Weekend Effect di Pasar Modal Indonesia

Budi, Budi (0955005) (2013) Weekend Effect di Pasar Modal Indonesia. Undergraduate thesis, Universitas Kristen Maranatha.

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Abstract

Weekend effect is a phenomenon that has been researched extensively worldwide. In Indonesia research on weekend effect have been done many times and had given mixed result. This research is aimed to find if weekend effect happened in Indonesian stock exchange. Other than that this research is also determined to find whether weekend effect in Indonesia happened on Monday or Tuesday. Lastly this research wanted to find if reversal weekend effect occurred in Indonesian stock exchange. Sample used in this research is stock that is included in LQ45 in the form of LQ45 index. The data is tested yearly and periodically with one year increment. There are two methods which will be used in this research, one way ANOVA if data distributed normally and Kruskal Willis if data did not distribute normally. The data will also be tested pairwise using post hoc test. For one way ANOVA, Tukey HSD will be used if data’s variances are equal and Games Howell if data’s variances are not equal. For Kruskal Willis, Mann Whitney test will be used as pairwise post hoc test. The research shows that both weekend effect and reversal weekend effect did not happened yearly and periodically in Indonesian stock exchange in the period of 2000-2011.

Item Type: Thesis (Undergraduate)
Uncontrolled Keywords: Weekend effect, LQ45, Event Study, Reverse Weekend Effect
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: Faculty of Economics > 55 Management Department (Night Classes)
Depositing User: Perpustakaan Maranatha
Date Deposited: 16 Nov 2015 09:35
Last Modified: 16 Nov 2015 09:35
URI: http://repository.maranatha.edu/id/eprint/17166

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