Pengujian Efisiesni Pasar Bentuk Setengah Kuat Secara Keputusan: Analisis Pengumuman Dividen Meningkat

Doddy Setiawan (Universitas Sebelas Maret)
Jogiyanto Hartono (Universitas Gadjah Mada)

The Indonesian Journal of Accounting Research
Vol 6, No 2 (2003): JRAI May 2003

This research aims at examining the decisionally efficient market by analyzing dividend increase announcement at Jakarta Stock Exchange. The analysis includes three aspects: information content, speed of market reaction and accuracy of market reaction.The sample for this research is 132 firms during the period of 1992-1996. The analysis shows that on the announcement date market significantly gave positive reaction to dividend increase announcement. This reaction resulted in abnormal return of 0,3838%. This fact shows that the dividend increase announcement in Indonesia has an information content and market react quickly. To analyze the accuracy of market reaction, the sample is divided into 2 parts: growth and non-growth firms. The analysis then shows that market did not react significantly to growth firms and gave positive reaction to non-growth firms. Actually, market should give positive reaction to the growth firms only and negative reaction to the non-growth firms. Finally, the conclusion is that Jakarta Stock Exchange is not a decisionally efficient market.