MAGNITUDE DRIFT EFFECT WINNER AND LOSER STOCKS: LQ45 AND FTSE100

Tanuprasodjo, Felita and Mahadwartha, Putu Anom (2016) MAGNITUDE DRIFT EFFECT WINNER AND LOSER STOCKS: LQ45 AND FTSE100. In: The 2nd INDONESIAN FINANCE ASSOCIATION International Conference 2016, August 10, 2016 - August 12, 2016 , MM Universitas Gadjah Mada, Yogyakarta, Indonesia. (Submitted)

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Abstract

This research is aimed to examine and find out empirical evidence of magnitude drift effect on 10 winner LQ45, 10 loser LQ45, 5 winner FTSE100 Malaysia and 5 loser FTSE100 Malaysia. One sample t-test and independent sample t-test are used to test the magnitude drift effect. The result show the positive magnitude drift effect on Monday-Wednesday at 10 Winner LQ45 and 5 winner FTSE100, Monday-Tuesday at 10 Loser LQ45, Monday-Thursday at 5 Loser FTSE100 and the negative magnitude drift effect occurs on Thursday-Friday at 10 Winner LQ45 and 5 Loser FTSE100, Wednesday-Friday at 10 Loser LQ45 and Friday-Monday at 5 Winner FTSE100. Magnitude drift in Malaysia occurs more than magnitude drift in Indonesia.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: Market Anomaly, Days of the Week Effect, Magnitude Drift Effect
Subjects: H Social Sciences > HG Finance
Divisions: Postgraduate Programs > Master Program in Management
Depositing User: Putu Anom mahadwartha 31140
Date Deposited: 25 Jul 2017 08:48
Last Modified: 22 Aug 2017 02:13
URI: http://repository.ubaya.ac.id/id/eprint/30412

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