PENGARUH ANOMALI PASAR TERHADAP RETURN SAHAM  PADA INDEKS LQ- 45 SELAMA MASA PANDEMI  COVID-19 DI INDONESIA

Larissa Larissa; Darwin Lie; Elly Susanti; Juan Anatasia Putri

Larissa Larissa Sekolah Tinggi Ilmu Ekonomi Sultan Agung
Darwin Lie Sekolah Tinggi Ilmu Ekonomi Sultan Agung
Elly Susanti Sekolah Tinggi Ilmu Ekonomi Sultan Agung
Juan Anatasia Putri Sekolah Tinggi Ilmu Ekonomi Sultan Agung

Keywords: Market Anomalies and Stock Returns

Abstract

The purpose of this study was to determine the description of market anomalies and stock returns and to determine the effect of market anomalies in terms of week four on stock returns. The analysis technique used is the classical assumption test, multiple and simple linear regression analysis, correlation coefficient and determnation and hypothesis testing. The research results are concluded as follows: 1. The average SM1, SM2, SM3, SM5 tends to decrease while SM4 has increased. 2. Multiple linear regression results: SM1, SM2, SM3, SM4, SM5 have a positive effect on stock returns Simple linear regression results: SM1 has a positive effect on stock returns, SM2, SM3 have a negative effect on stock returns and SM4, SM5 have a positive effect on stock returns. 4. Based on the correlation coefficient test results: strong attachments were found between the variables SM1, SM2, SM3, SM4, SM5 and stock returns. 5. The results of the t test: SM1, SM2 have a positive and signficant effect on stock returns, SM3 has a negative and non-signficant effect on stock returns, SM4 has a positive and non-signficant effect on stock returns and SM5 has a positive and signficant effect on stock returns.

References

Ferita, D. (2018) ‘Analisis Anomali Pasar Terhadap Return Saham Lq-45 Di Bursa Efek Indonesia : Pengujian Day of the Week Effect, Weekend Effect, Week Four Effect Dan Rogalsky Effect’, Jurnal Online Mahasiswa, 1(1), pp. 1689–1699.
Hartono, J. (2019) Teori portofolio dan Analisis Investasi. 11th edn. Yogyakarta: BPFE- YOGYAKARTA.
Ismail (2010) Akuntansi Bank: Teori dan Aplikasi dalam Rupiah. Ed. 1. Jakarta: Kencana.
Kasdjan, A.M.Z., Nazarudin and Yusuf, J. (2017) ‘Pengaruh Anomali Pasar terhadap Return Saham Perusahaan LQ-45’, Jurnal Kajian Akuntansi, 1(1), pp. 35–48. Available at: https://doi.org/10.33603/jka.v1i1.512.
Kusno, H.S. et al. (2021) ‘Pengaruh anomali pasar terhadap return saham perusahaan perbankan yang tedaftar pada bursa efek Indonesia periode 2018-2020’, Jurnal Ekonomi Keuangan dan Manajemen, 17(4), pp. 785–791.
Masitoh, T.A. and Rahayu (2015) ‘Pengaruh Hari Perdagangan Terhadap Return Saham Pada Perusahaan Perkebunan di BEI’, Jurnal Ilmu dan Riset Manajemen, 4(4).
Nuraini, F. (2016) ‘Analisis Anomali Pasar Hari Perdagangan pada Return Saham : Pengujian Dow Effect dan Week-Four Effect di BEI ( Studi pada Indeks Saham LQ45 Tahun 2011 – 2016 )’, e-Proceeding of Management,: 2355-9357, 3(3), pp. 1–5.
Opu, N.V., Farida, N. and Suriana, I. (2022) ‘Pengaruh Anomali Musiman Terhadap Return Saham Perusahaan Perbankan Yang Terdaftar Pada Indeks Saham Lq-45 Periode 2019- 2021’, Jurnal Ekonomi, Keuangan dan Manajemen, 18(3), pp. 513–521.
Samsul, M. (2015) Pasar Modal dan Manajemen Portofolio. 2nd edn. Surabaya: Erlangga.
Saraswati, Y.R., Setiorini, C. and Cornelia, D.A. (2015) ‘Pengaruh The Day Of The Week Effect, Week Four Effect dan Rogalsky Effect terhadap Return Saham Lq-45 di Bursa Efek Indonesia’, Jurnal Riset Akuntansi dan Perpajakan (JRAP), 2(1), pp. 43–54.
Susanti, E. et al. (2020) Dasar - dasar Investasi Bagi Pemula. Edited by H.F. Ningrum. Medan: CV. Media Sains Indonesia.