Wulandari, Diah Putri and Dias Satria, SE., M.App.Ec., Ph.D. (2024) Seasonal Effect pada Sektor Kesehatan di BEI Terhadap Return Saham Sebelum dan Sesudah COVID-19. Sarjana thesis, Universitas Brawijaya.
Abstract
Anomali pasar merupakan suatu kondisi penyimpangan dari konsep pasar efisien yang menyebabkan terjadinya abnormal return. Penelitian dimaksudkan untuk menelaah terjadinya anomali musiman pada saham sektor kesehatan dengan membandingkan Monday Effect, Week Four Effect dan January Effect sebelum dan sesudah pandemi Covid-19 selama 2018-2021. Peneliti terdorong melakukan penelitian menyangkut fenomena anomali musiman karena keberagaman hasil penelitian terdahulu utamanya dalam konteks saham sektor kesehatan. Penelitian menggunakan data sekunder berupa closing price harian saham. Populasi penelitian adalah 31 perusahaan dengan sampel sebanyak 5 perusahaan sesuai kriteria menggunakan teknik purposive sampling. Metode yang digunakan adalah Wilcoxon Test untuk mengukur signifikansi data menggunakan program SPSS 21. Hasil penelitian menunjukkan bahwa tidak terdapat fenomena Monday Effect pada periode sebelum dan sesudah Covid-19, tidak terdapat fenomena Week Four Effect pada periode sebelum dan sesudah Covid-19 dan tidak terdapat fenomena January Effect pada periode sebelum dan sesudah Covid-19.
English Abstract
Market anomaly is a condition of deviation from the concept of an Efficient Market Hypothesis (EMH) that causes abnormal returns. The research is intended to examine the occurrence of anomalies in health sector stocks by comparing the Monday Effect, Week Four Effect and January Effect before and after the Covid-19 pandemic during 2018-2021. Researchers were encouraged to conduct research regarding the phenomenon of seasonal anomalies due to the diversity of previous research results, especially in the context of health sector stocks. The study used secondary data in the form of daily closing prices of shares. The study population was 31 companies with a sample of 5 companies according to the criteria. The method used is Wilcoxon Test to measure the significance of the data using the SPSS 21 program. The results showed that there was no Monday Effect phenomenon in the periode before and after Covid-19, no Week Four Effect phenomenon in the period before and after Covid-19 and no January Effect phenomenon in the period before and after Covid-19.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | 0524020037 |
| Uncontrolled Keywords: | Efficient Market Hypothesis, Market Anomalies, Seasonal Anomalies, Monday Effect, Week Four Effect, January Effect |
| Divisions: | Fakultas Ekonomi dan Bisnis > Ilmu Ekonomi |
| Depositing User: | Unnamed user with username nova |
| Date Deposited: | 20 May 2024 06:24 |
| Last Modified: | 20 May 2024 06:24 |
| URI: | http://repository.ub.ac.id/id/eprint/219065 |
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