ANOMALI PASAR MODAL MENUJU STUDI BEHAVIORAL ECONOMICS

ULTIMA MANAJEMEN

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Title ANOMALI PASAR MODAL MENUJU STUDI BEHAVIORAL ECONOMICS
ANOMALI PASAR MODAL MENUJU STUDI BEHAVIORAL ECONOMICS
 
Creator Kiky, Andreas
 
Description Abstract- This research examine market anomali that used to be found in capital market. There are 3 (three) common market anomalies that observed by financial researcher, holiday effect (in this case Lebaran Effect), January effect and Monday effect. The goal in this empirical study is to confirm and examine these anomalies on consumer goods firms. One of most common misleading statement that would like to be argued by this research is on Lebaran Season; most likely consumer goods stocks would be the most wanted and highest return. Dummy variables are applied in research model to test research hypothesis regarding to this issue. Research models are analyzed using OLS approach and the result is indeed finding some anomali in Lebaran, January and Monday Effect. But the result from adjusted R2 is very low (<1%) which implies that explanatory power of event to abnormal return is need a critic and improvement. Further result from loss aversion theory confirms that most of Indonesian Citizen play save strategy under sure loss condition.
 
Keywords: Capital Market Anomali, EMH, Lebaran Effect, January Effect, Monday Effect, Behaviour Economics
Abstract- This research examine market anomali that used to be found in capital market. There are 3 (three) common market anomalies that observed by financial researcher, holiday effect (in this case Lebaran Effect), January effect and Monday effect. The goal in this empirical study is to confirm and examine these anomalies on consumer goods firms. One of most common misleading statement that would like to be argued by this research is on Lebaran Season; most likely consumer goods stocks would be the most wanted and highest return. Dummy variables are applied in research model to test research hypothesis regarding to this issue. Research models are analyzed using OLS approach and the result is indeed finding some anomali in Lebaran, January and Monday Effect. But the result from adjusted R2 is very low (<1%) which implies that explanatory power of event to abnormal return is need a critic and improvement. Further result from loss aversion theory confirms that most of Indonesian Citizen play save strategy under sure loss condition.
 
Keywords: Capital Market Anomali, EMH, Lebaran Effect, January Effect, Monday Effect, Behaviour Economics
 
Publisher Universitas Multimedia Nusantara
 
Date 2020-06-19
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
 
Format application/pdf
 
Identifier http://ejournals.umn.ac.id/index.php/manajemen/article/view/1479
10.31937/manajemen.v12i1.1479
 
Source ULTIMA Management; Vol 12 No 1 (2020): Ultima Management : Jurnal Ilmu Manajemen; 1-15
Ultima Management : Jurnal Ilmu Manajemen; Vol 12 No 1 (2020): Ultima Management : Jurnal Ilmu Manajemen; 1-15
2549-404X
2085-4587
10.31937/manajemen.v12i1
 
Language ind
 
Relation http://ejournals.umn.ac.id/index.php/manajemen/article/view/1479/930
 
Rights Copyright (c) 2020 Andreas Kiky
http://creativecommons.org/licenses/by-sa/4.0
 

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