Analisis Intraday Saham Winner Dan Loser Di Bursa Efek Indonesia

Hermanto, Julian Ferry and Mahadwartha, Putu Anom (2020) Analisis Intraday Saham Winner Dan Loser Di Bursa Efek Indonesia. Keluwih: Jurnal Sosial dan Humaniora, 1 (1). pp. 11-20. ISSN 2722-1741

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Abstract

This study investigates the anomaly intraday effect in winner and loser shares listed on the Indonesia Stock Exchange. Using daily transaction frequency and cumulative actual return to select stocks in the winner and loser category, this study found that stocks that were past winner shares tend to be loser shares in the present. Conversely, shares which are loser shares in the past tend to be winner shares in the present. The study also found that stocks in the winner and loser groups tended to produce the highest abnormal return in the 15 minutes before the close of the first trading session until when the first trading session was closed. Stocks in the group of winners and losers tend to get the lowest abnormal return in the 15 minutes before the close of trading until the time the trade is closed. Penelitian ini menginvestigasi anomaly intraday effect di saham winner dan loser yang terdaftar dalam Bursa Efek Indonesia. Menggunakan frekuensi transaksi harian dan cumulative actual return untuk memilih saham dalam kategori winner dan loser, penelitian ini menemukan bahwa saham yang merupakan saham winner di masa lalu cenderung menjadi saham loser di masa kini. Sebaliknya, saham yang merupakan saham loser di masa lalu cenderung menjadi saham winner di masa kini. Penelitian ini juga menemukan bahwa saham dalam kelompok winner dan loser cenderung menghasilkan abnormal return tertinggi pada 15 menit sebelum penutupan sesi pertama perdagangan sampai penutupan perdagangan sesi pertama dan saham dalam kelompok winner dan loser cenderung menghasilkan abnormal return terendah pada saat 15 menit sebelum penutupan perdagangan sampai penutupan perdagangan.

Item Type:	Article
Uncontrolled Keywords:	intraday, return, abnormal, winner, losser
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
Divisions:	Faculty of Business and Economic > Department of Management
Depositing User:	Ester Sri W. 196039
Date Deposited:	01 Nov 2022 03:53
Last Modified:	01 Nov 2022 03:53
URI:	http://repository.ubaya.ac.id/id/eprint/42827

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