Pengujian Anomali Pergantian Bulan, Anomali Bulanan dan Anomali Hari Libur pada IHSG BEJ 1996-2004  

Oleh:

Wibowo, Buddi ; Wahyudi, Junius

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: Manajemen Usahawan Indonesia vol. 34 no. 11 (Nov. 2005), page 16.
Topik: anomalies; ARCH-M Model; holiday effect autocorrelation; turn of the month effect; heteroskedasticity

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: MM15.25 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Efficient Market Hypothesis stated stock returns should be unpredictable and has no clear pattern because stock price at any date has reflect all available information. This hypothesis is very rational because predictable stock return give investor chances to reap high abnormal return without risk through arbitrage avtivity. In spite of its rationality, this hypothesis has been rejected by many empirical researches in many countries. This paper empirically tested calender anomaly in Jakarta Stock Exchanges. It investigated 3 types calender anomaly, turn of the month effect, month-of-the year effect and holidays effect. The result is that Calender Anomaly is statistically significant occurred. Meanwhile January effect is not statistically significant occurred.

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