TECHNICAL DIVIDEND TRAP AND MARKET INSTABILITY: EMPIRICAL EVIDENCE FROM IDX HIGH DIVIDEND 20
Abstract
Introduction/Main Objectives: This paper examines the phenomenon of technical dividend traps and their influence on short-term stock return volatility, particularly in the context of Indonesia's IDX High Dividend 20 index. Dividend-based investing is often perceived as a safe and income-generating strategy; however, price behaviors around dividend events may lead to unexpected losses. This study focuses on evaluating how speculative investor behavior surrounding cum and ex-dividend dates can distort market stability. The topic is relevant given the growing popularity of dividend-focused strategies and limited attention to behavioral risks inherent in them. Background Problems: This study addresses the question: Does the Technical Dividend Trap Score (T-DTS) significantly affect post-ex-dividend stock return volatility in IDX High Dividend 20 companies? Novelty: The novelty of this paper lies in the development and empirical application of the Technical Dividend Trap Score (T-DTS)—a unique indicator originally formulated by the author to measure price-risk anomalies related to dividend events. Prior research has explored dividend policy and volatility separately, but little has been done to quantify dividend trap phenomena as a technical risk factor, especially in emerging markets. Research Methods: The study uses a quantitative explanatory research design with panel data from IDX High Dividend 20 stocks between 2020 and 2024. It employs OLS and panel regression models to examine the impact of T-DTS on return volatility, while controlling for dividend yield, payout ratio, and firm size. Data are sourced from official IDX filings and financial market databases. The main takeaway is that technical dividend traps are measurable and statistically significant predictors of short-term market instability.
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