Dividend announcements and the size effect during the period of economic unrest :: The Case of Indonesian capital market

RONALDY, Edwin, Dr. Marwan Asri SW., MBA

2002 | Tesis | Magister Manajemen

-

Many studies abroad show that there are differential reactions from market participants due to dividend announcement in relation to size. The reactions for small firms are greater than those of large firms, called size effect. Some studies show that this is explained by the differential information. The larger the firms the more the information. Bajaj and Vijh (1990) explain that some of the information provided by the dividend announcemen: to investors in small firms is available to investors in large firms from other sources. From this explanation, the purpose of this study is to find whether or not there is size effect in Indonesian capital Market due to dividend announcements. The period used here is th.3 announcements from year 1998 to 2000 (during the economic unrest era), and the samples were taken from companies which are listed in the Jakarta Stock Exchange. The result of this study showed that there are no significant differences in Trading Volume Activities to small firms between pre-announcement date and after announcement date. In the other hand, there am significant differences in Trading Volume Activities for large firms. Furthermore, using Hest to analyze the excess returns (also called abnormal return) and trading volkime activities found that there are insufficient evidences to reject the Null hypothesis. It means even in the economic unrest the reactions due to dividend announcements are not different significantly in relation to size.

Kata Kunci : Pasar Modal Indonesia, Dividen