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PENGUJIAN THE DAY OF WEEK EFFECT DAN WEEK FOUR EFFECT PADA INDONESIA STOCK EXCHANGE DAN KUALA LUMPUR STOCK EXCHANGE

ZAMRONI, ADITYA (2014) PENGUJIAN THE DAY OF WEEK EFFECT DAN WEEK FOUR EFFECT PADA INDONESIA STOCK EXCHANGE DAN KUALA LUMPUR STOCK EXCHANGE. Undergraduate thesis, STIE PERBANAS SURABAYA.

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Abstract

One of the levels of efficiency of the capital market is weak in terms of efficiency. On testing the market weak form efficiency can be done by way of return predictability. This test consists of testing patterns return daily (daily, weekly, or monthly). This Research purpose to examine and analyze the occurrence of The day of the week effect and week four effect to return the index LQ-45 in Indonesia stock exchange and index FBMKLCI in Kuala Lumpur stock exchange. The sample is index LQ-45 and index FBMKLCI, during January 2011 through December 2013. The statistic methods which are used to test hypotheses are ANOVA and independent sample t test. The result show that there is a day of week effect in Indonesia stock exchange, but it doesn’t exist in Kuala Lumpur stock exchange. There is a week four effect doesn’t exist in Indonesia stock exchange and in Kuala Lumpur stock exchange. Keyword : Efficiency of the capital market, Day of week effect, Week four effect.

Item Type: Thesis (Undergraduate)
Subjects: 300 - SOCIAL SCIENCE > 332.6 - INVESTMENT
300 - SOCIAL SCIENCE > 332.642 - STOCK EXCHANGES
Divisions: Bachelor of Management
Depositing User: Perpustakaan Universitas Hayam Wuruk Perbanas Surabaya
Date Deposited: 10 Apr 2017 06:09
Last Modified: 10 Apr 2017 06:09
URI: http://eprints.perbanas.ac.id/id/eprint/740

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