JANUARY EFFECT DAN MARCH EFFECT DI BURSA EFEK INDONESIA (BEI) PERIODE 2007-2009
This research has a purpose to analyze the existence of January effect and March Effect phenomenon through an observation of the stocks rate of return since it�d been an indicator of an inefficient capital stock market. This research is using the datas of all companies that have been listed in Ind...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2013
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| Summary: | This research has a purpose to analyze the existence of January effect and
March Effect phenomenon through an observation of the stocks rate of return
since it�d been an indicator of an inefficient capital stock market. This research is
using the datas of all companies that have been listed in Indonesia Stock Market
(BEI) LQ45 (liquid 45) in the period of 2007-2009. This research also use
purposive sampling method to gather the datas and using a multiple linear
regression with dummy variable for data processing.
The result of this research shows the existence of January effect
phenomenon that had been described in Window Dressing hypothesis, in the other
hand, the result doesn�t show any evidence of the March Effect as it described in
Parking the Proceeds hypothesis that there were a connections between Tax Loss
and Stock Returns. We can conclude that the Indonesian Capital Stock Exchange
is inefficient because of the behavior of the institutional investor or portfolio
manager to �Dressing up� their portfolio in the end of the year. They sold the
losing investment and hold the winning.
There is no evidence of the existence of March Effect in this research
because of the difference of tax policy in Indonesia and another country. |
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