Record Details


Field	Value

Title	Turn-off-the-Month Effect on Stocks in LQ45 Index and Various Sectors in the Indonesia Stock Exchange using GARCH (p,q)

Creator	Galih Pandekar; Universitas Indonesia Nadia Putrini; Universitas Indonesia

Subject	Capital Market

Description	There are few types of anomalies that occur in the Indonesia Stock Exchange, for example monthly effect, day-of-the-week effect, January effect, holiday effect, and turn-of-the-month effect. The existence of these anomalies is in contrast to the efﬁcient market hypothesis theory, due to a signiﬁ-cant difference in returns during certain periods. By using time-series analysis and the GARCH(p,q) method, the existence of the turn-of-the-month effect has been found in the Jakarta Composite Index, sectoral indexes, and stocks in LQ45. The turn-of-the-month effect seems to be seen in the last two days and the four previous days of each month. The January effect does not incite the turn-of-the-month effect. The turn-of-the-month effect appears due to an increasing volume of stocks acquired by investment managers who want to see their portfolio performance better. activate javascript

Publisher	Management Research Center, Department of Management, Faculty of Economics and Business, U

Contributor	—

Date	2012-01-03

Type	Peer-reviewed Article

Format	application/mbox

Identifier	http://journal.ui.ac.id/index.php/icmr/article/view/3667

Source	Indonesian Capital Market Review; Vol 4, No 1 (2012): January 2012

Language	en

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