PENGARUH PENGUMUMAN DIVIDEN TERHADAP RETURN SAHAM DI BURSA EFEK JAKARTA TAHUN 1995
Kery Soetjipto (Adv : Dr. Gudono, MBA), Dr. Gudono, MBA
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The objectives of this research are to observe the influence of the dividend announcement on stock return during the 1995, and also to observe wheather the Jakarta Stock Exchange could meet the qualification of semi-strong efficient market. The study is event study, which observed the stock return 5 days before, at the day and 5 days after the date of dividend announcement. In order to prevent noisy during the event period, the observation period would be extend 120 days before event window.
This research based on the secondary data collection from Jakarta Stock Exchange. The population of this research are 239 companies listed in Jakarta Stock Exchange, and samples selected are the most active amounting to 40 companies and announced the dividend in 1994 and 1995 as well. The used data were daily stock return and the daily market return; divided of the same companies announced in 1994 and 1995 were needed to determine dividend increase, dividend no-change and dividend decrease. The research model used in this study is market model of Brown and Warner (1985) which the individual stock return influenced by market return.
During the estimation period (120 days before the event period), the stock and market return were observed and by Ordinary Least Square (OLS) data of this study were tested.
The result of this research indicates that no impact of the dividend announcement on stock return during 1995 in Jakarta Stock Exchange neither dividend increase, dividend no-change, nor dividend decrease. Besides the above conclusions, this research concludes also that Jakarta Stock Exchange could not meet the qualification of semi-strong efficient market.
Kata Kunci : return saham, bursa efek jakarta
