PENGARUH KEBIJAKAN DIVIDEN TERHADAP HARGA SAHAM (Pengujian Empiris pada Perusahaan yang Terdaftar di Bursa Efek Indonesia)

The title of this research is “Influencing of Dividend Policy to The Stock Price (Empirical Test to The Companies that Listing in Indonesian Stock Exchange)”. The reason of this research because the different side of financial spesialit abaout problem of dividend policy that until now become debate (dividend puzzle). Except that, there arenÂ’t consistency result of research in the past that different (research gap). First cluster said that dividend donÂ’t influence to the companyÂ’s stock price, and the second cluster said that dividend influence companyÂ’s stock price. The purpose of this research to knowing directly influence dividend to the companyÂ’s stock price empirically on the companies that listing in the Indonesian Stock Exchange. The method of analysis that used is Distributed-Lag Regression. Long of optimum lag chosed in this research is use Alt and Timbergen Method (secuencial procedure), that is doing regression Y_t to X_t, then doing regression Y_t to X_t and X_(t-1), then doing regression Y_t to X_t, X_(t-1) and X_(t-2), and then continuously. This secuencial procedure is stop when regression coefficient from lag variable become not significant statisticaly or coefficient of independent variable least is one, changed value from positive to the negative or negative to the positive. The result of distributed-lag regression in this research found the long of optimum lag on the lag variable 3, that is Y = 3349,968 – 262,947〖 X〗_t + 150,546〖 X〗_(t-1) + 174,546〖 X〗_(t-2) + 150,352〖 X〗_(t-3). The value of determination coefficient (R^2) is 8,2% that having meaning is 91,8% of stock price is influenced by other factorÂ’s that not used in this research. The Simultaneously test (F test) found that dividend influence significanlly to the stockÂ’s price simultaneously (F_test [4,099] > F_table [2,4387]). The partial test (t test) found that dividend on the t-2 period influence significanlly to the stockÂ’s price, but dividend on the t period, t-1 period, and t-3 period donÂ’t influence significanlly to the stockÂ’s price. This hypothesis test tell that stockÂ’s price isnÂ’t only influenced by dividend on the one period, but periods before too (historical note). Actually this analysis found result that dividend policy influence significanlly to the stockÂ’s price. Except that, the result of regression found that dividend on the t-1 period, t-2 period, and t-3 period have positive influenced (same direction relathionship), that have meaning if dividend is increasing, so stockÂ’s price is increasing too. This result more dominant and close compatible to the Bird in The Hand Theory