JUDUL SKRIPSI : ANALISIS PERBEDAAN RETURN DAN VOLUME PERDAGANGAN SAHAM SEPUTAR PENGUMUMAN DIVIDEN PADA SAHAM LQ-45 PERIODE 2008-2009

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SKRIPSI : ANALISIS PERBEDAAN RETURN DAN VOLUME PERDAGANGAN SAHAM SEPUTAR PENGUMUMAN DIVIDEN PADA SAHAM LQ-45 PERIODE 2008-2009 




DAFTAR ISI

HALAMAN JUDUL............................................................................................ ii
LEMBAR PERSETUJUAN............................................................................... iii
LEMBAR PENGESAHAN................................................................................ iv
SURAT PERNYATAAN.................................................................................... v
HALAMAN PERSEMBAHAN......................................................................... vi
MOTTO................................................................................................................ vii
KATA PENGANTAR....................................................................................... viii
DAFTAR ISI......................................................................................................... x
DAFTAR TABEL............................................................................................... xii
DAFTAR GAMBAR.......................................................................................... xiii
DAFTAR LAMPIRAN...................................................................................... xiv
ABSTRAK (3 BAHASA).................................................................................... xv

BAB I       :  PENDAHULUAN
1. 1. Latar Belakang........................................................................... 1
1. 2. Rumusan Masalah...................................................................... 6
1. 3. Tujuan Penelitian....................................................................... 6
1. 4. Batasan Penelitian...................................................................... 6
1. 5. Manfaat Penelitian..................................................................... 7

BAB II      : KAJIAN PUSTAKA
2. 1.   Hasil Penelitian Terdahulu........................................................ 8
2. 2.   Kajian Teoritis
2. 2. 1. Pasar Modal................................................................. 13
2. 2. 2. Event Study.................................................................. 15
2. 2. 3. Saham ......................................................................... 17
2. 2. 4. Efisiensi Pasar.............................................................. 19
2. 2. 5. Return ......................................................................... 21
2. 2. 6. Volume Perdagangan Saham....................................... 21
2. 2. 7. Dividen........................................................................ 21
2. 2. 8. Indeks Saham LQ-45................................................... 26
2. 2. 9. Kajian Teori Dalam Islam............................................ 27
2. 3. Kerangka Berfikir...................................................................... 38
2. 4. Hipotesis.................................................................................... 40

BAB III    :  METODE PENELITIAN
3. 1. Lokasi Penelitian dan Waktu Penelitian................................... 41
3. 2. Jenis dan Pendekatan Penelitian............................................... 41
3. 3. Populasi dan Sampel
3. 3. 1. Populasi........................................................................ 42
3. 3. 2. Sampel......................................................................... 45
3. 4. Teknik Pengambilan Sampel..................................................... 45
3. 5. Data dan Jenis Data.................................................................. 47
3. 6. Teknik Pengumpulan Data........................................................ 47
3. 7. Definisi Operasional Variabel................................................... 48
3. 8. Model Analisis Data................................................................. 49
3. 9. Pengujian Statistik.................................................................... 51

BAB IV    :  PEMBAHASAN HASIL PENELITIAN
4. 1. Paparan Data Hasil Penelitian................................................... 53
4. 1. 1.  Gambaran Umum Indeks LQ-45.................................. 53
4. 1. 2.  Pengumuman Dividen.................................................. 54
4. 1. 3.  Analisis Event Study.................................................... 55
4. 2. Deskripsi Hasil Penelitian......................................................... 68
4. 2. 1.  Pengujian Statistik dengan menggunakan paired
Sampel T-Test ............................................................. 68

BAB V      :  PENUTUP
5. 1. Kesimpulan............................................................................... 77
5. 2. Saran......................................................................................... 78

DAFTAR PUSTAKA......................................................................................... 79



DAFTAR TABEL

Tabel 2. 1   : Penelitian Terdahulu......................................................................... 10
Tabel 2. 2   : Persamaan dan Perbedaan Peneliti dengan Penelitian Terdahulu..... 12
Tabel 2. 3   : Jenis-jenis Transaksi Saham yang di haramkan dalam Islam............ 31
Tabel 2. 4  : Jenis-jenis Saham dalam Islam........................................................... 33
Tabel 3. 1   : Populasi Indeks Saham LQ-45 periode Feb 2008-Jan 2010............. 43
Tabel 3. 2   : Sampel Indeks Saham LQ-45 periode Feb 2008-Jan 2010............... 45
Tabel 3. 3   : Sampel Indeks Saham LQ-45 periode Feb 2008-Jan 2010............... 47
Tabel 3. 4   : Matriks Analisis................................................................................ 50
Tabel 4. 1   : Cum Dividend Date Saham LQ-45.................................................. 54
Tabel 4. 2   : Return Saham Individual Tahun 2008.............................................. 55
Tabel 4. 3   : Return Saham Individual Tahun 2009.............................................. 56
Tabel 4. 4   : Rata-rata Return Saham Individual Tahun 2008-2009..................... 57
Tabel 4. 5   : Rata-rata Return Seluruh Saham....................................................... 57
Tabel 4. 6   : Rata-rata Return Seluruh Saham tahun 2008-2009.......................... 58
Tabel 4. 7   : Volume Perdagangan Saham Individual Tahun 2008...................... 62
Tabel 4. 8   : Volume Perdagangan Saham Individual Tahun 2009...................... 63
Tabel 4. 9  : Rata-rata Volume Perdagangan Saham Individual Tahun 2008........ 64
Tabel 4. 10 : Rata-rata Volume Perdagangan Saham Individual Tahun 2009....... 64
Tabel 4. 11  : Rata-rata Volume Perdagangan Saham tahun 2008-2009............... 64
Tabel 4. 12  : Rata-rata Volume Perdagangan seluruh Saham tahun 2008-2009... 66
Tabel 4. 13  : Paired Sampel T Test rata-rata return 2008...................................... 68
Tabel 4. 14  : Paired Sampel T Test rata-rata return 2009...................................... 69
Tabel 4. 15  : Paired Sampel T Test rata-rata volume perdagangan 2008.............. 70
Tabel 4. 16  : Paired Sampel T Test rata-rata volume perdagangan 2009.............. 70







DAFTAR GAMBAR

Gambar 2. 1  : Kerangka Berpikir.......................................................................... 39
Gambar 4. 1  : Rata-rata Return Seluruh Saham tahun 2008-2009....................... 60
Gambar 4. 2  : Rata-rata Volume Perdagangan Seluruh Saham tahun
 2008-2009..................................................................................... 67































DAFTAR LAMPIRAN

Lampiran 1 : Daftar Perusahaan LQ-45 periode Februari 2008-Januari
2010………………………………………………….………..     81
Lampiran 2 : Laporan Dividen Perusahaan……………………………...…... 89
Lampiran 3 : Data Closing Price Dan Volume Perdagangan Saham…….......  97
Lampiran 4 : Input Data SPSS…………………………………………..........    102
Lampiran 5 : Output data SPSS………………………………………..……..    103
Lampiran 6 : Bukti Penelitian……………………………………………....... 107
Lampiran 7 : Bukti Konsultasi………………………………………...……... 108
Lampiran 8 : Biodata Peneliti…………………………………………........... 109




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