Efek Kalender Bulanan di Bursa Efek Indonesia: Studi Empiris Periode Bulan Januari 2000-Oktober 2010

Hikmah, Khoirul and Pujiharjanto, C. Ambar and Tarlina, Tarlina (2011) Efek Kalender Bulanan di Bursa Efek Indonesia: Studi Empiris Periode Bulan Januari 2000-Oktober 2010. Jurnal Manajemen dan Inovasi Bisnis, 1 (2). pp. 182-194.

Text 10. CamScanner 04-09-2023 11.26-dikompresi.pdf Download (4MB)

Abstract

The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markels. This study investigates the existence of seasonality in return series of Indonesian Stock Exchange (ISE) of Indonesia. This research uses the market return for the period from January 2000 to October 2010 for the analysis.The results confirm the existence of seasonality in stock returns in ISE but do not support the January effect and Year end effeci hypothesis. Instead of January effect and Year end effect, we find an August and October effect in ISE. The results of this research invalidate the paradigm of the efficient market hypothesis in ISE meaning that, investors can time their share investments to improve relurns. '

Item Type:	Article
Uncontrolled Keywords:	Seasonality, Monihly Effect.
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance
Divisions:	Faculty of Law, Arts and Social Sciences > School of Management
Depositing User:	Dr. SE MSi KHOIRUL HIKMAH
Date Deposited:	28 Apr 2023 02:19
Last Modified:	28 Apr 2023 02:20
URI:	http://eprints.upnyk.ac.id/id/eprint/34642

Actions (login required)

View Item