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The Effect Of Dividend Policy On Islamic Share Price Volatility In Companies Listed On The Jakarta Islamic Index During 2020-2024 Period

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"Purpose:
This study examines the effect of dividend policy, profitability, and liquidity
on stock price volatility in companies listed on the Jakarta Islamic Index (JII) during
2020–2024. The sample consists of 12 firms selected through purposive sampling, with
data sourced from Stockbit and company annual reports. Variables include price
volatility as the dependent variable, and dividend yield (DY), dividend payout ratio
(DPR), return on equity (ROE), and quick ratio (QR) as independent variables.
Design/methodology/approach:
The analysis was conducted using panel data regression with the Pooled Least
Squares (PLS), Fixed Effect Model (FEM), and Random Effect Model (REM)
approaches in EViews software, accompanied by classical assumption testing and
model selection through the Chow, Hausman, and Lagrange Multiplier tests.
Finding:
Dividend yield significantly reduces stock price volatility, while dividend
payout ratio increases it. Profitability (ROE) and liquidity (QR) show no significant
effect. Collectively, the independent variables explain about 45% of volatility. The
findings indicate that sharia stock investors are more responsive to dividend policy,
reflecting both loyalty and speculative tendencies.
Balancing dividend policy is crucial to ensure stock stability while adhering to
Islamic principles of justice (adl), sustainability (istiqamah), and avoiding gharar and
maysir. Future studies may consider firm size, leverage, or macroeconomic factors for
broader insights.
Key Words: Price Volatility, Dividend Yield, Dividend Payout Ratio, Return on"

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Detail Information

Series Title

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Call Number

REF 332.6 AZM t

Publisher

Bogor : Universitas Islam Tazkia., 2025

Collation

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Language

English

ISBN/ISSN

NIM.2110101012

Classification

332.6

Content Type

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Media Type

-

Carrier Type

-

Edition

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Subject(s)

JAKARTA ISLAMIC INDEX
Price Volatility
Dividend Yield
Dividend Payout Ratio
Retrun On Equity
Quick Ratio
Fixed Effect Model

Specific Detail Info

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Statement of Responsibility

Maulida Nur Azmi

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