PENGARUH KEBIJAKAN DIVIDEN TERHADAP HARGA SAHAM MENURUT SIGNALLING THEORY PADA BUMN YANG TERDAFTAR DI BEI PERIODE 2009-2012

The purpose of this research is to determine the reaction of stock price to announcement of dividend in accordance to signaling theory in state-owned companies that have different ownership structures to private-owned companies. Dividend announcement can be classified in two circumstances, increasing dividend announcement and decreasing dividend announcement. This research uses method of purposive sampling. Data is obtained from state-owned companies that emit increasing cash dividend and decreasing cash dividend in period of 2009-2012 listed in Indonesia Stock Exchange. There are 17 companies which data is suited with research�s requirements, but only 15 companies with increasing dividend and decreasing dividend activity are chosen as research sample. Comparative research method is used by researcher by comparing two variables to determine the differences between two variables then concludes it. Researcher compares the stock prices 10 days prior to dividend announcement compared to 10 days after to find the existence of differences caused by dividend announcement. To analyze data and prove the signaling theory, researcgers uses SPSS v. 19.0 to test normality of data, paired sample t-test with alpha of 0,5% for normally distributed data, and Wilcoxon test for abnormally distributed data. Scientifically, existence of sample differences is determined through empirical result of the research. The result of this research shows that stock price of state-owned companies are not positively correlated to increasing dividend announcement from previous year, as explained by signaling theory. Stock price of state ownedcompanies are negatively correlated from signaling theory in the announcement of decreasing dividend. The main cause is the scale of ownership by the State that dominates. This caises State�s budget revenue in the case of decreasing dividend as occurred in 2010-2012. In other said, low dividend is good for state-owned companies due to profit following this circumstance and beneficial for company�s expansion. State-owned companies should not require themselves to announce dividend in large amount. From management perspective, the more profit is retained the better it is for company to expand its business. In other hand, investors are more likely to low dividend as shown in this research since it causes significant increase in stock price as in circumstance of decreasing dividend announcemen