PENGUJIAN EFISIENSI PASAR BENTUK SETENGAH KUAT TERHADAP PERISTIWA PENGUMUMAN DIVIDEN TUNAI MENURUN DI BEJ

N. Agus Sunarjanto, L. Adisastra

Abstract


The Objective of this study was to examine the market efficiency of Jakarta StockExchange (JSX). Analyses of stock price and IHSG were gathered from 14 companies listed atJSX period 20042005 which shared lower dividend. Market model with t- test was used totest the hypothesis. The result of this study revealed that there was a significant abnormalreturn in t +1. It meant that lower cash dividend had information content which was shownby the quick responds of market, so the Jakarta Stock Exchange categorized it as half strengthmarket

Keywords


abnormal return, event study, and efficient market

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DOI: https://doi.org/10.26905/jkdp.v12i1.871

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Jurnal Keuangan dan Perbankan (Journal of Finance and Banking)

Diploma Program of Banking and Finance, Faculty of Economics and Business, University of Merdeka Malang

Published by University of Merdeka Malang

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