Fikri, Muhammad Akmal and Lingga, Margaretha (2016) The Relationship Between Macroeconomic News Announcement and Calendar Anomaly Towards Indonesia Stock Market Return. Bachelor thesis, Swiss German University.

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Abstract

Calendar anomaly is a phenomenon which occurs and vastly discussed in the financial market. Calendar anomaly itself is a form of anomaly or phenomenon which exist based on a date in a financial market. This research will be focusing towards the relationship between macroeconomic news announcement during January effect and turn-of-the-month effect. The macroeconomic news used in this research including GDP, CPI, PPI, Foreign trade statistics, and inflation rate. The data of daily stock market return is calculated with t-test method. The purpose is to analyze and identify the significance of return during the calendar anomaly compared to the rest of the date. This result will later be calculated again with macroeconomic news announcement by separating the announcement date, and non-announcement date. The result of this research determine that January Effect does not exist in IDX Composite, and LQ45 Index. Turn-of-the-month effect does exist in LQ45 index but, macroeconomic news announcement have no relationship towards this anomaly. The result conclude that macroeconomic news announcement does not affect investors decision in Indonesia.

Item Type:	Thesis (Bachelor)
Uncontrolled Keywords:	Macroeconomic News Announcement; Calendar Anomaly; January Effect; Stock Market Returns; IDX Composite; LQ45; Turn-of-the-month; GDP; CPI; PPI; Foreign Trade Statistics; Inflation Rate.
Subjects:	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:	Atroridho Rizky
Date Deposited:	03 Nov 2020 14:06
Last Modified:	03 Nov 2020 14:06
URI:	http://repository.sgu.ac.id/id/eprint/1357

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