Analisis Intraday Saham Winner dan Loser di Bursa Efek Indonesia

  • Julian Ferry Hermanto Universitas Surabaya
  • Putu Anom Mahadwartha Universitas Surabaya
DOI: https://doi.org/10.24123/soshum.v1i1.2704
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PDF Downloads: 294 times
Keywords: intraday, return, abnormal, winner, losser

Abstract

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.

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Published
2020-04-30
How to Cite
Hermanto, J. F., & Mahadwartha, P. A. (2020). Analisis Intraday Saham Winner dan Loser di Bursa Efek Indonesia. Keluwih: Jurnal Sosial Dan Humaniora, 1(1), 11-20. https://doi.org/10.24123/soshum.v1i1.2704
Issue
Vol. 1 No. 1 (2020): Keluwih: Jurnal Sosial dan Humaniora (April)
Section
Original Research
Copyright (c) 2020 Julian Ferry Hermanto, Putu Anom Mahadwartha Creative Commons License

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