Analisis Calendar Anomalied di IHSG dalam Perioda Sebelum dan Selama Krisis Global (Januari 2004-Desember 2011)

Risyanto Krisna Suryaputra, I Wayan Nuka Lantara, S.E., M.Si., Ph.D.

2013 | Tesis | S2 Magister Manajemen

Penelitian ini bertujuan untuk menganalisis adanya fenomena calendar anomalies yang terdiri dari January effect, weekend effect dan turn-of-the-month effect terjadi dalam Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia sebelum krisis Global dan selama krisis Global. Pengujian dalam penelitian ini menggunakan uji beda (one sample t-test) dan uji regresi berganda dengan variabel dummy. Hasil penelitian menunjukkan bahwa January dan weekend effect tidak terjadi di IHSG dalam perioda sebelum dan selama krisis Global, sedangkan pengujian Turn of the Month Effect terjadi sebelum krisis global, namun pada perioda selama krisis global fenomena turn-of-the-month effect tidak terjadi.

This study aims to analyze the phenomenon of calendar anomalies consisting of the January effect, weekend effect and the turn-of-the-month effect occurs in the IHSG in Indonesia Stock Exchange before and during the global crisis. This study utilize using a t-test (one-sample t-test) and multiple regression test with dummy variables. The results showed that January and Weekend effect does not occur in the IHSG in period before and during the global crisis, while testing turn-of-the-month Effect occurred before the global crisis, but the period during the global crisis phenomena turn-of-the-month effect does not occur.

Kata Kunci : Calendar Anomalies, January effect, weekend effect, turn-of-the-month effect, Krisis Global