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. Manajemen dan Bisnis (MABIS), 15 (1). pp. 60-74. ISSN 1412-3789; e-ISSN 2477-1783

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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 shows the positive magni-tude 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 Fri-day-Monday at 5 Winner FTSE100. Magnitude drift in Malaysia occurs more than magnitude drift in Indo-nesia

Item Type:	Article
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:	14 Nov 2019 06:00
Last Modified:	28 Oct 2022 09:16
URI:	http://repository.ubaya.ac.id/id/eprint/36683

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