Halloween Effect in Indonesia Stock Exchange
Satria Bagus Wicaksana () and
Nadia Asandimitra ()
International Journal of Academic Research in Accounting, Finance and Management Sciences, 2018, vol. 8, issue 3, 118-127
This Halloween effect research aims to discover whether Halloween Effect as seasonal anomaly gives investors an opportunity to obtain abnormal return in Indonesia Stock Exchange. Halloween Effect theory suggests investor to buy stock in the period of November to April and get out of the market in the other month. Dzahabarov & Ziemba (2016), Maria Caporale & Plastun (2016) support the existence of this anomaly. In this study the sample used is the daily closing price of IHSG period 2011-2017. The variables used in this study are return, expected return, and abnormal return. Return and expected return are used to find abnormal return. This abnormal return will be used to test whether there is a difference between returns in the Halloween and Non-Halloween periods. This study uses t-test to find the difference of abnormal return between periods. The results of this study indicate that the stock market in Indonesia stock exchange does not give different abnormal return in each period.
Keywords: Halloween Effect; abnormal return; seasonal anomaly; Sell in May and Go Away (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:hur:ijaraf:v:8:y:2018:i:3:p:118-127
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