CD Skripsi

Analisis Anomali Pasar Efisien Pada Bursa Efek Indonesia Periode 2010-2019

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In an efficient market, it is very unlikely that investors will get an abnormal return. This is because the market will react very quickly to new information entering the stock exchange, so the market will move very quickly to reach the new equilibrium price. Several conditions of market anomalies were found which were deviations from what should have happened in an efficient capital market. This study examines efficient market anomalies which include the day of the week effect, week four effect, rogalsky effect, and month effect on the Indonesian capital market from January 2010 to December 2019. This study uses daily data on the prices of the SRI-KEHATI, LQ-45, and Jakarta Islamic Index (JII). The sampling technique used in this study was saturated samples. The data analysis method in this study used Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) with multiple regression of dummy variables using the method without constants and each using a significance level of 5%. The results of this study indicate that there is a phenomenon of the day of the week effect, week four effect, and month effect on the Indonesia Stock Exchange. Meanwhile, the rogalsky effect phenomenon is not proven in the Indonesian capital market.
Keywords: The Day Off The Week Effect, Week Four Effect, Rogalsky Effect, Month Effect.

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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

02 02. 121 (0059)

Penerbit

Pekanbaru : Universitas Riau – Fakultas Ekonomi Dan Bisnis – Manajemen., 2021

Deskripsi Fisik

ix, 79 hlm.; ill.: 29 cm

Bahasa

Indonesia

ISBN/ISSN

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Klasifikasi

02 02. 121 (0059)

Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

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Subjek

MANAJEMEN

Info Detail Spesifik

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Pernyataan Tanggungjawab

Daus

Versi lain/terkait

Lampiran Berkas

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