Analisis Sell in May and Go Away di Bursa Efek Indonesia dan Malaysia Periode 2017-2019

Abstract

In May and Go Away (SMGA), Sell is a type of seasonal Anomaly, which historically originated in Europe and America that between May-October returns lower than the other periods from November to April. This research aims to determine the difference in abnormal return in the May-October (Worst period) period and November-April (Best period) in Indonesia and Malaysia Stock Exchange between 2017 to 2019. This test conducted using the company's stock price data samples listed on the LQ45 index in the Indonesia Stock Exchange and the FBMKLCI index in the Malaysia Stock Exchange period 2017 to 2019. Hypothesis testing using paired sample t-test to answer if there is a difference in return between the best period and the worst period, to prove the Sell's existence in May and Go Away. The results showed no difference returns between the best and worst periods in the Sell in May and Go Away phenomenon at the Indonesia and Malaysia Stock Exchange period 2017 to 2019. The Investor considers SMGA as not a phenomenon containing excellent or bad information that is capable of affecting the price movement of shares so that SMGA as a strategy to buy stocks in the best period and sell in the worst period is no longer relevant

Comparative Analysis of Sell-In-May-And-Go-Away and Monthly Effect Before and During COVID-19 Pandemic at LQ45 IDX

“…SIABIN investment strategy had the best performance on IDX LQ45 in 1997 -2022, as evidenced by the investment returns of IDR 30,693,263.97, so it accepts Ha4b. The results of this study are in accordance with the results of Zarika & Paramita (2021), Waggle & Agrrawal (2018), Hapsari &Sumarsono (2020), andFisher (2014), who mentioned SIMAGA as a strategy of buying stocks in the best period and selling them in the worst period is no longer valid, found a lack of a reliable SIMAGA effect. Other potential explanations for the effect, including seasonal affective disorder, weather, and daylight saving time, are not widely accepted.…”

“…Annual returns from November to April, however, are roughly six times higher than those from May to October. As determined by (Zarika & Paramita, 2021), on the Indonesian and Malaysian Stock Exchanges between 2017 and 2019, there was no difference in returns between the best and worst instances of the phenomena known as "sell-inmay-and-go-away." For some investors, SIMAGA no longer applies as a technique to purchase stocks at the best times and sell stocks during the worst times since it is not a phenomenon that contains good or bad information that may affect stock price movements.…”

“…Investors often rely on circulating information and expert recommendations when deciding whether to buy or let go of a security. Zarika & Paramita (2021) mention that investment in the capital market sector is becoming very popular. Among all the capital market products, stocks are one of the most popular and are in demand by investors.…”