scholarly journals Sell in May and Go Away or Just Another January Effect? Studied of Anomaly in Indonesia Stock Exchange

2020 ◽  
Vol 1 (1) ◽  
pp. 45-56
Author(s):  
Restu Hayati ◽  
Mimelientesa Irman ◽  
Lintang Nur Agia
Keyword(s):  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
January Effect ◽  
Rate Of Return ◽  
Efficient Market ◽  
Risk And Return ◽  
High Return ◽  
Return Anomaly ◽  
The Relationship

Sell in May and go away is a phenomenon of return anomaly that starts in May and lasts until October. These months are called the worst months of stocks. Conversely, the months of November to April are often referred to as the best months of the stock where a higher rate of return is achieved throughout the year. Although it has not been proven academically, this phenomenon has been mentioned by various media in Indonesia such as Kontan, CNN Indonesia, and Tempo Business which are predicted to correct the JCI throughout 2017.  The purpose of this study is to prove the phenomenon of sell in May and go away on the Indonesia Stock Exchange, and find out whether the average best return of the month is affected by the high return in January.  The results prove that even though the average returns increase in November-April was due to the high return in January, but there was no sell in May and go away on the Indonesia Stock Exchange. Under these conditions, the direction of the relationship between risk and return is the opposite that directs the Indonesia Stock Exchange to the efficient market hypothesis.

scholarly journals Testing the Existence of January Effect in Indonesia and Kuala Lumpur Shariah Compliance

2014 ◽  
Vol 1 (2) ◽  
pp. 187-196
Author(s):  
Helma Malini ◽  
Mohamad Jais
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
January Effect ◽  
Kuala Lumpur ◽  
Efficient Market ◽  
Calendar Effects ◽  
One Step ◽  
New Industry

This paper investigates the existence of January Effect in Indonesia and Malaysia Shari’ah stock market and the implication for stock market efficiency. Shari’ah Compliance is relatively  a new industry both for Indonesia and Malaysia, although the growth is continously increasing over the year. There are significant differences between investing in Shari’ah compliant than the conventional stock market, since Shari’ah capital market have to followed a set of rules form the stock exchange and also followed Islamic capital market law and principles. Study that focusing about Shari’ah compliance both for Indonesia and Malaysia is still rare, that is why this study taking one step further by examining the january effect in Indonesia and Malaysia Shariah compliance. Regression model with dummy variables and monthly price of companies that classified in the Indonesia and Malaysia Shari’ah compliance from January 2000 to December 2012 to test the Janaury effect in the stock return of Indonesia Shari’ah compliance and Kuala Lumpur Shari’ah compliance. It was empirically found that, although Janaury anomaly does not exist in Indonesia Shari’ah compliance and in Kuala Lumpur Shari’ah compliance. Other result showed that both Shari'ah compliance also enjoyed significant return in other month beside January which is July for Indonesia and September, October and November for Malaysia, which raises question against Efficient Market Hypothesis (EMH). Keywords:  Calendar effects, Indonesia and Malaysia Shari’ah compliance, January Effect, Efficient Market Hypothesis

scholarly journals Analisis January Effect Pada Saham Astra Internasional (ASII) Di Bursa Efek Indonesia Pada Periode 2005 - 2015

2016 ◽  
Vol 8 (2) ◽  
pp. 54-63
Author(s):  
Andreas Kiky
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
January Effect ◽  
Efficient Market ◽  
Expected Return ◽  
New Information ◽  
Past Data ◽  
Market Anomaly

In Stock Market our goal is pursue optimum wealth by appreciation of our Stocks. Stock price fluctuate over time as nobody can predict. In this research our aim is to observe the market anomaly that might be happened as the investor behave. We will examine January Effect as Keim observe in 1986 in Indonesia Stock Exchange. Also we can also examine Efficient Market Hypothesis as the result from anomaly and abnormal return that founded in this research. If we can find the market anomaly perhaps we can map the market seasonal trend as the past data recorded. If this anomaly exists we could suggest investor to invest their money as the anomaly data shown. Then investor could gain optimum wealth base on this information. Purpose of this paper is to examine market anomaly and does it exist in Indonesia market? Our main objective is to predict the market movement base on seasonal or anomaly pattern that has been found in previous research. We use CAPM to measure Expected Return of Asset and we use ASII stock price to measure the return of the stock. Our finding is far from our expectation. We expect to find January Effect here but unfortunately we found another anomaly that happen in May and October. Our research suggest that we should cautious for this investor behavior because they seem react as the new information or news appear Keywords: Abnormal Return, January-Effect, Market Anomaly, CAPM, Efficient Market Hypothesis

scholarly journals Die Johannesburgse Effektebeurs as rasionele kapitaalmark

1981 ◽  
Vol 12 (3) ◽  
pp. 53-59 ◽  
Author(s):  
Leon M. Brummer ◽  
Pieter J. Jacobs
Keyword(s):  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Small Degree ◽  
Point Of View ◽  
Efficient Market ◽  
Price Changes ◽  
Economic Point ◽  
Johannesburg Stock Exchange ◽  
Measure Of Dependence

The Johannesburg Stock Exchange as an efficient market. Finality has not yet been reached on the question whether the Johannesburg Stock Exchange complies with the requirements of the efficient market hypothesis. The results of the research that are published in this article is therefore an attempt to make a contribution to the debate regarding the Johannesburg Stock Exchange as an efficient market. By way of serial correlations as well as runs tests an investigation was carried out into the behaviour of the prices of 94 quoted shares for the period 1970 to 1977. The results of the study give rise to the conclusion that the Johannesburg Stock Exchange does not statistically comply with the weak form of the efficient market hypothesis (the random walk hypothesis), as a measure of dependence between successive price changes was found. Seen from an economic point of view it is, however, doubtful whether investors could use this small degree of dependence between price changes to gain higher returns on share investments.Uitsluitsel met betrekking tot die mate waartoe die Johannesburgse Effektebeurs aan die vereistes vir 'n rasionele mark voldoen, is nog nie verkry nie. Die resultate wat in hierdie artikel voorkom is daarom 'n poging om 'n bydrae in die debat rakende die Johannesburgse Effektebeurs as 'n rasionele mark, te maak. 'n Ondersoek na die markpryse van 94 genoteerde aandele vir die periode 1970-77 is deur middel van reekskorrelasiekoeffisiente en die lopietoets uitgevoer. Die resultate van die studie gee aanleiding tot die gevolgtrekking dat die Johannesburgse Effektebeurs nie statisties aan die swak vorm van die rasionele markhipotese (die willekeurige beweging van markpryse) voldoen nie, aangesien 'n mate van afhanklikheid tussen opeenvolgende prysveranderings gevind is. Uit 'n ekonomiese oogpunt gesien is dit egter twyfelagtig of beleggers hierdie afhanklikheid sal kan aanwend om hoer opbrengste op aandelebeleggings te bewerkstellig.

ANOMALI PASAR PADA RETURN SAHAM LQ 45 DI BURSA EFEK INDONESIA: FENOMENA THE DAY OF WEEK EFFECT, WEEK FOUR EFFECT, ROGALSKY EFFECT, DAN JANUARY EFFECT

2016 ◽  
Vol 12 (1) ◽  
pp. 51
Author(s):  
Reza Widhar Pahlevi
Keyword(s):  
Empirical Research ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Weak Form ◽  
Strong Form ◽  
January Effect ◽  
Efficient Markets ◽  
Efficient Market ◽  
Market Anomalies ◽  
Day Of The Week

Market anomalies appears on all forms of efficient markets, both weak form, semi-strong and strongform. But plenty of evidence to link the anomaly with semi-strong form efficient market exploited togenerate abnormal returns. Market anomalies that is often discussed is the Day of the Week Effect,January Effect, Week Four Effect and other market anomalies. Empirical research is intended todetermine whether there is the phenomenon of the day of the week effect, week four effect, the effectrogalsky and January effect on LQ 45 stocks in the Indonesia Stock Exchange year period 2014-2015.Based on the analysis of data, shows that there is the phenomenon of the day of week effect on thecompany LQ-45 in Indonesia Stock Exchange 2014-2015 period, there is the phenomenon of weekfour effect on the LQ-45 in Indonesia Stock Exchange 2014-2015 period, there are phenomenonRogalski Effect on the LQ-45 in Indonesia Stock Exchange 2014-2015 period and there is no Januaryeffect phenomenon in the LQ-45 in Indonesia Stock Exchange 2014-2015 period.Keywords: the day of the week effect, week four effect, rogalsky effect and january effect

scholarly journals The relationship between changes in money supply and changes in share prices: The semi-strong form efficiency of the Johannesburg Stock Exchange revisited

1995 ◽  
Vol 26 (1) ◽  
pp. 19-27 ◽  
Author(s):  
R. D. Glass ◽  
E. V.D.M. Smit
Keyword(s):  
Market Efficiency ◽  
Money Supply ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Strong Form ◽  
Share Prices ◽  
Johannesburg Stock Exchange ◽  
Ex Post ◽  
Rigorous Test ◽  
The Relationship

In this article the semi-strong form of share market efficiency over the period 1978 to 1992 is considered, particularly with regard to information about changes in the money supply. To ensure a rigorous test of market efficiency, monetary growth has been decomposed, into anticipated and unanticipated elements. The All Share Index of the Johannesburg Stock Exchange is regressed against the monetary variables. The test results indicate that lagged changes in anticipated monetary growth are significant in explaining changes in share prices, a finding contrary to the efficient market hypothesis. However, the low coefficients of determination indicate that only a small percentage of the variation in share prices is explained by ex post changes in money supply and consequently the potential for a trading rule to earn superior returns to the market is limited.

scholarly journals Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations

2020 ◽  
pp. 1-13
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Unit Root Test ◽  
General Meeting ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Annual Data ◽  
Efficient Market ◽  
Price Series

This study; Nigerian Stock Exchange and Efficient Market Hypothesis was done using All Share Index (ASI) with daily data from January 02, 2014 to May 20, 2019 (1333 observations) and annual data from 1985 to 2018 (34 observations) collected from the Nigeria Stock Market fact books. The study employed three analytical methods namely the unit root test, GARCH Model and the Autocorrelation cum patial autocorrelation method for the assessment of weak form hypothesis on the daily and annual all share index in the Nigerian Stock market. The results of these evaluations indicated a significant relationship between the price series and their lagged values implying that stock price series do not follow a random walk process in Nigerian stock market. Thus, affirming that the Nigeria Stock Exchange is not efficient in weak form. In the light of this, the researchers recommend that the supervisory and regulatory authorities should strengthen the Nigerian Stock Market through palliating its regulations pertaining to transparency of information management rules such as market barriers and stringent listing requirement, publication of accounts, notices of annual general meeting and the like.

scholarly journals The Disappearing Calendar Anomalies in the Singapore Stock Market

2006 ◽  
Vol 11 (2) ◽  
pp. 123-139 ◽  
Author(s):  
Wing-Keung Wong ◽  
Aman Agarwal ◽  
Nee-Tat Wong
Keyword(s):  
Stock Market ◽  
Efficient Market Hypothesis ◽  
Stock Index ◽  
January Effect ◽  
Trading Behavior ◽  
Recent Period ◽  
Efficient Market ◽  
Day Of The Week ◽  
Calendar Anomalies ◽  
Stock Index Returns

This paper investigates the calendar anomalies in the Singapore stock market over the recent period from 1993-2005. Specifically, changes in stock index returns are examined surrounding January (the January effect), on different days of the week (the day-of-the-week effect), around the turn of the month (the turn-of-the-month effect) and before holidays (the pre-holiday effect). The findings reveal that these anomalies have largely disappeared from the Singapore stock market in recent years. The disappearance of these anomalies has important implications for the efficient market hypothesis and the trading behavior of investors.

scholarly journals Efficient Market Hypothesis and Market Anomalies of LQ 45 Index in Indonesia Stock Exchange

2019 ◽  
Vol 3 (2) ◽  
pp. 107
Author(s):  
Helma Malini
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Share Price ◽  
Exchange Market ◽  
Efficient Market ◽  
Market Anomalies ◽  
Share Prices ◽  
Year Effect

The paper attempts to investigate the validity of the Efficient Market Hypothesis and the existence of calendar effect on Indonesia Stock Exchange Market. Initially, this paper discusses types of EMH also the literature available regarding this topic. The sample of research is twenty one securities listed in LQ 45 Index on the Indonesia Stock Exchange Market (IDX), this paper applies non parametric tests which are Run test, Kruskal-Wallis test, Mann-Whitney test  parametric test which are series correlation test, One-way Anova test and independent t-test two sample. Based on the results of the test of this paper, it can be concluded that Weak Form Efficient Market exists in LQ 45 Index of IDX while Day of the Week Effect and Month of the Year Effect are not found to exist in LQ 45 Index of IDX. In conclusion, it is observed that the effect of stock prices for the sample companies on future prices is very meager and an investor cannot reap profits by using the historical share price data as the current share prices already reflect the effect of past share prices data.

scholarly journals Efficient Market Hypothesis And Stock Market Anomalies: Empirical Evidence In Four European Countries

2018 ◽  
Vol 34 (1) ◽  
pp. 183-192 ◽  
Author(s):  
Matteo Rossi ◽  
Ardi Gunardi
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Market Anomalies ◽  
Equity Prices ◽  
Company Value ◽  
Calendar Anomalies ◽  
The Garch Model ◽  
New Millennium

The stock market efficiency is the idea that equity prices of listed companies reveal all the data regarding the company value (Fama, 1965). In this way, there isn’t possible to make additional returns. However, evidence against the Efficient Market Hypothesis is growing. Researchers studied Calendar Anomalies (CAs) that characterised financial markets. These CAs contradict the efficient hypothesis. This research studies some of the most important market anomalies in France, Germany, Italy and Spain stock exchange indexes in the first decade of new millennium (2001-2010). In this study, to verify the distribution of the returns and their auto correlation, we use statistical methods: the GARCH model and the OLS regression. The analysis doesn’t show strong proof of comprehensive Calendar Anomalies. Some of these effects are country-specific. Furthermore, these country-anomalies are instable in the first decade of new millennium, and this result demonstrates some doubt on the significance of CAs.

scholarly journals Behavioral finance: the analysis of investor behavior based on belief and feeling and the investor rationality towards LQ 45 stocks

2018 ◽  
Vol 15 (1) ◽  
pp. 292-298
Author(s):  
Etty Indriani ◽  
Cahyani Tunggal Sari
Keyword(s):  
Regression Analysis ◽  
High Risk ◽  
Behavioral Finance ◽  
Significant Relationship ◽  
Stock Exchange ◽  
Low Risk ◽  
Investor Behavior ◽  
Average Return ◽  
High Return ◽  
The Relationship

This research analyzes behavioral finance, especially the behavior of investors in Yogyakarta, Indonesia Region. The performance of investor behavior is examined based on the LQ 45 stocks return on Indonesia Stock Exchange and questionnaires that are spread out to five securities agents in Yogyakarta.The performance of LQ 45 stocks return is compared to the questionnaire analysis in the “Belief” part at the first and second stages. The first result shows that LQ 45 stocks are profitable. It can be seen from the average return of the stocks that it has positive value and is statistically identical with the LQ 45 index return. This result is in line with the investors’ opinion that LQ 45 stocks are profitable. The second result shows that most of LQ 45 stocks are profitable and give high return. But, this result is also contrary to the opinion of investors towards traditional finance paradigm that investors still believe “high risk – high return, low risk – low return”. Although most of LQ 45 stocks are considered as low risk stocks, many investors prefer to choose LQ 45 stocks. It means that the traditional finance paradigm has weakness. It is proven that investors sometimes act irrationally.The third and fourth stages of the study are aimed to analyze the relationship between feeling and belief towards frequency of transaction each day based on the questionnaire using regression analysis. The result shows that there is significant relationship between feeling and frequency of transaction each day.

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