Abstract :
The objectives of this research are to observe the reaction of stock return
to dividend announcement event, and also to observe whether The Indonesia Stock
Exchange could meet the qualification of semi-strong efficient market. The study
is an event study, which observe the stock return 5 days before, at the day, and 5
days after the date of dividend announcement. Samples of this research are 9
increase dividend announcement, 3 constant dividend announcement, and 2
decrease dividend announcement for 2006, and 8 increase dividend
announcement, and 5 decrease dividend announcement for 2007. We use t-test to
test the hypothesis.
The result of this research indicates that there is no impact at all of higher,
constant or lower dividend announcement on abnormal return and average
abnormal return during 2006 and 2007 in Indonesia Stock Exchange. Besides the
above conclusion, this research also concludes that the Indonesia Stock Exchange
could not meet the qualification of semi-strong efficient market. Keywords: Dividend Announcement, Average Abnormal Return (AAR),