The Impact of Bank Restructuring Announcement on the Banking Stock Prices (Susiyanto)
The Impact of Bank Restructuring Announcement on the Banking Stock Prices:
The Cases of Indonesia's Banking Reforms on March 13, 1999, and The Issuance
of Government Bonds on May 28, 1999 (M. Fendi Susiyanto): 37—61

THE IMPACT OF BANK RESTRUCTURING
ANNOUNCEMENT
ON THE BANKING STOCK PRICES
The Cases of Indonesia’s Banking Reforms
on March 13, 1999, and The Issuance of Government
Bonds on May 28, 1999
Muhammad Fendi Susiyanto
This study is an event study that aims to investigate how successful the
banking reforms measures that has already been done by the Indonesian
government in order to strengthen its banking system. There were two
events to be investigated in this study, first (1) The banking reforms
announcement on March 13, 1999 which consists of the closure of 38
private banks, the taken-over of 7 private banks, 9 private banks will be
recapitalized, and let 73 private banks to continue their operation without
joining the recapitalization program; second (2) on May 28, 1999 Minister
of Finance issued government bonds amounted to Rp 103,831 trillion to
complete the private banks’ recapitalization, and also issued the other
government bonds to repay the obligations of frozen commercial banks’
and rural banks’ regarding its liquidity support, to Bank Indonesia amounted
to Rp 53,779 trillion.
These two events above, are expected to be good news or favorable
information for investors on the Jakarta Stock Exchange (JSX), and should
be responded positively by investors which indicates significantly increases on banking stocks after the event dates.
Thirteen samples of banking stocks which were listed on the Jakarta
Stock Exchange (JSX) at the beginning of 1997 were used to investigate the
reaction of banking stocks around the dates of these two events. By using
the paired-samples mean difference test, we did not find significant dif37

Gadjah Mada International Journal of Business, Vol. 1, No. 2, September 1999: 37—61

ferences between abnormal returns before and after the event dates.
Furthermore, the cumulative abnormal return of banking stocks around the
banking reforms announcement on March 13, 1999 and the issuance of
government bonds announcement on May 28, 1999 were decreasing
gradually until it reached the negative area. Trading Volume Activity
(TVA) test, on the banking stock volume around the banking reforms
announcement on March 13, 1999 has found that TVA of banking stocks
after the event date was significantly greater than TVA of banking stocks
before the event date. The result was not found on the issuance of
government bonds event.
In general, from these results, it can be concluded that the banking
reforms measures done by the government was not successfully implemented from the market’s point of view.
The abnormal return tests have been conducted, yet it is still found a
significant abnormal return around both the banking reforms announcement on March 13, 1999 and the issuance of government bonds announcement on May 28, 1999. These findings did not support the semi-strong
efficiency of the Jakarta Stock Exchange (JSX).
Keywords: banking reforms; government bonds; Jakarta Stock Exchange (JSX); nonperforming
loan (NPL); recapitalization program

Introduction
The currency crisis of Thailand’s Baht
that happened in the beginning of 1997,
slowly but surely has impact on other Asian
Countries’ currency, through the contagion effect. The crisis has deteriorated the
real sector and later on injured the economic growth and even brought the Asian
economic towards negative growth (contraction). The prolong crisis, has finally
destroyed the banking sectors in Thailand,
South Korea, Malaysia, and Indonesia. The
emerging of Asian banking problems, indicated by substantial increase of NonPerforming Loans, was caused by the inability of real sectors to comply with its
obligations to banks when maturity. On the
other hand, banking sectors experienced
negative spread as an impact of tight money
policy conducted by the government to
drive up the currency appreciation.
Other problems faced by the banking
sectors was a foreign liquidity problem.
38

The average maturity of foreign debt by
banking sectors was very short, and the
depreciation of Asian countries has
worsened the situation because foreign
debt had become huge amounts.
Those dominant factors above, has
been eroding the capital of banking sectors, and has brought the banking sector to
an insolvent condition.
The serious problem faced by the
banking system in the Asian region has
forced the banking authorities to
strengthen the banking system through
banking restructuring programs, including financial restructuring and operations
restructuring.
In the implementation of banking restructuring programs, each Asian countries used different approaches, depending
on the characteristics and the depth of the
problem faced by its banking sector. In
Indonesia’s case, to strengthen its banking
sector, several measures has been taken, as
in Figure 1.

The Impact of Bank Restructuring Announcement on the Banking Stock Prices (Susiyanto)

Figure 1. Non-performing Loans in Asia: 1998 (Percent of total loans)
Indonesia

50-70%*

China

25-40%*

Tahiland

35%**

Korea

25-30%*
20-25%*

Malaysia
Philippines

15-20%*

India

17%***

Japan

15%**

Singapore

10%****

Taiwan

5-10%*

Hong Kong

6%****

Notes:
*) Range of estimate from various sources, actual amounts not publicly available.
**) Actual at June 1998
***) Actual at December 1997
****) Actual at December 1998
Sources: Banking in Asia: The End of Entitlement, John Wiley & Son, 1999.
All national banks were classified
into three categories based on the level of
their CAR, which are categories A, B, and
C.
a. A national bank is included into category A, if Capital Adequacy Ratio
(CAR) equals to or is greater than 4
percent.
b. A national bank is included into category B, if CAR lies between minus 25
percent and is less than 4 percent, and
c. A national bank is included into category C, if CAR is less than minus 25
percent.
These Bank’s classification has been
done through due diligence was performed
by an international auditor agreed by the
International Monetary Fund (IMF), the
World Bank, and the Asian Development
Bank (ADB).

1. Furthermore, as a concrete action, in
line with the banking restructuring efforts, and after considering many aspects (i.e. fit and proper test, prospect in
the future), on March 31, 1999 Bank
Indonesia on behalf of the Government
announced a banking reform which
consisted of 38 private banks closure,
the taking-over of 7 private banks, 9
private banks will be recapitalized, and
let 73 private banks to continue their
operations without joining the recapitalization program. The nine private
banks that were decided to be recapitalized, first must provide 20 percent of
recapitalization funds needed or more,
and then the government will provide
up to 80 percent of the recapitalization
fund needed.
39

Gadjah Mada International Journal of Business, Vol. 1, No. 2, September 1999: 37—61

Table 1. The Characteristics of Government Bonds for Recapitalization of Banks
and Guarantees Program
Bonds

Coupon Rate

Coupon
Payment

Maturity

Objective

Variable rate bond 3-months SBI rate Every 3 months Up to 15 To cover banks’
years
negative equity
to reach CAR
0%
Fixed rate bond

12% and 14%

Index linked bond Index + 3%

2. To complete the recapitalization program of 8 private banks (Bank Niaga
was excluded from the list of recapitalized banks, following the government’s
decision to take-over Bank Niaga on
April 23, 1999) on May 28, 1999, the
Minister of Finance issued government
bonds amounting up to Rp 103.831
trillion, and also issued other government bonds to pay obligations of frozen
commercial banks and rural banks regarding liquidity support to Bank Indonesia amounting up to Rp 53.779 trillion.
The issuance of the government bonds
consists of three types as follows: fixedrate bond, variable-rate, and index-linked
bonds. The characteristics of these three
types of bonds can be seen on Table 1.

Research Problem
The above two strategic measures
that have been implemented by the gov40

Every 6 months Up to 15 To increase
years
CAR of banks
from 0% to 4%
Every 6 months Up to 20 To cover governyears
ment obligations
to Bank Indonesia, caused by
guarantee program
ernment, is expected to strengthen the banking sector, return the surviving banks to its
profitability, and sustainable growth, and
at last to support and accelerate the process of Indonesian recovery. Regarding
these strategic measures, there is a question to be concerned. How successful is
the implementation of banking reforms in
Indonesia, so far?

Objective of the Study
Based on the question above, we are
interested to study how successful the
implementation of banking reforms held
by the government both on March 13,
1999 and May 28, 1999 through investigation of banking stocks performance on the
Jakarta Stock Exchange (JSX) around these
two events, respectively. By conducting
this study, we expect to find a strong
positive effect after the announcement of
these two events. Furthermore, by using
event study we will also test semistrong
market efficiency.

The Impact of Bank Restructuring Announcement on the Banking Stock Prices (Susiyanto)

Developing Research
Hypothesis
1. In accordance with the research objective, we investigate the impact of banking reforms measures which has been
done by the government on March 13,
1999 and May 28, on the banking stock
prices.
● Significantly, average abnormal returns of banking stocks after the announcement of banking reforms on
March 13, 1999 is greater than before the announcement.
● Significantly, average abnormal returns of banking stocks after the announcement of Issuance of Government Bonds on May 28, 1999 is
greater than before the announcement.
● Significantly, average Trading Volume Activity of banking stocks after
the announcement of banking reforms on March 13, 1999 is greater
than before the announcement.
● Significantly, average Trading Volume Activity of banking stocks after
the announcement of Issuance of
Government Bonds on May 28, 1999
is greater than before the announcement.
2. We investigate the absorption speed of
banking stocks response to the incoming of banking reforms announcement
which consists of banks closure, banks
that will be recapitalized, and taken
over banks. Furthermore, we also test
the semi-strong efficiency of the Jakarta
Stock Exchange
● Significantly, there is no abnormal
return of banking stocks around the
announcement of banking reforms
on March 13, 1999.
● Significantly, there is no abnormal
return of banking stocks around the

announcement of government bond
issuance on May 28, 1999

Indonesian Banking Crisis
Experience
In the beginning of the crisis Indonesia had 237 banks, consisting of 7 stateowned banks, 160 private national banks,
27 regional government banks, and 43
foreign banks and joint banks. And then,
in March 1999 the number of Indonesian
banks, has fallen by 67 banks to only 170
banks. Sixteen private national banks have
been closed in November 1997, 7 private
national banks have been suspended in
April 1998, 6 private national banks that
have already been taken over by IBRA in
April 1998 were declared insolvent, and
38 private national banks closed on March
13, 1999.
The Indonesian banking sector has
been suffering from substantial non-performing loans overhang and negative
spread. As the implications of this condition, the total equity of banking sector had
plunged dramatically by 690.75 percent
from Rp 41.398 trillion in June 1997 to Rp
–244.554 trillion in March 1999.
In order to return and strengthen the
banking system, the Indonesian Government was forced to conduct the banking
restructuring program. The Indonesian
authorities approach to restructure banks
and dispose of NPL is similar to Thailand’s.
At the end of June 1997, Bank Indonesia
estimated bad loans to account for 13.4
percent of the total loans of the seven state
banks, but the ratio rose to about 45 percent in February 1999. Total banking sector NPLs had risen from 10 percent in
1997 to 25 percent in March 1998 and 82.9
percent in May 1999, and the number is
expected to be between 75 percent and 85
percent at the end of 1999.
41

Gadjah Mada International Journal of Business, Vol. 1, No. 2, September 1999: 37—61

In January 1998, the government set
up the Indonesian Bank Restructuring
Agency (IBRA) to seek solutions for financially troubled banks and to manage
the assets of restructured banks. In April
1998 the Asset Management Unit (AMU)
as a subsidiary of IBRA took over its asset
management function. The AMU is responsible for managing and selling off
bank asset in order to repay the
government’s massive liquidity injection
to the banks. By the end of June 1999, the
total asset value at IBRA amounted to
about Rp 576.4 trillion (US$ 1 = Rp 6,726)
consisting of Rp 230 trillion made up of
NPLs from the closed or taken-over banks.
IBRA transferred Rp 180 trillion to AMU.
In August 1998, the government announced measures to support bank restructuring to rebuild the banking system
through: recapitalization program, improving banking regulations and laws, and
enforcing prudential regulations.

Event Identification
There are two events used in this
study, first, banking reforms announcement on March 13, 1999, and second issuance of government bonds on May 28,
1999.

1. Banking Reforms Announcement
on March 13, 1999
On March 13, 1999, Bank Indonesia
on behalf of the Indonesian government
announced a banking reform which consists of 38 private banks closure, the
taking-over of 7 private banks, 9 private
banks will be recapitalized, and let 73
private banks to continue their operation
without joining the recapitalization program. The banking reforms above carriedout by the government to strengthen the
42

Indonesian banking system, is expected to
create a solid and competitive banking
system in the future. From the market’s
point of view, this event could be a positive signal or favorable event for the market and in turn could increase the banking
stock prices.

2. Issuance of Government Bonds
Announcement on May 28, 1999
On May 28, 1999, the Minister of
Finance issued government bonds amounting up to Rp 103.831 trillion to complete
private banks’ recapitalization, and also
issued other government bonds to pay
obligations of frozen commercial banks’
and rural banks’ regarding liquidity support to Bank Indonesia amounting up to
Rp 53.779 trillion. The issuance of the
government bonds consists of three types
as follows: fixed-rate bond, variable-rate
bonds and index-linked bonds.
From the issuance of government
bonds, it is expected to overcome the insolvency of private banks, especially the
recapitalized banks. After injection of funds
in the form of government bonds, the
banks will have cash inflow from coupon
bond payments, the banks will comply
with the minimum Capital Adequacy Ratio of 4 percent, and the banks will running
their business in a normal condition.
This event could be good news or a
favorable event for the market, so it is
expected to increase the banking stock
prices.
The main criteria in selecting the
events to be investigated were the biggest
banking reform taken by Indonesia, in
order to strengthen and improve the banking system. This event has also been published in numerous media (daily, weekly,
monthly magazines, television, radio and
etc.). For the limitation of the study, we

The Impact of Bank Restructuring Announcement on the Banking Stock Prices (Susiyanto)

assumed that the other events along the
event periods did not significantly impact
the market movement.
In order to have a comprehensive
view of the market reaction to the two
events, we also test trading volume activity of banking stocks around these two
events.
The time horizon used in this study is
daily data of banking stocks from January
1997 to June 1999, which consists of estimation period and the event period. The
estimation period from January 1997 to
January 1999 is used to estimate the expected returns of each banking stock, using Market Model or Single Index Model
(SIM). The event period is 31 days, consisting of 15 days before the event date and
15 days after the event date (from t-15 to
t+15). The event of banking reforms announced on Saturday, March 13, 1999 (not
a trading day) so for research purposes, we
assumed March 15, 1999 as the event date.

Literature Study
The research related to the capital
market behavior by using event study, was
closely related to the test of the capital
market efficiency, and has been conducted
by numerous researchers in U.S. markets.
The research findings in general have
shown that the market reacted to the particular events. The research was first introduced by Famma et al. (1969) when they
observed how quickly and correctly the
market reacted to the announcement of
stock splits by using the single-equation
market model approach.
Pettit (1972), aims to get some additional evidence regarding the validity of
capital market efficiency. He also investigated how quickly and correctly the market reacted to the announcement of dividend payments. The result of his study

showed the existence of market’s anticipation that was possibly caused by investors who had already had access to information before the announcement.
Joy, Litzenberger, and McEnally
(1977) examined firms that experienced
unanticipated changes in quarterly earnings using three categories based on how
actual earnings deviated from expectations: any deviation from expectations, a
deviations of plus minus 20 percent, and a
deviation of at least 40 percent. These
results suggest that favorable information
contained in quarterly earnings reports is
not instantaneously reflected into stock
prices and that a significant relationship
exists between the size of the unexpected
earnings performance and the post-announcement stock price change.
Patell and Wofson (1984), observed
the impact of earning announcement and
dividend announcement to the behavior of
stock market prices. Their findings supported that there was a positive market
returns against the earning and dividend
announcements. The impact of earning
announcement was seen as stronger than
dividend announcement.
Asri (1996), investigated U.S. Multinationals’ Stock Price Reaction to Host
Country’s Governmental Change of Prime
Minister Takeshita’s resignation. His results concluded that after the announcement date, a significant negative abnormal
returns was still obtained starting from the
second day to the tenth day after the event
date.
Numerous researchers have also performed the study in Indonesia’s Capital
Market related to the reactions of stock
prices on particular events. Suad Husnan
investigated the efficiency level of the
Jakarta Stock Exchange (JSX) by using
observation periods between 1983-1986,
the results concluded that JSX has not
been efficient in the semi-strong form.
43

Gadjah Mada International Journal of Business, Vol. 1, No. 2, September 1999: 37—61

Christina Rusiti (1990), using investigation periods of 1986-1989, investigated the efficiency level of the Jakarta
Stocks Exchange (JSX), and her results
concluded that JSX has already been efficient in the semi-strong form.
Sartono and Yarmanto (1996), by
using Damodaran model for the periods of
January 1992-Desember 1994, documented that JSX has not been efficient in
the weak-form efficiency, and tend to overreact.
Namusisi (1996), using investigation
periods of 1993-1995, to test the efficiency of JSX by using event stock listing.
Her findings supported the semi-strong
efficiency of JSX.
Susiyanto (1997) investigated the
efficiency level of JSX by using three
categories of dividend announcement: dividend decrease announcement, dividendunchanged announcement, and dividend
increase announcement. His results supported the semi-strong efficiency of JSX
by using investigation periods of 19941996.
Asri S. W. and Setiawan (1998) investigated the stock price reaction to a
domestic political event “The attack of the
Indonesian Democratic Party’s office on
July 27, 1996”. Their results show that
market was sensitive to the relevant information including political information.

Efficient Capital Market
Hypothesis
Efficient capital market hypothesis
stated that the capital market is said to be
efficient if all available and relevant information is reflected in its stock prices, so
there is no room for investors to earn
abnormal returns, consistently.
There are three types of Capital Market Efficient Hypothesis that was performed by Famma (1970), namely (1)
44

weak-form efficient market hypothesis, (2)
semistrong-form efficient market hypothesis, and (3) strong-form efficient market
hypothesis.
Weak-form efficient market hypothesis happens if historical stock prices has
already been reflected into its current stock
prices quickly and accurately. As a consequence, if a capital market has already
been efficient in the weak-form efficiency,
investors cannot earn abnormal returns,
consistency by analyzing historical stock
price data.
Capital market is said to be efficient
in the semi-strong form efficiency if all
available and relevant information has already been reflected into its current stock
prices. If capital market semi-strong efficiency is correct, investors cannot earn
abnormal returns consistency by analyzing all relevant published information.
Strong form efficiency of the capital
market will happen if all published and
unpublished information (private information) has already been reflected accurately and quickly into its current stock
prices. If capital market strong form efficiency is correct, investors cannot earn
abnormal return consistently by analyzing
both published and unpublished information.

Population, Sample Selection
and Methodology
Population is defined as a set of objects, which have the same characteristic.
Population in this study is all of the banking stocks that were listed on the Jakarta
Stock Exchange (JSX) at the beginning of
1997.
Sample is defined as a part or all of
the population, which are taken from the
population by using certain methods, as a
representative part of the population.

The Impact of Bank Restructuring Announcement on the Banking Stock Prices (Susiyanto)

Table 2. The Banking Stocks included in the Sample
No.

Bank

Stock
Code

Number of Listed Shares*

1

Bank Negara Indonesia Tbk.

BBNI

4.340.128.000

2

Bank Danamon

BDMN

217.280.000.000

3

Bank Palapa Tbk

BDTA

920.030.171

4

Bank Niaga Tbk

BNGA

718.539.351

5

Bank International Indonesia

BNII

65.982.719.871

6

Bank Bali Tbk

BNLI

672.005.833

7

Bank Tiara Asia

BNTA

42.840.000.000

8

Bank Inter-Pacific Tbk

INPC

43.750.000

9

Bank Lippo Tbk

LPBN

4.521.527.860

10

Bank NISP Tbk

NISP

549.221.865

11

Bank PDFCI

PDFC

22.687.000.000

12

Bank Pan Indonesia Tbk

PNBN

1.604.812.330

13

Bank Tamara Tbk

TMBN

315.831.680

Note:
*) Number of listed shares as of April 1999
The sample data used in this study
comprises of the daily banking stock prices
of 15 banking stocks traded on the JSX as
a proxy for banking sectors, during the
period of January 1997 to June 1999. To be
included in the sample, the banking stocks
were required to meet the following conditions:
1. The banking stock was listed on the
JSX at the beginning of 1997,
2. The banking stock had to be actively
traded on the JSX during the period of
January 1997 to June 1999. A banking
stock was considered an active or liquid
stock if trading frequency did not fall
bellow 75 times in a 3-month period
(Based on Circular Letter PT. BEJ No.
SE-03/BEJ II./1/94)

3. Data during the period of January 1997
to June 1999 were complete.
After considering the sample criteria,
there were 13 banking stocks to be included in the sample (Table 2)
The daily banking stock returns of
each banking stock in the sample were
continuously compounded returns, computed as the difference between the natural
logarithms of two consecutive daily closing prices, after being adjusted for corporate actions: i.e. dividend payment, stock
split, right issue, and so forth:
Ri,t = ln(Pi,t/Pi,t-1)

45

Gadjah Mada International Journal of Business, Vol. 1, No. 2, September 1999: 37—61

Ri,t = a return of banking stock i at period
t
Pi,t = a banking stock price at period t
Pi,t-1 = a banking stock price at period t-1
Compute daily market returns of each
period around the announcement day, as
follows:
Rmi,t = ln(IHSGi,t/IHSGi,t-1)
= daily market return at period t
= Jakarta Composite Index at

where n is number of observation
E(Rit) = ai + biE(Rm,t)
For each banking stock in the sample,
abnormal return (Ui,t) calculated as the
difference between actual banking stock
returns and the equilibrium expected rate
of returns are as follows:
Ui,t = Ri,t – E(Ri,t)
Average Abnormal Return (AAR) of
banking stocks is calculated by using the
formula:

period t
n

SAR

= Jakarta Composite Index at
AARt =

period t-1
For estimating the equilibrium expected rate of return on banking stocks, the
Single Index Model (SIM) or the ordinary
least square (OLS) market model; were
used which estimated period from January
1997 to January 1999 (2 years), as follows:

Where,
n

n

S

SR SE(R )

bi =

t=1

n
m,t

t=1

t=1

n

n

S

n R2m,t t=1

2

(SR )

and
n

SE(R ) - b SR
ai =

46

t=1

i,t

i t=1

n

AARt = average abnormal return for period t
ARi,t = abnormal return of banking stock
i at period t
n
= number of observation.

i,t

p

CAARp =

SAAR
t=1

t

m,t

t=1

n

n

Calculate Cumulative Average Abnormal Return (CAAR). CAAR is used to
measure the impact of cumulative abnormal return on the behavior of observed
banking stocks.

Ri,t = ai + bi(Rm,t) + ei,t

n Rm,tE(Ri,t) -

i,t

i=1

m,t

CAARp = cumulative average abnormal
return of observed banking
stocks
AARt = average abnormal return for period t
p
= number of observed periods.

The Impact of Bank Restructuring Announcement on the Banking Stock Prices (Susiyanto)

Compute the difference between
Cumulative Average Abnormal Return
(CAAR) before the announcement day and
after the announcement day for each paired
sample as follows:
di = CAARi, After - CAARi, Before
i = 1,2,3,...,n
n = number of pared samples.
Calculate average difference between
CAAR before and after the announcement
day by using the formula:
n
i=1

i

i=1

i, After

n

S=

2

i=1

(n - 1)

Formulate a hypothesis test for two
means difference as follow:
Ho = Significantly, average CAAR
(ACAAR) of banking sector before
and after the announcement day is
the same.
H1 = Significantly, average CAAR
(ACAAR) of banking sector before
and after the announcement day is
not the same.
Determine the significant level =0.05.
Calculate statistic test
formula:

Reject H0 if –t(a/2; n-1) < -tstatistic
Accept H0 -tstatistic < –t(a/2; n-1)

n

S(d - d)

using the

S

where d is the average difference between
CAAR before and after the announcement
day, S is the standard deviation of difference between CAAR samples before and
after the announcement day, and n is the
number of paired samples.
Determine the criteria for one-tail
test as follow:

- CAARi, Before)

Calculate standard deviation of the difference between CAAR before and after the
announcement day as follow:

d
n

n

S d S(CAAR
d=

th =

Abnormal Return Test
The semi-strong form efficiency goes
on to hypothesize that current market prices
reflect past price movements plus all other
publicly available information. Therefore,
if semi-strong form efficiency holds in the
stock market, investors cannot earn abnormal returns by analyzing published information, i.e. banking reforms announcement on March 13, 1999 or issuance of
government bonds on May 28, 1999. The
testing of semi-strong-form efficiency used
market model or Single Index Model (SIM)
to observe the significance of abnormal
returns by using the formula:
Rit = a i + bi (Rmt) + eit
Rit
Rmt

= stock return I for period t.
= Market return by using IHSG
return

47

Gadjah Mada International Journal of Business, Vol. 1, No. 2, September 1999: 37—61

a I and bI = Intercept and slope of regression.
Eit
= Residual value or abnormal
return.
Calculate standard deviation of average abnormal return (AAR) as follow:
n

S(AR - AAR )

S=

t=1

t

2

t

to observe trading volume activity of banking stocks around the announcement of
banking reforms on March 13, 1999 and
issuance of government bonds on May 28,
1999.
The steps to test the trading volume
activity are as follows:
For each banking stock in the sample,
trading volume activity (TVAi,t) is calculated by using the formula:

(n - 1)

Number of traded shares of
banking stock i for period t

Formulate hypothesis as follow:
H0: AARt = 0 : Average Abnormal Return around the event
date is different from
zero, significantly

TVAi,t =

H1: AARt

Calculate the Average Trading Volume Activity before the event date
(ATVABefore) and Average Trading Volume
Activity after the event date (ATVAAftet).
The next steps to test the mean difference
between average Trading Volume Activity
before the event date and after the event
date following the mean difference of average abnormal return.

0 : Average Abnormal Return around the event
date is not different from
zero, significantly

Calculate th (T-statistic) with the following formula:

th =

AARt - m
s/n

m = average abnormal return for population
n = number of banking stocks observed
s = standard deviation of average abnormal returns
Determine the hypothesis criteria:
H0 is rejected if -th < t(a/2;n-1) or th > t(a/2;n-1)
H0 is accepted if - t(a/2;n-1) < th < t(a/2;n-1)

Trading Volume Activity Test
In order to have a comprehensive
view, the objective of this research is also
48

Number of shares outstanding of banking stock i for period t

Empirical Evidence
This section contains the empirical
findings of the event study which are the
banking reforms announcement on March
13, 1999 and the issuance of government
bonds announcement on May 28, 1999.
Table 3, and 5 contains average abnormal
returns (AAR), cumulative average abnormal return (CAAR), and standard deviation of AAR of banking stocks around
these even date respectively, and also we
can investigate the pattern of AAR and
CAAR around the event date in Figure 2
and Figure 3.
Furthermore, Table 7, and Table 9
contains average Trading Volume Activity (ATVA) and standard deviation of

The Impact of Bank Restructuring Announcement on the Banking Stock Prices (Susiyanto)

ATVA of banking stocks around the banking reforms announcement on March 13,
1999 and the issuance of government bonds
announcement on May 28, 1999, respectively. We observe the pattern of ATVA
around these two events in Figure 4 and
Figure 5. Table 4 and 6 shows us the
results of Paired two samples difference
test for average abnormal returns before
and after the banking reforms announcement on March 13, 1999 and the issuance
of government bonds on May 28, 1999,
respectively. Table 8 and 10 presents us
the results of Paired two samples difference test for average trading volume activity before and after the banking reforms
announcement on March 13, 1999 and the
issuance of government bonds on May 28,
1999, respectively.

Table 3 shows us that there were
several bourse days which experienced a
significant abnormal return (at 5 percent
level), occuring -14, -12, -10, and -1 days
before the event date. The abnormal returns were significant on day –14 at -3.64
percent, on day –12 at 5.86 percent, on
day –10 at 11.06 percent and on day-1 at 5.84 percent. These findings indicate that
before the event date the market conditions was going upward from negative
territory to positive territory and then one
day before the event date went back again
to negative territory. On day 7, 8, and day
12 after the event date, the abnormal return
were significantly negative at -4.10 percent, -7.15 percent, and -13.56 percent,
respectively. This condition shows that
after the announcement date, banking stock

Table 3. Average Abnormal Return (AAR), and Cumulative Average Abnormal Return (CAAR) of Banking Sector around the Announcement of Banking
Reforms on March 13. 1999
Day

AAR

CAAR

SAAR

T-statistic

Probability

-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2

-0.0188
-0.0364 ***
-0.0237
0.0586 ***
-0.0084
0.1106
-0.0486
0.0041
-0.0227
-0.0299
-0.0118
-0.0069
-0.0395
0.0394 *
-0.0584 ***
-0.0676
0.0087
0.0185

-0.0188
-0.0552
-0.0789
-0.0202
-0.0286
0.0820
0.0333
0.0374
0.0147
-0.0152
-0.0270
-0.0339
-0.0734
-0.0340
-0.0924
-0.1599
-0.1512
-0.1327

0.0659
0.0296
0.1149
0.0613
0.1305
0.1094
0.1374
0.1699
0.0693
0.0820
0.0360
0.1670
0.1097
0.0764
0.0512
0.2929
0.0753
0.0952

1.0302
4.5664
0.7460
3.5145
0.2313
3.7221
1.2817
0.0870
1.1851
1.3219
1.1902
0.1491
1.3053
1.8745
4.2163
0.8342
0.4165
0.7028

0.3250
0.0008
0.4713
0.0048
0.8214
0.0034
0.2263
0.9322
0.2610
0.2130
0.2590
0.8842
0.2184
0.0876
0.0014
0.4219
0.6850
0.4968
49

Gadjah Mada International Journal of Business, Vol. 1, No. 2, September 1999: 37—61

Continued from Table 3
Day

AAR

CAAR

SAAR

T-statistic

Probability

3
4
5
6
7
8
9
10
11
12
13
14
15

0.0161
-0.0037
-0.0739
-0.0410 **
-0.0715 ***
-0.0137
0.0157
0.0458
-0.1356 ***
0.0093
-0.0060
0.0785 **
0.0736

-0.1166
-0.1203
-0.1942
-0.2351
-0.3066
-0.3203
-0.3046
-0.2589
-0.3944
-0.3851
-0.3911
-0.3126
-0.2390

0.1222
0.1274
0.1542
0.0570
0.0736
0.2388
0.0759
0.2447
0.1109
0.0409
0.1071
0.1176
0.1562

0.4767
0.1043
1.7404
2.6233
3.5745
0.2070
0.7475
0.6762
4.5303
0.8246
0.2034
2.4337
1.7102

0.6429
0.9188
0.1096
0.0237
0.0044
0.8398
0.4704
0.5129
0.0009
0.4271
0.8425
0.0332
0.1152

Notes:
AAR is average abnormal return
CAAR is cumulative average abnormal return
SAAR is standard deviation of average abnormal return
*) significant at 10% level;
**) significant at 5% level;
***) significant at 1% level
Table 4. t-Test (Paired Two Sample for Means): Average Abnormal Return of
banking Sector Before and After the Announcement of Banking Reforms
on March 13, 1999

Mean
Variance
Observations
Pearson Correlation
Hypothesized Mean Difference
df
t-Stat
P(T-t) one-tail
t-Critical one-tail
P(T-t) two-tail
t-Critical two-tail
50

Before

After

-0.0053
0.0021
14.0000
-0.3676
0.0000
13.0000
0.2538
0.4018
1.7709
0.8036
2.1604

-0.0109
0.0030
14.0000

The Impact of Bank Restructuring Announcement on the Banking Stock Prices (Susiyanto)

prices were undervalued by the market
prices, gradually. This condition happened,
caused by some of the following reasons:
(1) The banking reforms announcement
on March 13, 1999 that consists of banks
closure, recapitalized banks, and takenover or nationalized banks has been anticipated before by the market, because the
government delayed this information about
two weeks or more before the event date,
and also had already been published in
numerous medias, so, the banking reforms
announcement was too late from the
market’s perception; (2) there was lack of

market’s confidence regarding the implementation of government’s policies. In the
implementation process, there were no
clear mechanisms and procedures, so the
market doubted and wondered about the
success of the implementation of banking
reforms in the future.
The result of the above t-Test for
Paired Two Sample for Means, show that
there is no significant difference between
average abnormal returns before and after
the banking reforms announcement on
March 13, 1999, because T-statistic for
this test is 0.2538, less than T-critical twotail of 2.1604.

Figure 2.Average Abnormal Return (AAR) and Cumulative Average Abnormal
Return (CAAR) of Banking Stocks Around the Announcement of Banking
Reforms on March 13, 1999.
20%

10%

Day

AAR and CAAR

0%

-15 -14 -13-12 -11-10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

-10%

-20%

-30%

-40%
AAR
CAAR
-50%

51

Gadjah Mada International Journal of Business, Vol. 1, No. 2, September 1999: 37—61

Table 5. Average Abnormal Return (AAR), and Cumulative Average Abnormal Return (CAAR) of Banking Sector around the Announcement of Issuance
Government Bonds on May 28, 1999
Day

AAR

CAAR

SAAR

T-statistic

Probability

-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

-0.0031
0.1359
0.0190
-0.0059
-0.0580 ***
0.0673 ***
0.0177
0.0448 **
0.0244
0.0078
-0.1057 ***
-0.0590 **
0.0585 *
-0.0380 **
0.0309 **
-0.1231
0.0089
-0.1340 ***
0.0023
0.0917 ***
-0.0287
-0.0372 *
-0.0027
-0.0073
0.0377
-0.0384 **
0.0541 *
-0.0403 *
0.0404 *
0.0319
-0.0602 **

-0.0031
0.1328
0.1518
0.1459
0.0879
0.1552
0.1729
0.2177
0.2421
0.2499
0.1441
0.0852
0.1437
0.1057
0.1366
0.0135
0.0223
-0.1116
-0.1093
-0.0176
-0.0462
-0.0834
-0.0861
-0.0934
-0.0557
-0.0941
-0.0400
-0.0803
-0.0399
-0.0080
-0.0683

0.1139
0.1017
0.0562
0.1360
0.0681
0.0618
0.1211
0.0538
0.0527
0.0344
0.1141
0.0747
0.0991
0.0521
0.0432
0.6352
0.1222
0.0831
0.0717
0.0867
0.0699
0.0659
0.0304
0.1573
0.0966
0.0548
0.1005
0.0677
0.0717
0.0911
0.0878

0.0972
4.9692
1.2231
0.1559
3.1235
4.0188
0.5283
3.0499
1.6826
0.8141
3.4038
2.8881
2.1502
2.6624
2.6079
0.7006
0.2623
6.0536
0.1162
3.9014
1.488
2.0499
0.3158
0.1687
1.4147
2.5557
1.957
2.1673
2.0514
1.2673
2.5042

0.9243
0.0004
0.2468
0.8789
0.0097
0.002
0.6078
0.011
0.1206
0.4329
0.0059
0.0148
0.0546
0.0221
0.0243
0.4981
0.7979
0.0001
0.9096
0.0025
0.1649
0.065
0.7581
0.8691
0.1848
0.0267
0.0762
0.053
0.0648
0.2312
0.0293

Notes:
AAR is average abnormal return
CAAR is cumulative average abnormal return
SAAR is standard deviation of average abnormal return
*) significant at 10% level;
**) significant at 5% level;
***) significant at 1% level
52

The Impact of Bank Restructuring Announcement on the Banking Stock Prices (Susiyanto)

Table 5 shows us that there were
several bourse days which experience a
significant abnormal return at 5 percent
significant level, occuring -11, -10, -8, -5,
-4, -2, and -1 days before the issuance of
government bonds announcement on May
28, 1999. The abnormal return were significant on day-11 at –5.80 percent, and
then 6.73 percent on day -10, 4.48 percent
on day -8, -10.57 percent on day -5, -5.90
percent on day -4, -3.80 percent on day -2,
and 3.09 percent on day -1. These results
indicated that the market condition was
uncertain before the event date. At the
second day after the event date, bourse
produced negative abnormal returns
(significant at 1% level) –13.40 percent,
and then turn to the positive abnormal
return 9.17 percent (significant at 1% level)
at the fourth day after the event date. At the
tenth and fourteenth day after the event
date bourse back again produced a negative abnormal return (significant at 5%

level) –3.84 percent and -6.02 percent,
respectively. From these results, it can be
interpreted that the second day after the
event date the banking stock experienced
a bad performance and the stock prices
had become undervalued by the market.
After reaching the bottom point, banking
stock prices moved up to the positive abnormal return 9.20 percent (significant at
5% level). Unfortunately, at the tenth and
fifteenth day after the event date, banking
stock returns turned back again to the
negative territory –3.84 percent and -6.02
percent (significant at 5% level), respectively.
The result of the t-Test for Paired
Two Sample for Means shows that there is
no significant difference between average
abnormal return before and after the issuance of government bonds on May 28,
1999, because T-statistic for this test is
0.6028 less than T-critical two-tail of
2.1604.

Table 6 . t-Test (Paired Two Sample for Means): Average Abnormal Return of
banking Sector before and After the Announcement of Issuance Government Bonds on May 28. 1999

Mean
Variance
Observations
Pearson Correlation
Hypothesized Mean Difference
df
t Stat
P(T <= t) one-tail
t Critical one-tail
P(T <= t) two-tail
t Critical two-tail

Before

After

0.0100
0.0038
14.0000
-0.4968
0.0000
13.0000
0.6028
0.2785
1.7709
0.5570
2.1604

-0.0065
0.0032
14.0000

53

Gadjah Mada International Journal of Business, Vol. 1, No. 2, September 1999: 37—61

Figure 3. Average Abnormal Return (AAR) and Cumulative Average Abnormal
Return (CAAR) of Banking Stocks Around the Announcement of Issuance Government Bonds on May 28, 1999

AAR
CAAR

Table 7. Trading Volume Activity (TVA) of Banking Sector around the Announcement of Banking Reforms on March 13. 1999

54

Day

ATVA

SATVA

Probability

T-statistic

-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1

0.1528 *
0.3802 **
0.1153 **
0.1947 *
0.2937 *
1.2428 **
0.5670 **
0.2094 **
0.2870 **
0.4103 **
0.1628 **
0.4214 *
0.2561 *
0.3336 *
0.5378 **

0.2624
0.6061
0.1422
0.1947
0.2937
1.5364
2.1034
2.3128
2.5998
3.0102
3.1730
3.5944
3.8504
4.1840
4.7219

0.0576
0.0431
0.0128
0.0645
0.0866
0.0464
0.0218
0.0228
0.0193
0.0233
0.0498
0.0540
0.0625
0.0983
0.0242

2.1198
2.2862
2.9697
2.0541
1.8818
2.2442
2.6696
2.6442
2.7367
2.6334
2.2033
2.1570
2.0728
1.8060
2.6104

The Impact of Bank Restructuring Announcement on the Banking Stock Prices (Susiyanto)

Continued form Table 7
Day

ATVA

SATVA

Probability

T-statistic

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

1.5249 **
0.8080
0.6265 **
0.9779
0.2203 ***
0.2297 **
3.0026
2.9059
0.1966 *
0.4356
2.7786
1.6823
0.7848
0.3471 *
4.6333

6.2468
7.0547
7.6812
8.6591
8.8794
9.1091
12.1117
15.0176
15.2142
15.6498
18.4284
3.8961
2.1089
0.6610
16.0555

0.0203
0.1080
0.0398
0.2724
0.0075
0.0312
0.3155
0.2800
0.0705
0.2099
0.1516
0.1455
0.2045
0.0826
0.3186

2.7085
1.7497
2.3305
1.1554
3.2679
2.4690
1.0517
1.1362
2.0028
1.3318
1.5408
1.5667
1.3488
1.9092
1.0446

Notes:
ATVA is average trading volume activity
STVA is standard deviation of average trading activity
*) significant at 10%;
**) significant at 5%;
***) significant at 1%
Table 8 . t-Test (Paired Two Sample for Means): Average Trading Volume Activity
of banking Sector before and After the Announcement of Banking Reforms
on March 13, 1999

Mean
Variance
Observations
Pearson Correlation
Hypothesized Mean Difference
df
t Stat
P(T - t) one-tail
t Critical one-tail
P(T - t) two-tail
t Critical two-tail

Before

After

0.3866
0.0785
14.0000
-0.0301
0.0000
13.0000
-2.6689
0.0097
1.7709
0.0193
2.1604

1.4021
1.9249
14.0000

55

Gadjah Mada International Journal of Business, Vol. 1, No. 2, September 1999: 37—61

The result of the t-Test for Paired
Two Sample for Means, shows that there is
a significant difference between average
trading volume activity of banking stocks
before and after the announcement of banking reforms on March 13, 1999, T-statistic
for this test is –2.6689 less than T-critical

two-tail of -2.1604. The negative value of
T-statistic, means that the average trading
volume activity of banking stocks after the
event date is significantly greater than
average trading volume activity before the
event date.

Figure 4. Average Trading Volume Activity (ATVA) of Banking Stocks Around the
Announcement of Banking Reforms on March 13, 1999
5.00
4.50
4.00

Average TVA

3.50
3.00
2.50
2.00
1.50
1.00
0.50
0.00

-15 -14 -13 -12 -11-10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
Day

56

The Impact of Bank Restructuring Announcement on the Banking Stock Prices (Susiyanto)

Table 9. Trading Volume Activity (TVA) of Banking Sector around the Announcement of Issuance Government Bonds on May 28, 1999
Day

ATVA

SATVA

Probability

T-statistic

-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

6.2545 **
2.9781 *
1.8080
4.8984
4.6739
4.7351
3.1554 *
1.7770 *
2.1091
2.9311 *
4.0640 **
2.4093 **
2.8832 **
1.9971 **
1.7668 **
2.7488
3.2607 **
3.3265 **
3.2731 *
4.1679 *
5.3750 **
5.6586 **
2.9425 *
3.4538 **
2.0650 **
11.0831
3.1600
1.3566 **
3.7519
4.4829
2.1780

9.4271
5.0185
3.7810
11.1523
12.9273
12.9085
5.5053
3.1275
5.2168
5.6177
6.2890
3.5896
3.5712
2.4145
2.3665
5.6008
5.3164
5.4166
6.3689
7.4685
8.5882
9.1223
5.1401
5.6211
3.3731
32.2449
7.0518
2.0513
10.8345
10.0091
4.5682

0.0340
0.0536
0.1103
0.1393
0.2168
0.2106
0.0611
0.0630
0.1706
0.0844
0.0381
0.0323
0.0131
0.0114
0.0196
0.1022
0.0472
0.0469
0.0886
0.0672
0.0435
0.0451
0.0613
0.0468
0.0475
0.2389
0.1321
0.0345
0.2356
0.1323
0.1113

2.4201
2.1608
1.7367
1.5939
1.3102
1.3294
2.0860
2.0676
1.4661
1.8967
2.3561
2.4487
2.9565
3.0306
2.7292
1.7829
2.2344
2.2373
1.8679
2.0304
2.2808
2.2602
2.0835
2.2385
2.2301
1.2452
1.6264
2.4122
1.2546
1.6256
1.7315

Notes:
ATVA is average trading volume activity
STVA is standard deviation of average trading activity
*) significant at 10% level;
**) significant at 5% level;
***) significant at 1% level
57

Gadjah Mada International Journal of Business, Vol. 1, No. 2, September 1999: 37—61

Table 10. t-Test (Paired Two Sample for Means): Average Trading Volume Activity
of Banking Sector Before and After the Announcement of Issuance Government Bonds on May 28, 1999

Mean
Variance
Observations
Pearson Correlation
Hypothesized Mean Difference
df
t Stat
P(T - t) one-tail
t Critical one-tail
P(T - t) two-tail
t Critical two-tail

Before

After

3.0133
1.3212
14.0000
0.3001
0.0000
13.0000
-1.6426
0.0622
1.7709
0.1244
2.1604

4.0196
5.5604
14.0000

Figure 5. Average Trading Volume Activity (ATVA) of Banking Stocks Around the
Announcement of Issuance Government Bonds on May 28, 1999
12.00

Average TVA

10.00

8.00

6.00

4.00

2.00

0.00

-15 -14 -13 -12 -11-10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
Day

58

The Impact of Bank Restructuring Announcement on the Banking Stock Prices (Susiyanto)

The result of the t-Test for Paired
Two Sample for Means, shows that there is
no significant difference between average
trading volume activity of banking stocks
before and after the issuance of government bonds on May 28, 1999, because Tstatistic for this test is -1.6426 greater than
T-critical two-tail of -2.1604.

Conclusion
The results of this study shows us
that the banking reforms announcement
held on March 13, 1999 which consists of
the closure of 38 private banks, 9 private
banks will be recapitalized, and the takenover or nationalization of 7 private banks,
did not get a positive respond from the
market. In contrast, this event got a negative respond from the market. This condition, has been proved by insignificant difference between banking stock returns
before and after the event date. Furthermore, the results from abnormal return
test, found some significant abnormal returns around the event date. The magnitude of significant abnormal returns decreased gradually from -3.64 percent on
day -14 before the event date, to -13.56
percent on day -12 after the event date.
The result of trading volume activity
tests, shows that there was a significant
increase on trading volume activity of
banking stocks after the event date. The
reversal pattern of decreasing banking
stock return and increasing on trading volume activity of banking stocks, supported
our belief that significant increase was
forced by the increasing of selling stocks
activity (supply side), which means that

the event was an unfavorable event or bad
news. It also meant that the success of the
banking reforms done by government is
being questioned.
There is a reason why the market has
responded negatively, and that is the banking reforms announcement was delayed
by the government. It was announced two
weeks or more before the event date, so
market has already responded about the
content of the banking reform announcement.
The results from the second event
study test, also shows us that the issuance
of government bonds announcement for
the recapitalized banks and guarantees
program on May 28, 1999, was responded
negatively by the market. This condition,
has been proved by insignificant difference between banking stock returns before and after the event date. The result of
trading volume activity test, also found
that there is no significant difference between trading volume activity before and
after the event date. And, based on the
result of abnormal return test, there were
market uncertainty responding to the event.
Abnormal returns were found significantly
both positive and negative abnormal returns.
In general, strategic measures has
been taken by the government on March
13, 1999 and May 28, 1999 did not show
a positive signal to the market as our
expectation. This means that the banking
reforms was not successfully implemented
from the market’s point of view.
The finding from abnormal return
test, do not support the semi-strong efficiency of the Jakarta Stock Exchange.

59

Gadjah Mada International Journal of Business, Vol. 1, No. 2, September 1999: 37—61

References:
Ahrony, J., and I. Swary 1980. Quarterly dividend and earning announcements on
stockholder return: An empirical analysis. The Journal of Finance: 1-12.
Amsari, M. 1993. Pengaruh Pengumuman dividen Terhadap Harga Saham di Pasar
Modal Indonesia. Thesis S-2 (unpublished). Yogyakarta: UGM.
Asri, M. 1996. U.S. multinationals’ stock price reaction to host country’s governmental
change: The case of prime minister Takeshita’s resignation. Kelola (11). Yogyakarta:
MM-UGM.
Asri S. W., M., and F. A. Setiawan. 1998. Reaksi pasar modal Indonesia terhadap peristiwa
politik dalam negeri: Event study pada Peristiwa 27 Juli 1996. Kelola (18). Yogyakarta:
MM-UGM.
Brigham, E. F., and L. C. Gapenski. 1993. Intermediate Financial Management, Fourt
Edition. New York: The Dryden Press.
Casserley, and G. Gibb. 1999. Banking in Asia: The End of Entitlement. Singapore: John
Wiley & Sons (Asia) Pte Ltd.
Elton, J. E., and J. G. Martin. 1995. Modern Portfolio and Investment Analysis, Fifth
Edition. New York: John Wiley&Sons, Inc.
Emory, C. W., and D. R. Cooper. 1995. Business Research Methods. 5 Ed. Homewood,
Illionis, U.S.A: Richard, D. Irwin, Inc.
Fama, E. F. 1965. The behavior of stock market prices. Journal of Business (2): 35-105.
______________. 1970. Efficient capital markets: A review of theory and empirical work.
The Journal of Finance (2): 383-423.
Fama, E. F., L. Fisher, M. C. Jensen, and R. Roll. 1969. The adjustment of stock prices to
new information. International Economic Review (10): 1-21.
Foster, G. 1986. Financial Statement Analysis. 2 Ed. New Jersey: Prentice Hall-International, Inc.
Joy, O. M., R. H. Litzenberger, and R. W. McEnally. 1977. The adjustment of stock prices
to announcements of unanticipated changes in quarterly earnings. Journal of
Accounting Research (15) 2. Autumn: 207-225.
Namusisi, F. N. 1996. Analysis of Stock Price Response to Share Listing on Jakarta Stock
Exchange: An efficient Capital Market Test. Thesis (unpublished) Yogyakarta:
University of Gadjah Mada.
Pettit, R. R. 1972. Dividend announcements, security performance, and capital market
efficiency. Journal of Finance (27) 5: 993-1007.
Sartono, A., and Yarmanto. 1996. Analisis koefisien penyesuaian harga dan effektivitas
penyerapan informasi baru di Bursa Efek Jakarta. Kelola (12). Yogyakarta: MMUGM.
60

The Impact of Bank Restructuring Announcement on the Banking Stock Prices (Susiyanto)

Susiyanto, M. F. 1997. Pengujian Efisiensi Pasar Modal Indonesia: Bentuk Lemah dan
Bentuk Setengah Kuat Pada Periode 1994-1996. Internship (unpublished).
Yogyakarta: Magister Management Gadjah Mada University.
Watts, R. 1973. The information content of dividend. Journal of Business (46) 2: 191-211.

61