ANALISIS INTRADAY SAHAM WINNER DAN LOSER DI BURSA EFEK INDONESIA

Hermanto, Julia Ferry and Mahadwartha, Putu Anom (2017) ANALISIS INTRADAY SAHAM WINNER DAN LOSER DI BURSA EFEK INDONESIA. In: 3rd Indonesian Finance Association Conference 2017, 2-3 Agustus 2017, UI Jakarta. (Unpublished)

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Abstract

This study investigates anomaly intraday effect in winner and loser stock which listed at Bursa Efek Indonesia. Using frequency of daily transaction of the stock and cumulative actual return to choose winner and loser stock, this study found that stocks which are winner in the past tend to be a loser stock in present, otherwise, stocks which are loser in the past tend to be a winner stock in present. This study also found that winner and loser stocks tend to produce the highest abnormal return in 15 minutes before first session's closing until first session's closing of trading day as well as winner and loser stocks tend to produce the lowest abnormal return in 15 minutes before closing until closing of trading day.

Item Type: Conference or Workshop Item (Paper)
Subjects: H Social Sciences > HG Finance
Divisions: Postgraduate Programs > Master Program in Management
Depositing User: Putu Anom mahadwartha 31140
Date Deposited: 09 Aug 2017 09:17
Last Modified: 16 Aug 2017 07:15
URI: http://repository.ubaya.ac.id/id/eprint/30550

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