SEMI-STRONG EFFICIENT MARKET HYPOTHESIS IN DIVIDEND ANNOUNCEMENTS AT INDONESIA STOCK EXCHANGE (IDX)

Abstract

This research examines the semi-strong form of the market efficiency hypothesis in the context of dividend announcements at Indonesia Stock Exchange (IDX), specifically good news in the form of dividend value increase over the previous year and bad news in the form of dividend value decrease. This research aimed to see how dividend announcements affect stock prices and how effective the market reaction is. The samples used in this study are the companies listed on the mainboard with a cash dividend payment policy once a year and consistently distribute dividends in a row in 2020 and 2021. The observation method used in this study is non-participatory. The return anomaly of up to 59 sample companies was used, with a 21-day observation period. One statistically significant event occurred when announcements were positive (dividend increased), and three statistically significant events occurred announcements were negative (dividend dropped), according to the data results processed by t-test. It demonstrates that the market is effective and supports the market efficiency hypothesis in its semi-strong form.