EFEK KALENDER BULANAN DI BURSA EFEK INDONESIA: BUKTI EMPIRIS DAN IMPLIKASI

C.Ambar, Pujiharjanto EFEK KALENDER BULANAN DI BURSA EFEK INDONESIA: BUKTI EMPIRIS DAN IMPLIKASI. JURNAL MANAJEMEN, AKUNTANSI DAN EKONOMI PEMBANGUNAN. ISSN 1410-2293

[img]
Preview
PDF
Available under License Creative Commons Attribution.

Download (177Kb) | Preview

    Abstract

    The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in return series of Indonesian Stock Exchange (ISE) of Indonesia. The study uses the log natural IHSG for the period from 2005 to 2007 for the analysis.The results confirm the existence of seasonality in stock returns in ISE but do not support the “tax�loss�selling” hypothesis. Instead of “Year end effect” (January effect), we find an “October and November effect” in ISE. The results of the study invalidate the paradigm of the efficient market hypothesis in ISE meaning that, investors can time their share investments to improve returns.

    Item Type: Article
    Subjects: 300 Ilmu Sosial
    Divisions: Fakultas Ekonomi > Akuntansi
    Depositing User: Sugiyanta Gianto
    Date Deposited: 23 Feb 2012 12:22
    Last Modified: 23 Feb 2012 12:22
    URI: http://repository.upnyk.ac.id/id/eprint/2345

    Actions (login required)

    View Item