The effective trading strategy for high dividend stocks on the Jakarta stock exchange

Companies with the ability to consistently share dividends would be an attractive investment to most investors. The Jakarta Stock Exchange released a new, high dividend index in the middle year of 2018. This study examines the most appropriate trading strategy for high dividend yield stocks, by comparing equally weighted Dogs and Dows (DoD) and minimum variance optimal portfolio strategies. The result of ANOVA testing shows that the DoD strategy provides significantly higher returns and risks in all periods of investment. Semi-annual portfolio rebalancing provides significant differences in performance among investment periods, in terms of the Sharpe ratio. It implies that dividend information allows investors to receive higher returns, which does not support the semi-strong form of the efficient market hypothesis.