HARIJANTO, CHRISTIAN ADRIANUS (2013) PENGUJIAN MARKET EFFICIENCY: PEMBUKTIAN FENOMENA ANOMALI PASAR PADA STRAIT TIMES INDEX DI BURSA EFEK SINGAPURA. Undergraduate thesis, STIE PERBANAS SURABAYA.
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Abstract
The objective of this research is to investigate the existence of the market anomalies such as Monday Effect, Week-four Effect, and January Effect in Singapore Stock Exchange during the period of 1 January 2010 to 31 December 2012.Using non-random sampling technique especially the purposive sampling, acquired 27 companies from the Strait Times Index as the sample of this study. The data used in this research comes from the daily closing prices of the samples. The statistical methods used to test the three hypotheses are independent sample t-test. The result of this study shows that there is no evidence of the market anomalies phenomenon on Strait Times Index. Neither of Monday Effect, Week-four Effect, and January Effect exist in Singapore Stock Exchange during the period of this study. The disappearance of this phenomenon is suspected as a result of the global economic crisis which led to changing the investors trading behaviour in capital market. Furthermore, the characteristic of the Singaporean investor and the Goverments’s policy about tax regulation are also another reasons why this phenomenon doesn’t exist in Strait Times Index. Keywords: Market Anomalies, Strait Times Index, Singapore Stock Exchange, Tax Regulation.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Subjects: | 600 - TECHNOLOGY > 650 - 659 MANAGEMENT & PUBLIC RELATIONS > 658 - GENERAL MANAGEMENT > 658.15 - FINANCIAL MANAGEMENT |
| Divisions: | Bachelor of Management |
| Depositing User: | Perpustakaan Universitas Hayam Wuruk Perbanas |
| Date Deposited: | 16 May 2017 02:21 |
| Last Modified: | 16 May 2017 02:21 |
| URI: | http://eprints.perbanas.ac.id/id/eprint/1228 |
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