ARIEYANI, PRATIWI (2012) EFEK ANOMALI PASAR TERHADAP RETURN SAHAM PERUSAHAAN LQ - 45 YANG TERDAFTAR DI BURSA EFEK INDONESIA. Undergraduate thesis, STIE PERBANAS SURABAYA.
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Abstract
Market anomaly can be describe as a technique or strategy that appear to contradict effiecient market. Some anomaly have many attention is anomalus because low per strategy (low p / e ratio) and anomalous effect size of the firm. Some research find the appearance of some anomaly market such as, the day of the week effect, Monday effect, week end effect, and January effect. The purpose of this research is to examine the day of the week effect, week four effect, and Rogalski effect on the stock return in the Indonesia Stock Exchange. The sample is selected using Purposive Sampling Technique. The sample consist are nineteen active stock in the LQ – 45 index listed during June 2008 until June 2011 in Indonesia Stock Exchange. The statistic methods which are used to test hypotheses are ANOVA, One Sample T – Test, and Independent Sample T – Test. The result show that doesn’t exist a day of the week effect, week – four effect, and Rogalski effect in Indonesia Stock Exchange during June 2008 until June 2011. This show that the market anomaly doesn’t always happen, especially in the period of research. Keywords: market anomaly, stock return, day of the week effect, week – four effect, Rogalski effect.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Subjects: | 600 - TECHNOLOGY > 650 - 659 MANAGEMENT & PUBLIC RELATIONS > 657 - ACCOUNTING |
| Divisions: | Bachelor of Accountancy |
| Depositing User: | Perpustakaan Universitas Hayam Wuruk Perbanas |
| Date Deposited: | 11 Jul 2018 05:19 |
| Last Modified: | 11 Jul 2018 05:19 |
| URI: | http://eprints.perbanas.ac.id/id/eprint/3326 |
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