Sagina, Chisa (2017) Analisis The Day Of The Week Effect Dan Monday Effect Pasar Modal (Studi Pada Indeks Sektor Pertambangan Bursa Efek Indonesia (BEI) Di Tahun 2016). Sarjana thesis, Universitas Brawijaya.
Abstract
Literatur keuangan mencatat adanya anomali pasar modal jenis perdagangan harian. Strategi perdagangan harian terbentuk atas keyakinan investor untuk berinvestasi di hari-hari khusus dalam upaya memperoleh return lebih besar dari rata-rata. Pada penelitian ini, fenomena anomali yang diteliti adalah The day of the week effect dan Monday effect melalui Pasar Saham. Data Statistik Bursa Efek Indonesia mencatat terjadi peningkatan nilai kapitalisasi pasar pada sektor pertambangan dari tahun 2015 yang merupakan nilai terendahnya selama tahun 2014 hingga 2016. Sisi pergerakan harga indeks, tahun 2016 sektor pertambangan kembali memperoleh nilai peningkatan terbesar dari kondisi terendahnya di tahun 2015. Kondisi mikro dan makro di tahun 2016 turut mempengaruhi. Kondisi demikian selanjutnya membentuk dugaan adanya pola perdagangan harian. Penelitian ini bertujuan untuk menguji keberadaan anomali The day of the week effect dan Monday effect pada Indeks Sektor Pertambangan Bursa Efek Indonesia di Tahun 2016. Pengujian dilakukan pada variabel return aktual saham harian. Sampel dipilih menggunakan teknik purposive sampling pada populasi Indeks Sektor Pertambangan Bursa Efek Indonesia di Tahun 2016. Berdasarkan kriteria yang ditentukan, diperoleh sampel penelitian sebanyak 10 perusahaan. Identifikasi keberadaan anomali pada penelitian ini dilakukan melalui jenis komparatif pendekatan kuantitatif. Pengujian hipotesis dilakukan dengan unit analisis Kruskal Wallis dikarenakan hasil uji normalitas distribusi data menunjukkan data tidak terdistribusi normal. Hasil penelitian menunjukkan bahwa pada Sektor Pertambangan Bursa Efek Indonesia di Tahun 2016 terdapat perbedaan signifikan pada rata-rata return aktual saham di antara kelima hari perdagangan sehingga disimpulkan terjadi The day of the week effect. Pengujian hipotesis dilanjutkan melalui hasil pemeringkatan Kruskal Wallis dan didapati bahwa pada signifikansi perbedaan tersebut, keseluruhan nilai rata-rata return aktual saham bernilai positif dan nilai rata-rata return aktual saham di hari Senin memperoleh peringkat tertinggi sehingga disimpulkan tidak terjadi Monday effect. Analisis penyebab terjadinya anomali The day of the week effect dan tidak terjadinya Monday effect didasari atas kondisi global, sensitivitas dan karakteristik sektor serta tipe investor. Perbedaan temuan hasil dimungkinkan berbeda bergantung dari karakteristik dan sensitivitas sektor sehingga investor baiknya senantiasa menganalisis strategi terbaik dalam berinvetasi di setiap sektor atau pasar terpilih.
English Abstract
Financial literature has been documented the existence of daily trading anomalies in capital market. Daily trading strategies are formed based on investor confidence’s to invest in special days to make any excess returns than the average. This research examined the presence of anomaly the Day of the week effect and Monday effect in capital market through the Stock Market. Indonesia Stock Exchange Statistics Data recorded there was an increasing value in market capitalization on mining sector in year 2016 from 2015 as the lowest value during 2014 to 2016. Index price movement showed the same, in year 2016 the mining sector obtained the greatest increased value from its lowest in 2015. Micro and macro condition in 2016 also affect. These conditions further alleged a daily trading pattern. This research aims to examine the existence of an anomaly the Day of the week effect and Monday effect on Mining Sector Index of Indonesia Stock Exchange in Year 2016. For the purpose of this research, a test conducted on variable daily’s actual return. Samples were selected using purposive sampling technique in population of Mining Sector Index of Indonesia Stock Exchange in Year 2016. Based on the criteria, the sample obtained for this research consists of 10 companies. Identification of the existence of anomalies was conducted through comparative type with quantitative approach. Hypothesis testing is done with Kruskal Wallis analysis unit based on the result of normality test of data distribution showed data not normally distributed. The results showed that on Mining Sector of Indonesia Stock Exchange in Year 2016 there is a significant difference on the average value of actual stock return among five trading days so it is concluded that the Day of the week effect exists. Hypothesis testing continued through Kruskal Wallis ranks and found that the overall average value of actual stock return are positive and the average stock return on Monday got the highest ranking so the Monday effect is not exists. The explanation of the existence of the Day of the week effect and the absence of Monday effect are analysed based on global conditions, sensitivity and and of the sector also investor’s type. The results of each research may be different depends on the characteristics and sensitivity of the sector. This puts suggestions to investor to constantly analyze the best strategy on investing in each selected sector or market.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FIA/2017/702/051708389 |
| Uncontrolled Keywords: | The day of the week effect, Monday effect, Return aktual saham, Sektor pertambangan, Bursa Efek Indonesia, Kruskal Wallis |
| 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) |
| Divisions: | Fakultas Ilmu Administrasi > Ilmu Administrasi Bisnis / Niaga |
| Depositing User: | Kustati |
| Date Deposited: | 04 Oct 2017 08:02 |
| Last Modified: | 15 Oct 2020 09:04 |
| URI: | http://repository.ub.ac.id/id/eprint/3262 |
Preview |
Text
Sagina, Chisa.pdf Download (3MB) | Preview |
Actions (login required)
 |
View Item |