THE INTRA-INDUSTRY EFFECT OF DIVIDEND ANNOUNCEMENT: THE CASE OF THREE CAPITAL MARKETS
Wilopo (Adv : Dr. Jogiyanto HM., MBA), Dr. Jogiyanto HM., MBA
Pengumuman yang disampaikan oleh suatu perusahaan publik, seperti pengumuman perubahan laba atau dividen atau restrukturisasi, tidak hanya menimbulkan reaksi atas saham perusahaan itu sendiri dalam bentuk return tidak normal, tetapi juga pada perusahaan lain dalam industri yang sejenis. Reaksi ini disebut transfer informasi.
Didasarkan pada ide transfer informasi dari penelitian Foster, 1981 dan Firth 1996, penulis melakukan penelitian atas perusahaan publik di Kuala Lumpur Stock Exchange, Singapore Stock Exchange serta Jakarta Stock Exchange. Perioda pengamatan dilakukan pada tahun 19993-1996.1- Penelitian ini mengguakan hipotesis alternatif bahwa pengumuman perubahan dividen yang disampaikan oleh suatu perusahaan publik mengakibatkan timbulnya return tidak normal bagi perusahaan itu sendiri dan perusahaan lain dalam industri yang sama.
Disamping itu hipotesis alternative lainnya adalah bahwa transfer informasi ini dipengaruhi oleh ketidakterdugaan dividen, tingkat perubahan dividen, korelasi antara return saham perusahaan pengumum dan perusahaan lain dalam industri yang sama, perbedaan saat pengumuman dividen antara perusahaan pengumum dan perusahaan lainnya serta besaran perusahaan.
Hasilnya menunjukan bahwa pada ketiga pasar modal tersebut pada saat suatu perusahaan mengumumkan kenaikan dividen maka para pemegang saham perusahaan pengumum memperoleh return tidak normal berkisar antara 0,01% sampai 2,19%, sedang pemegang saham perusahaan sejenis memperoleh return tidak normal berkisar antara 0,05% sampai 0,55%. Dan pada saat suatu perusahaan mengumumkan penurunan dividen maka pemegang saham perusahaan pengumum menderita return tidak normal negative berkisar - 0,20% sampai - 12,68% dan pemegang saham perusahaan sejenis menderita return tidak normal negatif berkisar - 0,06% sampai - 2,55%. Kecilnya return tidak normal ini dikarenakan kecilnya tingkat perubahan dividen, yaitu 0,52% sampai 1,65% untuk kenaikan dividen dan - 0,79% sampai - 2,64% untuk penurunan dividen. Faktor-faktor yang mempengaruhi adanya transfer informasi hanya dapat digambarkan di Kuala Lumpur Stock Exchange, yaitu ketidakterdugaan dividen, korelasi antara return saham perusahaan pengumum dan perusahaan lain yang sejenis serta besaran perusahaan.
Dikarenakan model penelitian untuk hipotesa ketiga ternyata tidak signifikan di Singapore Stock Exchange dan Jakarta Stock Exchange, maka penelitian ini tidak dapat menejelaskan faktor yang mempengaruhi transfer informasi di kedua pasar modal tersebut.
The dividend announcement, especially the one that represented the dividend amount change as compared with the previous period, formed a signal that would stimulate reactions from the stockholders in the form of the stock price changes. These stock price changes would generate abnormal returns to the stockholders. The magnitude of these abnormal returns indicated the magnitude of significant stock reaction toward the dividend changes and the amount of these abnormal returns were related positively with the degree of surprise of the dividend changes.
The announcement released by a particular company, whether' a change on earnings or dividend (as compared with the previous period) or a restructuring measure, might not only induce reactions on the stock of the company itself in the form of abnormal returns, but might also induce reactions (abnormal returns) to other companies within the same industry, that was commonly called the information transfer.
Based on the information transfer idea from the study of Foster, 1981, and Firth, 1996, this study was interested to perform a study on the information transfer intra industry. The sample used was the public companies listed in the Kuala Lumpur Stock Exchange, the Singapore Stock Exchange, and the Jakarta Stock Exchange that announced the dividend changes. The observation period was from 1993 - 1996.
This study used the alternative hypothesis that dividend announcement released by a particular company would result an abnormal return not only for its own stockholders, but for stockholders of other company within the same industry. The other hypothesis was that the information transfer was influenced by the unpredictability of dividend, the dividend changes per share of the other company in the same industry, the correlation between the stock return of the announcer companies and that of the other companies in the same industry, the difference in the dividend announcement timing between the announcer and the non-announcer companies and the company's size.
The results depicted that in the three Stock Exchanges when a company released an increasing dividend the stockholders of the announcer companies earned abnormal return and the magnitude was ranged from 0,01% to 2,19% in the observed period, and the ether companies's stockholders in the same industry earned abnormal return that ranged 0,05% to 0,55% And when one released an decreasing dividend the stockholders of announcer company experienced a negative abnormal return and the magnitude was ranged from - 0,20% to -12,68% and the stockholders of the other companies in the same industry experienced a negative abnormal return - 0,06% to - 2,64%. The small abnormal return was due to the small mean dividend change, i.e only ranged 0,52% to 1,65% for the increasing dividend and - 0,79% to - 2,55% for the decreasing dividend. The factors of information transfer were depicted in Kuala Lumpur Stock Exchange only, there were the dividend surprises, the correlation between the stock return of the announcer company and that of the other company in the same industry and, the company's size. Due to the model of the third hypothesis was not significant in the other Stock Exchanges, this study couldn't explain the factors of information transfer.
Kata Kunci : Pengumuman Dividen, Perusahaan Pengumum, Transfer informasi, dividend announcement, announcer company, information transfer
