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Title: Analisis fenomena market anomaly month of the year effect terhadap return
Authors: Asri Lestari
Advisors: Taridi Kasbi Ridho
Keywords: market anomalies;GARCH model;return;month of the year effect
Issue Date: 13-Mar-2017
Publisher: Fakultas Ekonomi dan Bisnis
Abstract: The sample period divided into two sub-period, there are sub-period 2010 – 2013 and sub-period 2014 – 2016 in order to indicate the persistence of month of the year effect. The sample selection method used in this research is a purposive sampling method or known as a judgmental sampling method of weekly return from Indonesian’s indexes and world major’s indexes based on certain criteria. As the result, the samples that meet the criteria are consist of 6 Indonesian indexes (BISNIS27, JKSE, KOMPAS100, LQ45, PEFINDO25, SRIKEHATI) and 4 world major’s indexes (CAC40 from France, DAX from Germany, FTSE100 from England, IBEX35 from Spain). Ordinary least squares (OLS) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (1, 1) model is used to analyze the data. The finding shows anomaly month of the year effect exists in some of Indonesia’s indexes and world major’s indexes during the research period with various occurrences. A few number of month of the year effect anomalies in earliest sub-period (2010 – 2013) diminishing in the next sub-period. In conclusion that the intensity of month of the year anomalies is diminishing with time. September effects can be found in most of Indonesian’s indexes such as JKSE in earlier sub-period. January and April effect too can be found in the later sub-period. For the major world indexes, May effect can be found in IBEX35 (Spain) in the earlier sub-period and February effect can be found in FTSE100 (England) in the later sub-period. The research also indicates that the month of the year effects were more persistent among indexes with smaller market capitalization.
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