ANALISIS MONDAY EFFECT, WEEK�FOUR EFFECT, DAN ROGALSKI EFFECT DI BURSA EFEK INDONESIA PADA PERIODE BEARISH DAN BULLISH
This research investigates the existence of Monday effect, week-four effect, and Rogalski effect in Indonesian Stock Market when Indonesia was on the long bearish and bullish period because of Subprime Mortgage Crisis on 2008. This research uses the return of 21 companies that consistently listed on...
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| Main Authors: | , |
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| Format: | Theses and Dissertations NonPeerReviewed |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2013
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/120103/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=60111 |
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| Institution: | Universitas Gadjah Mada |
| Summary: | This research investigates the existence of Monday effect, week-four effect,
and Rogalski effect in Indonesian Stock Market when Indonesia was on the long
bearish and bullish period because of Subprime Mortgage Crisis on 2008.
This research uses the return of 21 companies that consistently listed on LQ
45 as the sample. Utilizing Independent T-Test and significant level 5%, this research
proves that there was Monday effect during bearish period, but we can�t find weekfour
effect and Rogalski effect during this period. During bullish period, we can�t
find Monday effect and week-for effect, but there was positive return that
significantly occurs on April. It means that there was the Rogalski effect.
These results show us that there are the differences seasonal anomalies
patterns during bearish and bullish period. Results on the bullish period show us that
the uptrend market can make the investors minimize the non-rational factors. Then
the disappearance of Monday effect and the existence of Rogalski effect on the
bearish period show us that the investors aren�t optimistic the market. |
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