KEBIJAKAN DIVIDEN DAN VOLATILITAS HARGA SAHAM DI BURSA EFEK INDONESIA

Abstract

This studyobjectiveistoexplorethe impact of dividendpolicy(that are dividendpayout ratioanddividendyield) on the investment risks reflected by thestock price volatilityforthe Indonesia capitalmarket (IDX). Following tothestudyofBaskin(1989),the multiple leastsquaresregressionmodelisused inthispaper. Also, following Baskin (1989), other four independent variables namely firm size, asset growth, leverage and earnings volatility added to the model. The sample of data is comprisedof64public firms in the Kompas100 Index for 5 consecutive yearsfrom 2012 to 2016 of whicharelistedonthe Indonesia Stock Exchange (IDX).Theresultsindicatethatthedividendyield andthe dividend payout ratio do not have significant influence to the stock pricevolatility  In addition, firm size isnegatively relatedtothestockpricevolatility andithasastatistically significantrelationship. The result also indicate earnings volatility positively  has influence to the stock price volatility. But, as for leverage and asset growth the results are not statistically significant. As for a conclusion, the dividend policy of the firms listed in Indonesia Stock Exchange (IDX) is not effective to influencethestocks’risksoraffect investors’investment decisions. It seems that that firms needs a more stable and consistent dividend policy to effectively influence the stock price volatility in  Indonesia Stock Exchange (IDX).