ANALISIS FENOMENA ANOMALI PASAR DI BURSA EFEK ASEAN

DAMAYANTI, SITI LUTFIAH and Isnurhadi, Isnurhadi and Raneo, Agung Putra (2021) ANALISIS FENOMENA ANOMALI PASAR DI BURSA EFEK ASEAN. Undergraduate thesis, Sriwijaya University.

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Abstract

One of the efficient market concepts is weak form efficient market, where the investors cannot use the past information to predict today’s value. Meanwhile, the efficient market anomaly is contrary with the efficient market concepts. The purpose of this research is to find out whether the phenomenon of the Monday Effect, Weekend Effect and Month of The Year Effect occurred on the Stock Exchanges of countries in ASEAN, such as Singapore, Indonesia, Malaysia, Thailand and Philippines. The population in this research is daily and monthly closing price data from STI, IHSG, KLCI, SET and PSEi during 2015-2020. The sampling techniques are used saturated sampling for Monday Effect and Month of The Year Effect, while purposive sampling for Weekend Effect. The analytical methods used are simple linear regression and multiple linear regression. The results of this study showed that only Philippines did not experience the Monday Effect, only Indonesia experienced the Weekend Effect, and all the countries studied experienced the Month of The Year Effect. Based on the research results, the author suggests that different analysis techniques can be used for further research, and investors can consider the trading day and month before making investment decisions.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Anomali Pasar, Monday Effect, Weekend Effect, Month of The Year Effect.
Subjects:	H Social Sciences > HG Finance > HG4001-4285 Finance management. Business finance. Corporation finance
Divisions:	01-Faculty of Economics > 61201-Management (S1)
Depositing User:	Siti Lutfiah Damayanti
Date Deposited:	04 Aug 2021 03:16
Last Modified:	04 Aug 2021 03:16
URI:	http://repository.unsri.ac.id/id/eprint/51412

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