INVESTOR REACTION TO DIVIDEND ANNOUNCEMENT DURING THE COVID-19 PANDEMIC

The research problem is the decline in JCI and dividends under negative sentiment of pandemic. This study aims to analyze how the Covid-19 pandemic affected investor responses to dividend announcements. With a population of 771 shares overall from all shares listed on the IDX in 2019–2020, this study employs the event study methodology. The sample based on purposive sampling criteria is 178, divided across 9 company sectors, with 64 dividends up, 90 dividends down, and 24 constant dividends. The study was conducted for 46 days so that there were 8,188 days of observation. Data analysis used parametric tests (paired sample t-test and one sample t-test) and nonparametric tests (Wilcoxon test and one sample Wilcoxon signed-rank test). The results of this study are: (1) The announcement of dividends responded positively, (2) Announcements of increasing dividends responded positively, (3) Announcements of constant dividends responded positively, (4) Announcements of decreased dividends responded negatively, (5) Only the agricultural sector, the consumer goods sector, and the trade, services, and investment sectors responded positively significantly. The agricultural sector showed the best performance. Investors should be more careful in responding to dividend announcements. Moreover, if dividends become the investment target, investors must prepare investment psychology and exit strategies. The agricultural sector showed the best performance. Investors should be more careful in responding to dividend announcements. Moreover, if dividends become the investment target, investors must prepare investment psychology and exit strategies. The agricultural sector showed the best performance. Investors should be more careful in responding to dividend announcements. Moreover, if dividends become the investment target, investors must prepare investment psychology and exit strategies.