Analysis Of Market Anomalies For Stock Returns At Lq45 Companies In Indonesia

Agregat: Jurnal Ekonomi dan Bisnis

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Field Value
 
Title Analysis Of Market Anomalies For Stock Returns At Lq45 Companies In Indonesia
 
Creator Ridwan Zamzany, Faizal
Utami Purwaningsih , Rizka
Salma Al Azizah, Ummu
 
Subject The day of The Week Effect, Week Four Effect, Monday Effect, Rogalsky Effect, Return Stock.
 
Description This study examines the effects of the market anomaly on Indonesia's LQ45 companies' stock returns. This research uses descriptive and comparative methods with a quantitative approach. Data processing and analysis techniques include quantitative analysis in multiple linear regression analysis without interception (through multiple regression). The variables used in this study are dummy variables. The dependent variable of this study is daily stock returns. The results showed that The Day of The Week Effect affected stock returns. The Week Four Effect variable shows that the lowest return (negative) on Monday in LQ45 is not concentrated on Monday the last two weeks of each month. The Monday Effect variable indicates that it is not only negative Friday returns that drive negative Monday returns. The Rogalsky Effect variable indicates there was no Rogalsky Effect in April.
 
Publisher Universitas Muhammadiyah Prof. DR HAMKA.
 
Date 2020-10-30
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journal.uhamka.ac.id/index.php/agregat/article/view/4146
10.22236/agregat_vol4/is2pp212-231
 
Source Agregat: Jurnal Ekonomi dan Bisnis; Vol. 4 No. 2 (2020); 212-231
2549-7243
2549-5658
10.22236/agregat_vol4/is2
 
Language eng
 
Relation https://journal.uhamka.ac.id/index.php/agregat/article/view/4146/2155
 
Rights Copyright (c) 2020 Agregat: Jurnal Ekonomi dan Bisnis
 

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