Calendar anomalies in daily stock returns of Jakarta Stock Exchange

WULAN, Dhatu, Prof.Dr. Zaki Baridwan, MSc

2002 | Tesis | Magister Manajemen

Menurut definisinya, unomuly adalah kcjadian yang tidak bisa dijclaskan dengan teori yang ada. Dalain kasus stock returns, unomuly terjadi ada hubungannya dengan L#cient Murket Theory. Igicicnt Murket Hypotlzesrs (EMH) menyatakan bahwa (1) saham selalu dalain keadaan seiinbang dan (2) seorang investor tidak mungkin “mengalahkan pasar” secara terns-menerus (Brigham, 1999). EMH akan berjalan dengan baik dalain kondisi pasar sempurna. Sebuah pasar dikatakan dalam kondisi sempurna j ika memenuhi beberapa persyaratan tertentu. Namun dalam kenyataannya, persyaratan tersebut tidak bisa dipenuhi atau bahkan mustahil untuk dipenuhi. Itulah sebabnya, I:#icieni Murket Theory inempunyai banyak keterbatasan. Karena keterbatasan itu inaka banyak peneliti yang menemukan bukti-bukti yang berlawanan dengan teori. Tujuan dari tesis ini adalah menguji dua culendur unomulres, yaitu duy-ofthe- week effect dan turn-of-the-rnonth efect periode 1990-Juni 2001 di Bursa Efek Jakarta. Hasilnya inenunjukkan bahwa duy-of-the-week dan /urn-c~~ilze-~izo~~/lz effect terjadi di 1HSG returns. lHSG returns cenderung lebih tinggi di hari perdagangan Jumat dan turn-of-the-month

By the definition, an anomaly is an occurrence that cannot be explained by prevailing theory. In the case of stock returns, anomalies occur with respect to the efficient market theory. The efficient market hypothesis (EMH) holds ( 1 ) that stocks are always in equilibrium and (2) that it is impossible for an investor to consistently “beat the market” (Brigham, 1999). The efficient market hypothesis will work perfectly under perfect market condition. A market can be called as “pe~e cmt arket” condition, if it meets certain requirements. However, in reality, some of the requirements cannot be met or even impossible to be met. That is why; Efficient Market Theory is not free of defects. Given these limitations, it is not surprising that researchers soon began to accumulate evidence that appeared to contradict the theory. The purpose of this study is to provide an examination of two calendar anomalies in Jakarta Stock Exchange: day-of-the-week effect and turn-of-themonth effect, from 1990 through June 2001. The results show the existence of the day-of-the-week effect and turn-of-the-month effect in Jakarta Composite Index (IHSG) returns. IHSG returns tend to be higher on Friday and on turn-of-themonth trading days

Kata Kunci : Return Saham,Anomali,EMH