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Chemical Engineering Department, Faculty Of Sain And Technology, Universitas Jambi, Jambi Department Of Agriculture Product Technology, Faculty Of Agriculture, University Of Jambi Centre Of Excellent In Bio-Geo Material, University Of Jambi
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Journal : Jurnal Kajian Akuntansi

 1 
Pengaruh Anomali Pasar terhadap Return Saham Perusahaan LQ-45 Kasdjan, Allan Moechamad Zaennoer; ., Nazarudin; Yusuf, Junaedi
Jurnal Kajian Akuntansi Vol 1 No 1 (2017): JUNI 2017
Publisher : Universitas Swadaya Gunung Jati

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33603/jka.v1i1.512

Abstract

Abstract The debate about the concept of efficient markets are still common among experts until now. However emerged a number of new studies which suggested market anomaly which is a deviation from the concept of efficient markets. One kind of market anomalies is most often observed seasonal anomalies in this study consisted of the day of the week effect, week four effect, and the January effect. This research aims to determine whether there are significant market anomalies on stock return. The unit of analysis in this study is the daily stock return data LQ-45 from the date of July 1st, 2013 to June 30th , 2014. The sample in this research is secondary data and selected by using purposive sampling method. The sample of this research consist of 37 companies listed in index LQ-45 consistently in the period July 1st, 2013 to June 30th, 2014. The analysis method of this research used regression analysis with dummy variable.The result of this research showed that the day of the week effect didn’t have negative significant effect to stock return, week four effect didn’t have negative significant effect to stocks return, and Jauary effect didn’t have positive significant effect to stock return. Keywords: Day Of The Week Effect; Week Four Effect; January Effect; Stock Return; Market Anomaly. Abstrak Perdebatan tentang konsep pasar yang efisien masih umum di kalangan para ahli sampai sekarang. Namun, kemunculan pasar anomali yang merupakan penyimpangan dari konsep pasar yang efisien. Salah satu jenis anomali pasar adalah anomali musiman yang paling sering diamati dalam penelitian ini yang terdiri dari efek hari minggu, efek minggu keempat, dan bulan Januari Efek Penelitian ini bertujuan untuk mengetahui apakah ada anomali pasar (efek hari minggu, efek minggu ke empat, pengaruh Januari) terhadap return saham. Unit analisis dalam penelitian ini adalah data return saham harian LQ-45 Dari tanggal 1 Juli 2013 sampai 30 Juni 2014. Penelitian ini memanfaatkan data sekunder dengan metode purposive sampling. Konsistensi LQ-45 pada periode 1 Juli 2013 sampai 30 Juni 2014. Metode analisis dalam penelitian ini adalah hasil dari penelitian ini Pengaruh efek minggu ini tidak berpengaruh negatif terhadap return saham, pengaruh minggu ke empat tidak memiliki Efek negatif terhadap return saham, dan efek January tidak berpengaruh positif terhadap return saham.Kata kunci: Day Of The Week Effect; Week Four Effect; January Effect;Stock Return; Anomali Pasar.
Co-Authors -, Maison AA Sudharmawan, AA Abu Bakar Abu Bakar Achmad Hizazi Achmad, E Adang, Ferry Ade Yulia Afreni Hamidah Afrida Afrida Afrida Afrida Agus Ari Setiawansyah Agus Salim Agus Salim Agus Subagyo Agustini, Yetty Ahmad Syadzali Alfernando, Oki Allan Moechamad Zaennoer Kasdjan, Allan Moechamad Zaennoer Amalia, Rahma Andi Aderus Andriani, Nova Andrilolo, Andrilolo Arafi Satria Nugraha Ardina, V Aris Doyan Aris Doyan Aritonang, Anthoni Batahan Armando, YG Asep Bambang Susanto asih, yekti purwo Asmiyunda Asni Johari Asrial Asyhar, R Balqis Rahmatullah Putri Bilady, Royhan Budiono, Satwiko Cahyati, Septina Yuri Darmiyati Dedi Gusriadi Degirmenci, Volkan Deni Irawan Dewantara, Dede Dian Wulansari Dian Wulansari, Dian Dwina, Dila Oktarise Dyah Kumalasari E. Maryana Edy Panda Erawaty, Lela Ervan Johan Wicaksana Evita Anggereini Firdaus Muhammad FITRY TAFZI Friani, Desi Gabriel, Marthen Gusriadi, Dedi Hadi Nur Hadistya Suryadri Haviz, M Hesti Megawati Hutwan Syarifuddin I. Rahmayani Ibnatun Rif'ah Ilham Falani Indra Agung Pratama Indra Indra Indriyani Indriyani, I Iqbal Ridho Juliandri Ira Galih Ira Galih Prabasari Irma Rahmayani Irma Rahmayani Ishak, Putri Mutiara Ismail, Gurawan Dayona Juanda, Adrisma Jumardi Budiman Junaedi Yusuf, Junaedi Junri anton Situmorang Kanto, Rizky Khusnelia, Jeni Kurniaty, Dwi Lai, Sin Yuan Lavlinesia Lavlinesia Lavlinesia, lavlinesia Leny Marlinda Lestari, AD Lisani Lisani, Lisani Liza Aulia Yusfi M. Rizki Mahardini, Angger Putri Mahmuddin Mahmuddin Marlinda, Leny Martinus Maslim Medina Alia Rahmawati Muhammad Agus Muljanto Mukhamad Nurhadi, Mukhamad Mundarti, Sri Murdia, Agus Miranda Mursalin Mursalin . Mursalin, M Mursyid Mursyid . Mursyid Mursyid N Panjaitan Nawahdani, Ahmad Mansur Ninada, Ninada Nova Kafrita Nur Wulandari Nursela, S Oki Alfernando Oman Zuas Pamungkas, Putra Panda, Edy Prabasari, IG Prabowo, Yulius Pratama, Seftiananda Prihatin, Edi Putri Sakinah Harahap Putri, Niken Tasya Clara Ra'ida Raudhatussya'rifah Rahayu Suseno Rahmayani, I Ramadani, Suci Putri Ramadhani, Adisty Rara Ayu Lestary Ratumanan, Tanwey Recky, Recky Ria Amelia Yolanda Rifqi Oktarianda Ripka Nainggolan Rizky Kanto Rosmawati Sipayung Rosyani Rulaini, Melati S.P. Amalia Said Sanimubarak Al'qudusi SALPRIMA YUDHA S Salsabila Setyaningsih Satria, Wiranto Septikasari, Anisa Nur Silvi Leila Rahmi Siregar, Nurainun Siti Nursela Soerja Koesnarpadi Sri Widiyawati Sulistiana, Ika Putri Sunarno Sunarno Surhaini Surhaini, Surhaini Suripto Dwi Yuwono SUSENO, JOKO Susilawati - Tamrin Teguh Wirawan, Teguh Tesy Pratami Tezar, Muhammad Tomara, Anggel Ulyarti Wahyu Ningrum, Wulan Wahyudi Zahar Widyaningsih, Atria Tiffany Widyastuti, Nita Winda Ananda Wirhanuddin, Wirhanuddin Y. G. Armando Yani, Zunarta Yaumidin, Umi K Yogie Yogendra Hans Yuana yuana, Yuana Yuhermita, NM Yuniar Ponco Prananto Yuwono, Suripto D Zunarta Yani