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All Journal Indikator: Jurnal Ilmiah Manajemen & Bisnis
Ningrum, Mersa Lestari
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Decision Sciences, Operations Research & Management

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Semi-Strong Efficient Market Hypothesis in Dividend Announcements on the IDX Ningrum, Mersa Lestari; Risman, Asep
Indikator: Jurnal Ilmiah Manajemen dan Bisnis Vol 6, No 1 (2022)
Publisher : Universitas Mercu Buana

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22441/indikator.v6i1.14247

Abstract

This research examines the semi-strong form of the market efficiency hypothesis in the context of dividend announcements on the Indonesia Stock Exchange (IDX), specifically good news in the form of an increase in dividend value over the previous year and bad news in the form of a decrease in dividend value over the previous year. This research aimed to see how dividend announcements affect stock prices and how efficient 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 dividend announcements increased, and three statistically significant events occurred when dividend announcements dropped, according to the data processing results by t-test. It demonstrates that the market is efficient and supports the market efficiency hypothesis in its semi-strong form.
Performance Analysis of Protected Fund and Equity Fund Using Sharpe, Treynor, Jensen Ningrum, Mersa Lestari; Risman, Asep
Indikator: Jurnal Ilmiah Manajemen dan Bisnis Vol 6, No 1 (2022)
Publisher : Universitas Mercu Buana

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22441/indikator.v6i1.15228

Abstract

This study was conducted to determine the mutual funds' performance of capital-protected and equity funds from February 2021 to August 2021. Return, risk, Sharpe index, Treynor index, and Jensen index are all used to evaluate mutual fund performance. Sample data consisted of 462 capital-protected fund products and 273 equity fund products. The performance of equities funds outperforms that of capital-protected funds, according to the average Sharpe index. The Treynor index showed that capital-protected funds outperformed the market. The Jensen index shows that capital-protected funds outperform equity funds. In March, April, and May, capital-protected funds outperform the market (JCI), whereas equities funds outperform in April and August. In April, capital-protected funds outpaced risk-free investments, whereas equity funds outperformed in February, July, and August. The Independent T-Test is the statistical approach used to test the hypothesis. The findings revealed no substantial differences between capital-protected funds and equity funds, allowing investors to invest in one or both.
Co-Authors Risman, Asep