Pengujian Market Efficiency: Pembuktian Fenomena Anomali Pasar Pada Strait Times Index Di Bursa Efek Singapura

Harijanto, Christian Adrianus; Kurniawati, Sri Lestari

doi:10.14414/jbb.v3i2.239

Cited by 2 publications

(1 citation statement)

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“…Hal yang sama ditemukan pada penelitian Iskamto (2015) dan Sari & Sisdyani (2014) di pasar modal Indonesia bahwa tidak terdapat perbedaan return saham di bulan Januari dengan return saham bulan selain Januari. Selain itu, penelitian Harijanto & Kurniawati (2013) Pada penelitian periode Pebruari 2013 hingga Januari 2018 tidak terjadi January Effect yang menandakan bahwa pasar dapat dikatakan sudah efisien dalam bentuk lemah. Hal ini dikarenakan harga-harga saham di Bursa Efek Indonesia telah mencerminkan seluruh informasi pergerakan harga saham di masa lalu sehingga tidak ada satupun investor baik investor perorangan maupun investor institusional yang mendapatkan informasi lebih dan memanfaatkan informasi yang tersebut untuk mendapatkan abnormal return di bulan Januari yang dapat menyebabkan timbulnya January Effect.…”

Section: Hasil Dan Pembahasanunclassified

Pengujian Anomali Pasar (January Effect) Di Bursa Efek Indonesia

Yunita

Rahyuda

2019

EJMUNUD

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The January effect is a phenomenon of deviation from the form of efficient capital markets, where the average return in January is higher than in other months. The purpose of this research is to find out whether there is a January effect on the IDX30 index group companies on the Indonesia Stock Exchange in the period February 2013 to January 2018. This study uses secondary data in the form of monthly stock price data used closing price on the Indonesia Stock Exchange. The sample used was 17 companies. The test results using the SPSS program is a t-test which shows that there is no difference in abnormal stock returns in January with months other than January. So, it can be concluded that the phenomenon of the January Effect does not occur in the Indonesian capital market. Keywords: january Effect, abnormal return, IDX30 Index

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Section: Hasil Dan Pembahasanunclassified

Pengujian Anomali Pasar (January Effect) Di Bursa Efek Indonesia

Yunita

Rahyuda

2019

EJMUNUD

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Ramadan Effect and Volatility Risk by Garch Model: Evidence in Indonesia Stock Market

Putra¹,

Hasnawati²,

Muslimin³

2021

JBM

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This study aims to analyze the effect of the Ramadan effect and volatility risk on the Indonesian stock market using the GARCH model. The population in this study are companies listed on the LQ45 index on the Indonesia Stock Exchange during 2019. There are 42 companies used as samples in this study. The research sample was taken using purposive sampling method. This study uses the GARCH model as an analytical tool. The results of this study indicate that there is no Ramadan effect on the LQ45 index, but the volatility in the month of Ramadan affects the volatility in the LQ45 index. Keywords: Ramadan Effect, Volatility Risk, GARCH Model Abstrak Penelitian ini bertujuan untuk menganalisis pengaruh Ramadhan effect dan risiko volatilitas terhadap pasar saham Indonesia dengan menggunakan model GARCH. Populasi dalam penelitian ini adalah perusahaan yang terdaftar pada indeks LQ45 di Bursa Efek Indonesia selama tahun 2019. Terdapat 42 perusahaan yang dijadikan sampel dalam penelitian ini. Sampel penelitian diambil dengan menggunakan metode purposive sampling. Penelitian ini menggunakan model GARCH sebagai alat analisis. Hasil penelitian ini menunjukkan bahwa tidak ada pengaruh Ramadhan terhadap indeks LQ45, namun volatilitas pada bulan Ramadhan berpengaruh terhadap volatilitas pada indeks LQ45. Kata Kunci: Ramadhan Effect, Risiko Volatilitas, Model GARCH

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Pengujian Market Efficiency: Pembuktian Fenomena Anomali Pasar Pada Strait Times Index Di Bursa Efek Singapura

Cited by 2 publications

References 0 publications

Pengujian Anomali Pasar (January Effect) Di Bursa Efek Indonesia

Pengujian Anomali Pasar (January Effect) Di Bursa Efek Indonesia

Ramadan Effect and Volatility Risk by Garch Model: Evidence in Indonesia Stock Market

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