Alliyah, Chudrotul (2017) Analisis Anomali Pasar Modal Terhadap Return Dan Abnormal Return Di Jakarta Islamic Index Tahun 2015. Sarjana thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan untuk mengetahui perbedaan return saham harian, serta keberadaan dan pengaruh dari anomali musiman, khususnya Monday dan Weekend effect terhadap return dan abnormal return dengan menggunakan Index pasar JII (Jakarta Islamic Index) periode pengamatan tahun 2015. Metode yang digunakan untuk menguji hipotesis dengan menggunakan Analysis of Variance (ANOVA) dan Analisis Regresi Linear Berganda. Hasil penelitian menunjukkan bahwa pada saham-saham yang diperdagangkan di JII terdapat perbedaan rata-rata return saham harian, terjadi peristiwa Monday effect, serta peristiwa Monday effect berpengaruh terhadap besarnya abnormal return saham di JII. Namun, penelitian ini menunjukkan bahwa tidak terjadi peristiwa Weekend effect.
English Abstract
This study aimed to determine the difference of daily stock returns, existence and influence of seasonal anomalies, especially Monday and Weekend effect on returns and abnormal retuns using JII market index (Jakarta Islamic Index). Methods which are used to test hypotheses are Analysis of Variance (ANOVA) and Multiple linear regression. The finding show that there are difference in daily average stock returns, Monday effect phenomenom exist, and Monday effect influence to abnormal returns in JII. However, Weekend effect does not exist in JII.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FE/2017/470/051708944 |
| Uncontrolled Keywords: | Monday effect, Weekend effect, return, abnormal return, Jakarta Islamic Index |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.6 Investment > 332.63 Specific forms of investment > 332.632 Securities, real estate, commodities > 332.632 2 Stocks (Shares) > 332.632 22 Prices |
| Divisions: | Fakultas Ekonomi dan Bisnis > Ilmu Ekonomi |
| Depositing User: | Nur Cholis |
| Date Deposited: | 02 Oct 2017 02:19 |
| Last Modified: | 28 Sep 2020 16:30 |
| URI: | http://repository.ub.ac.id/id/eprint/3018 |
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