ANALISIS MONDAY EFFECT, WEEK‐FOUR EFFECT, DAN ROGALSKI EFFECT DI BURSA EFEK INDONESIA PADA PERIODE BEARISH DAN BULLISH

LESTARI WULANDARI, Prof. Marwan Asri, MBA, Ph.D

2013 | Skripsi | MANAJEMEN

ini menguji keberadaan Monday effect, week-four effect, dan Rogalski effect di Bursa Efek Indonesia pada saat Indonesia tengah mengalami bearish dan bullish yang cukup panjang akibat pengaruh krisis tahun 2008. Sampel yang digunakan dalam penelitian ini adalah return saham 21 perusahaan yang secara konsisten masuk ke dalam LQ 45 selama periode pengamatan. Dengan uji Independent T-Test dan level signifikansi 5%, ditemukan bahwa pada periode bearish, terdapat fenomena Monday effect, tetapi tidak ditemukan week-four effect dan Rogalski effect. Sebaliknya, pada periode bullish, Monday effect dan week-four effect tidak terbukti, sedangkan Rogalski effect muncul secara signifikan. Hal ini menunjukkan adanya perbedaan pola seasonal yang terjadi pada saat bearish dan bullish. Tidak terbuktinya Monday effect dan week-four effect pada periode bullish merupakan indikasi bahwa kondisi pasar modal yang uptrend mampu membuat investor meminimalkan unsur-unsur non-rasional. Sebaliknya, pada saat bearish, munculnya Monday effect dan menghilangnya Rogalski effect menunjukkan berkurangnya optimisme investor terhadap pasar.

This research investigates the existence of Monday effect, week-four effect, and Rogalski effect in Indonesian Stock Market when Indonesia was on the long bearish and bullish period because of Subprime Mortgage Crisis on 2008. This research uses the return of 21 companies that consistently listed on LQ 45 as the sample. Utilizing Independent T-Test and significant level 5%, this research proves that there was Monday effect during bearish period, but we can’t find weekfour effect and Rogalski effect during this period. During bullish period, we can’t find Monday effect and week-for effect, but there was positive return that significantly occurs on April. It means that there was the Rogalski effect. These results show us that there are the differences seasonal anomalies patterns during bearish and bullish period. Results on the bullish period show us that the uptrend market can make the investors minimize the non-rational factors. Then the disappearance of Monday effect and the existence of Rogalski effect on the bearish period show us that the investors aren’t optimistic the market.

Kata Kunci : Anomali pasar, Monday effect, week-four effect, Rogalski effect, bearish, bullish