Stefany, Danisha and Lingga, Margaretha and Pasasa, Linus (2014) The Impact of Macroeconomic News Announcement on Calendar Anomalies in Indonesia Stock Indices (2008-2013). Bachelor thesis, Swiss German University.

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Abstract

This research gives emphasis on the investigation of calendar anomaly in Indonesia. Calendar anomalies focused on January effect and Turn-of-the-month from 2008 to 2013 with case IDX composite and ten sector indexes. This research investigates whether calendar anomalies driven by macroeconomic announcement, the announcement that been used are Gross Domestic Products, Wholesale Price Index, Consumer Price Index and Foreign trade statistics. The data that been used is daily return data with parametric test, T-test. The aim is to test the significance of the return during calendar anomalies and the rest of the days. The result from this research shows that January effect is not exists in Indonesia. Turn-of-the-month exists only in consumer goods sectors, which also has been identifies that the macroeconomic announcements has no impact towards the anomaly happen in turn-of-the-month in consumer goods sector. The movement of the stock market towards new information lead to favourable or unfavourable based on individual preferences and result a scattered pattern. The result suggests that investor decision making in Indonesia is not caused by macroeconomic condition.

Item Type:	Thesis (Bachelor)
Uncontrolled Keywords:	IDX Composite, Sector Index, Calendar Anomaly, January Effect, Turn-of-the-Month, Macroeconomic News Announcement, T-Test, Parametric Test, Investment Decision, GDP, CPI, WPI, Foreign Trade Statistic
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HF Commerce > HF5001 Business H Social Sciences > HG Finance > HG4551 Stock exchanges
Divisions:	Faculty of Business Administration and Communication > Department of Business Administration
Depositing User:	Faisal Ifzaldi
Date Deposited:	25 Jul 2021 15:35
Last Modified:	25 Jul 2021 15:35
URI:	http://repository.sgu.ac.id/id/eprint/2111

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