Analisis Pengaruh Reaksi Pasar terhadap Return Saham pada saat Ex-Dividend Date (Studi Kasus pada Perusahaan yang terdaftar pada Indeks LQ45 pada Bursa Efek Indonesia tahun 2022-2024)

Abstract

This study aims to examine the impact of stock price, trading volume, dividend policy, and market capitalization on stock returns of companies listed in the LQ45 index on the Indonesia Stock Exchange during the 2022-2025 period. Employing a quantitative associative research design, the study utilizes audited financial statements obtained from the official Indonesia Stock Exchange website (www.idx.co.id). The research population consists of 45 companies, with a sample of 41 companies selected through purposive sampling method. With a three-year observation period, this yields 123 observations. Data analysis was conducted using SPSS software with multiple linear regression techniques. The findings indicate that stock price and dividend policy have a positive effect on stock returns, while trading volume and market capitalization show no significant influence. However, collectively, stock price, trading volume, dividend policy, and market capitalization demonstrate a simultaneous effect on stock returns.