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

C. AMBAR, PUJIHARJANTO (2012) EFEK KALENDER BULANAN DI BURSA EFEK INDONESIA: BUKTI EMPIRIS DAN IMPLIKASI. BULETIN EKONOMI, 8 (3). pp. 217-226. ISSN 1410-2293

[img]
Preview
PDF
Download (197Kb) | 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. Keywords: Seasonality, Monthly Effect.

    Item Type: Article
    Subjects: 300 Ilmu Sosial
    Divisions: Fakultas Ekonomi > Manajemen
    Depositing User: Eny Suparny
    Date Deposited: 19 Mar 2012 10:17
    Last Modified: 19 Mar 2012 10:17
    URI: http://repository.upnyk.ac.id/id/eprint/2440

    Actions (login required)

    View Item