak - Tujuan dari penelitian ini adalah untuk menguji hubungan antara kebijakan dividen dan volatilitas harga saham dengan fokus pada perusahaan industry untuk konsumsi yang terdaftar di Bursa Efek Indonesia. Untuk tujuan ini, sampel 11 perusahaan yang membayar dividen selama 5 tahun berturut-turut dipilih dan hubungan antara volatilitas harga saham dengan dua pengukuran utama kebijakan dividen, dividen yield dan dividen payout diperiksa dengan menerapkan regresi berganda untuk jangka waktu 5 tahun dari tahun 2010 ke 2014. Model regresi utama diperluas dengan menambahkan variabel kontrol yaitu ukuran (size), volatilitas pendapatan (eaernings volatility), utang jangka panjang (Long term debt), dan pertumbuhan asset (growth in assets). Hasil empiris dari penelitian ini menunjukkan hubungan negatif yang signifikan antara volatilitas harga saham dengan pengukuran utama kebijakan dividen yaitu rasio pembayaran dividen (dividend payout ratio). Selain itu, hubungan positif yang signifikan antara volatilitas harga saham dengan volatilitas pendapatan dan pertumbuhan asset juga ditemukan
Kata kunci: Dividend Policy, Share Price Volatility, Dividend Payout Ratio, Dividend Yield
Abstract -The purpose of this research was to examine the relationship between dividend policy and share price volatility with a focus on consumer product companies listed in Indonesian stock market. For this purpose, a sample of 11 companies that paying dividends for 5 years in a row were selected and the relationship between share price volatility with two main measurements of dividend policy, dividend yield and payout were examined by applying multiple regression for a period 5 years from 2010 to 2014. The primarily regression model was expanded by adding control variables including size, earning volatility, long term debt, and growth in assets. The empirical results of this study showed a s ignificant negative relationship between share price volatility with main measurements of dividend policy which dividend payout ratio. More over a significant positive relationship between share price volatility with earnings volatility and growth in assets are found.
Keywords: Dividend Policy, Share Price Volatility, Dividend Payout Ratio, Dividend Yield
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