Hanan Ramdhani Raditya, 7311416168 (2020) PENGUJIAN ANOMALI DAY OF THE WEEK EFFECT, MONTH OF THE YEAR EFFECT, DAN TURN OF THE MONTH EFFECT. Under Graduates thesis, Universitas Negeri Semarang.

PDF (PENGUJIAN ANOMALI DAY OF THE WEEK EFFECT, MONTH OF THE YEAR EFFECT, DAN TURN OF THE MONTH EFFECT) - Published Version Restricted to Repository staff only Download (1MB) | Request a copy

Abstract

Keywords: Market Efficiency, EMH, Calendar Efffect Anomaly, IHSG Despite the importance of Efficient Market Hypothesis as the main edifice of modern finance, its merit has been hammered a lot by contrasting evidence found in the most recent research that highlighting the existence of market anomalies, one of which calendar effect anomaly, which disrupting the buoyancy of the so-called efficient market. Nevertheless the recognition of market anomalies to the lesser extent Calendar Effect Anomalies have been without congruent empirical evidence and phenomenon presented in this research corroborate the presence of Calendar Effect Anomalies such as Day of the Week Effect, Month of the Year Effect, and Turn of the Month Effect in IHSG. Thus in this research aims to further confirm the presence of such anomalies in empirical research. The population in this reseach comprises of all daily IHSG return from the early of January 2000 through the end of December 2019. The sampling technique in this research employes purposive sampling to differentiate Monday effect, day of the week effect, January effect, and turn of the month effect from the population dataset. Research methodology in this research applies ANOVA model, KruskalWallis test, and Welch’s one-way ANOVA test. Empirical findings show that out of three constructed hypothesis, the first hypothesis confirms the presence of Day of the Week Effect in IHSG by highlighting the significant difference between return in Monday and return in the rest of week meanwhile the empirical findings do not support the remainder of hypothesis by showing no significant difference between monthly return in January and return for the rest of the month and daily return between the end of the month and the beginning of the month. The conclusion of this research proves the presence of Day of the Week Effect in IHSG therefore daily observation of IHSG does not follow the weak form efficiency during the period of 2000 to 2019 nevertheless monthly observation and daily observation between the end of the month and the beginning of the month follow weak form efficiency by rejecting the presence of Month of the Year Effect and Turn of the Month Effect. This research advises to apply AR-GARCH(1,1) model to improve the reliability of estimation of calendar effect anomalies by the fact that the data does not follow normal distribution, which this research lacks, in the forthcoming research.

Actions (login required)

View Item