Month of the Year Effect Pada Beberapa Pasar Modal di Asia Tenggara dan Pasar Komoditas

Abstract

One of prominent phenomenon in capital market is month of the year effect which is the occurence of certain monthly pattern in capital market Keywords: month of the year effect, calendar anomalies, commodity market, capital market PENDAHULUANEfisiensi pasar modal merupakan topik yang sangat menarik bagi banyak peneliti (Boudreaux 1995). Efisiensi pasar modal ini menjadi objek penelitian yang berkembang pesat semenjak Fama (1965Fama ( , 1970 memperkenalkan analisis teoretis mengenai efisiensi pasar dan mengembangkannya menjadi keuangan keperilakuan (Fama 1998). Salah satu bidang kajian terkait topik tersebut adalah mengenai keacakan (randomness) pergerakan harga saham maupun aset-aset keuangan lainnya guna membuktikan efisiensi pasar modal. Namun banyak dari temuan-temuan dalam penelitian empiris yang dilakukan menghasilkan kesimpulan bahwa terdapat adanya suatu pola tertentu pada return saham, misalnya penelitian Lakonishok dan Maberly

Examining the day-of-the-week-effect and the-month-of-the-year-effect in cryptocurrency market

“…The results of this study also show that in the cryptocurrency market, there are also exists anomalies. This finding supports Caporale and Plastun (2018), also consistent with other financial markets as documented by Olowe (2010), Abdalla (2012), Robiyanto (2015), and Swami (2012).…”

“…Seasonal studies of the stock and commodity markets have been widely applied. A previous study by Robiyanto (2015) examined the month-of-the-year effect on stock and commodity markets in Southeast Asia. He concluded that there was a month-of-the-year effect on the capital markets in Indonesia, Malaysia, Thailand, and the Philippines and the gold, silver, platinum and palladium products also had seasonal patterns.…”

Technical analysis testing in forecasting Socially Responsible Investment Index in Indonesia Stock Exchange

“…This is based on the fact that ARIMA uses the lag variable (previous stock price) in stock forecasting. The findings by Robiyanto (2000Robiyanto ( , 2015, Robiyanto and Puryandani (2015) showed that the past stock prices had a significant influence on the future stock prices. Besides, ARIMA also involves the moving average, which is one of the most commonly used technical analysis indicators by the investors (Fernández-Rodríguez et al, 2000).…”

Does The Crude Palm Oil Market Walk Randomly?

“…The research that examines a market efficiency in a weak form such as Dickinson & Peterson (1995) who examined the options market. While Jain, Vyas, & Roy (2013) conducted a study on the stock mar-ket in India, Robiyanto (2015) conducted a study on the stock market in ASEAN and the precious metals market, while Dima & Miloº (2009) did their study in the Romanian stock market. The other studies also were done in the bond market, i.e., Robiyanto (2017) and Onwukwe & Ali (2018) reviewing the efficiency of the insurance market in Nigeria.…”

“…Market efficiency in a weak form is if the price of an asset in the future can not be predicted by using the past price, so investors may use technical analysis to get a profit that goes beyond normal. Some research which scrutinizes the weak form market efficiency areAmbarwati (2009), Khajar (2010), Lean & Smyth (2014), and Robiyanto (2015;. Ambarwati (2009) using seasonality approach to test weak form market efficiency in the Indonesia Stock Exchange and found that there was seasonality effect in the Indonesia Stock Exchange, hence the Indonesia Stock Exchange is not efficient in a weak form.…”