Analisis Fenomena Anomali pasar January Effect dan Korelasi diantara Tiga Emerging stock Market Asia periode 2000-2006

Fauzi, Nurul (2007) Analisis Fenomena Anomali pasar January Effect dan Korelasi diantara Tiga Emerging stock Market Asia periode 2000-2006. JURNAL AKUNTANSI & MANAJEMEN, 2 (2). pp. 63-77. ISSN 1858-3687

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Abstract

The objectives of this sludy is to test the hypothesis whether there is a market anomaly in threeemerging stock markets in Asia i.e.; Shanghai Stock Exchange, Bombay Stock Exchange andJakarta Stock Exchange, and to test the correlation among those three emerging stock marketsduring 2000 to 2O06. This periods were chosen because ihe growth of the composite index forthose,three emerging stock market was marvelous. The data was collected from monthly closingprice from composite index of the each of the stock markets. For each market we got 84 months ofaverage return. ln addition, this data was tested by using One Way ANOVA, independent sample t-testand correlation analysis. The result of One Way Anova and independent sample t-test showsthat there was no January effect found in any stock markets. This result supports the previousresearch which concluded that there was only little January effect phenomena found in theemerging stock markets. The cross conelation analysis among the three markets concludes thatthe market that experience barriers such as Shanghai Stock Exchange is more segmented than theother markets, and the correlation between that market and the other two markets is weak. lncontrast, those markets which do not have barriers, the markets are integrated and the correlationamong them is strong and significant as shown in Bombay Stock Exchange and Jakarta StockExchange.

Item Type:Article
Subjects:C Social Sciences > CF Commerce > CF1 Accounting
Divisions:Jurusan Akuntansi > Prog.Studi Akuntansi-D3 > Jurnal/Karya Ilmiah
ID Code:233
Deposited By:Mr. OP Repo-2 Puskom
Deposited On:12 Oct 2016 11:23
Last Modified:08 Nov 2016 15:10

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