摘要：Keywords: Ex-dividend date, stock prices, security return variability ABSTRACT This research’s aimed to determine whether there is the effect of dividend announcements on stock prices (SRV) companies in the financial sector before and after ex-dividend date in Indonesia Stock Exchange in 2009 and describes how the behavior of investors in response to that information at the Indonesian Stock Exchange (IDX ). Researchers the sample into two groups: group dividend rises and falls. It’s increasing dividend group consisting of nine listed companies and on dividends down the group consisting of 11 issuers. The study period consisted of 21 days consisting of 10 days before the ex-dividend date, a day when the ex-dividend date and 10 days after the ex-dividend date. The analytical method used is the Security Return Variability (SRV), while the statistics and hypothesis testing using a test of one sample T-test. This research’s concludes that announcements of dividend increases is not a positive influence on stock prices (SRV) in the before and after the ex-dividend date in Indonesia Stock Exchange (BEI). It is characterized by an average of security return variability is significant positive on day t-5. While the announcement of dividend reduction has positive influence on stock prices (SRV) before and after the ex-dividend date in Indonesia Stock Exchange (BEI). It is characterized by an average of security return variability is a significant negative on day t-3.
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