PENGUJIAN EFISIENSI PASAR MODAL INDONESIA BENTUK SETENGAH KUAT DI BURSA EFEK INDONESIA

YUNIARTI, SYIFA (2020) PENGUJIAN EFISIENSI PASAR MODAL INDONESIA BENTUK SETENGAH KUAT DI BURSA EFEK INDONESIA. S1 thesis, Universitas Mercu Buana.

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Abstract

This research aims to test the market efficiency in a form of a strong half decision on the dividend announcements on the Indonesia Stock Exchange. Tests carried out include testing information content, testing the speed of market reactions and testing the accuracy of market reactions. This type of research is an event study. The research population is companies that are listed in the Kompas100 Index and announce dividends for 2017. The sample selection uses a purposive sampling method and there are 60 companies that meet the criteria. This study uses the one sample t-test to test the hypothesis and market adjusted model to calculate the abnormal return. The results of this research indicate that there is information content from dividend announcements. There is a significant abnormal return on the fourth day after declaration date (H + 4) with a value of t count of -4,403 and a significance value of 0,000. The results of testing the speed of market reaction indicate that investors react slowly and prolonged to dividend announcements. Testing the accuracy of market reactions does not need to be done because referring to the results of testing the speed of market reaction has shown that the market is inefficient. Based on the results of the above test, it can be concluded that the Indonesia Stock Exchange has not been efficient in a half strong form of decision regarding the announcement of dividends. Keywords: market efficiency, semi-strong form efficiency, dividend announcement, abnormal return Penelitian ini bertujuan untuk menguji efisiensi pasar bentuk setengah kuat secara keputusan terhadap pengumuman dividen di Bursa Efek Indonesia. Pengujian yang dilakukan mencakup pengujian kandungan informasi, pengujian kecepatan reaksi pasar dan pengujian ketepatan reaksi pasar. Jenis penelitian ini adalah event study. Populasi penelitian adalah perusahaan yang terdaftar dalam Indeks Kompas100 dan mengumumkan dividen periode 2017. Pemilihan sampel menggunakan metode purposive sampling dan terdapat 60 perusahaan yang memenuhi kriteria. Penelitian ini menggunakan uji one sample t-test untuk menguji hipotesis dan market adjusted model untuk menghitung abnormal return. Hasil penelitian menunjukkan adanya kandungan informasi dari pengumuman dividen. Terdapat abnormal return yang signifikan pada hari keempat setelah declaration date (H+4) dengan nilai thitung sebesar -4,403 dan nilai signifikansi sebesar 0,000. Hasil pengujian kecepatan reaksi pasar menunjukkan bahwa investor bereaksi lambat dan berkepanjangan terhadap pengumuman dividen. Pengujian ketepatan reaksi pasar tidak perlu dilakukan karena merujuk pada hasil pengujian kecepatan reaksi pasar telah menunjukkan bahwa pasar sudah tidak efisien. Berdasarkan hasil pengujian di atas, dapat disimpulkan bahwa Bursa Efek Indonesia belum efisien bentuk setengah kuat secara keputusan terhadap pengumuman dividen. Kata kunci: efisiensi pasar, semi-strong form efficiency, pengumuman dividen, abnormal return

Item Type: Thesis (S1)
Call Number CD: FE/MJ. 20 102
NIM/NIDN Creators: 43114120065
Uncontrolled Keywords: efisiensi pasar, semi-strong form efficiency, pengumuman dividen, abnormal return
Subjects: 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.7 Accounting for Specific Phases of Business Activity/Akuntansi Khusus yang Berkaitan dengan Bidang Bisnis
Divisions: Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 25 Feb 2022 06:59
Last Modified: 08 Mar 2022 01:51
URI: http://repository.mercubuana.ac.id/id/eprint/56839

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