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By announcing information about the issuer in the capital markets, is expected to get a response or reaction of investors to the issuer, because information from issuers usually a sign of quality and trustworthy. The information contained in financial statements can be regarded as a positive sign and also a negative sign. If the company announced the dividend to be increased then it is considered as a positive sign that investors will be interested in buying these shares will increased too and so their trading volume activity and also works in reverse. According Aharony and Swary (1980) who observed about whether the dividend announcement to provide more information beyond that contained of earnings announcements. From these observations it is known that it is declared remain, resulting in a relatively fixed return. While the increase in the dividend announcement provides positive returns and a decrease in dividend announcement provides negatives returns and significant. These results also support the hypothesis of capital market efficiency semi-strong form that in general the market conform to the latest information about the dividend reflected by its share price. In essence Aharony and Swary (1980) want to say that the information provided at the time of the dividend announcement is more significant than the earnings announcement.This study using Paired t - test. Conducted testing of the 206 companies listed on the Indonesia Stock Exchange in 2006 and has been meeting the criteria specified that used for determine whether there are differences in returns and trading volumes before and after the announcement of dividend and earnings announcements.The results of the analysis showed that there was significant to return and trading volume before and after the announcement of dividend and earnings announcements.Based on the results of the study it can be concluded that the dividend and earnings announcements made no distinction of returns and trading volumes.
ÂKeyword : Announcement Of Dividend, Announcement Of Earnings, Return, Volume Activity