“PENGARUH SIZE EFFECT DAN INDUSTRI SEKTORAL TERHADAP MONTH OF THE YEAR EFFECT DI BURSA EFEK INDONESIA”

Fridolin, Petrus Jean (2015) “PENGARUH SIZE EFFECT DAN INDUSTRI SEKTORAL TERHADAP MONTH OF THE YEAR EFFECT DI BURSA EFEK INDONESIA”. Other thesis, Unika Soegijapranata Semarang.

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Abstract

It is the background of this study is interested researchers observed that efficient markets do not provide the opportunity to earn abnormal returns on Indonesian stock exchange by using a market anomaly Month of the Year Effect. Efficient market in question is the index size enterprise board (main board and the development board) and the index of industrial sectors. The purpose of this study was to determine whether there is influence of the size factor on the month of the year effect in BEI and determine whether there is influence of the industrial sector to the month of the year effect in BEI. This study uses monthly observation period of years from 2007 to 2014. Observations were carried out to see whether the abnormal return that form appear in a particular trade. Researchers used a total of 12 index of 20 indexes that exist in Indonesian stock exchange during the period of 2007 through 2014. The results of this study indicate that a significant regression coefficient on the dummy variables months showed the influence of size and industry sector. Of the 12 index, there are seven indices that shows the regression coefficients for dummy variables are statistically significant month, the index is (1) Agriculture Sector index, (2) Basic Industry Sector Index, (3) Consumer Goods Sector Index, (4) Index Sector Trade & Service, (5) Manufacturing Sector Index, (6) Index Main Board, and (7) Index Development Board. While five other indexes showed none of the dummy variable regression coefficient is statistically significant month. Index - the index are (1) Mining Sector index, (2) Miscellaneous Industry Sector Index, (3) Property Sector Index, (4) Infrastructure Sector Index, and (5) Finance Sector Index.

Item Type:	Thesis (Other)
Subjects:	300 Social Sciences > 330 Economics
Divisions:	Faculty of Economics and Business > Department of Management
Depositing User:	Mr Agung Tri Hartadi
Date Deposited:	14 Jan 2016 06:43
Last Modified:	12 Jul 2023 01:28
URI:	http://repository.unika.ac.id/id/eprint/7355

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