PENGARUH KEBIJAKAN DIVIDEN TERHADAP VOLATILITAS HARGA SAHAM PERUSAHAAN YANG TERCATAT DI INDEKS KOMPAS100 PERIODE 2008-2013
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Abstract
Intisari - Penelitian ini bertujuan untuk menguji pengaruh dividend yield, dividend payout ratio, earning volatility, dan growth terhadap volatilitas harga saham pada perusahaan yang terdaftar pada indeks KOMPAS100 periode 2008-2013. Variabel-variabel yang diuji ini adalah variabel-variabel yang dapat mempengaruhi volatilitas harga saham. Penelitian ini menggunakan pendekatan kuantitatif dengan model analisis regresi linier berganda. Penelitian ini menggunakan sampel berupa perusahaan/emiten yang terdaftar di indeks KOMPAS100 periode 2008-2013. Jumlah sampel yang digunakan dalam penelitian ini sebanyak 21 emiten dengan 21 poin observasi. Sampel yang digunakan dalam penelitian ini menggunakan asumsi parametrik dan non parametrik. Temuan penelitian menunjukkan bahwa dividend yield berpengaruh negatif signifikan terhadap volatilitas harga saham, dividend payout ratio berpengaruh positif tidak signifikan terhadap volatilitas harga saham, earning volatility berpengaruh positif tidak signifikan terhadap volatilitas harga saham, dan growth berpengaruh positif tidak signifikan terhadap volatilitas harga saham pada indeks KOMPAS100 periode 2008-2013.
Kata Kunci: volatilitas harga saham, dividend policy, signaling theory.
Abstract - This study aimed to examine the effect of dividend yield, dividend payout ratio, earnings volatility, and growth of the volatility of stock prices on companies listed on the index KOMPAS100 the period 2008-2013. The variables tested are the variables that can affect the stock price volatility. This study uses a quantitative approach with multiple linear regression analysis model. This study used a sample of companies / issuers listed in the index KOMPAS100 the period 2008-2013. The samples used in this study were 21 issuers with 21 points of observation. The sample used in this study using parametric and non-parametric assumptions. The study's findings indicate that the dividend yield significant negative effect on the stock price volatility, dividend payout ratio is not significant positive effect on the stock price volatility, earnings volatility is not significant positive effect on the stock price volatility, and growth is not significant positive effect on the stock price volatility on the index KOMPAS100 2008-2013.
Keywords: share price volatility, dividend policy, signaling theory.
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