ISSN: 2225-8329
Open access
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.
1. Dichtl, H., & Drobetz, W. (2013). Are stock markets really so inefficient? The case of the “Halloween Indicator.” Finance Research Letters, 11(2), 112–121. https://doi.org/10.1016/j.frl.2013.10.001
2. Dichtl, H., & Drobetz, W. (2014). Sell in May and Go Away: Still good advice for investors? International Review of Financial Analysis, 38, 29–43. https://doi.org/10.1016/j.irfa.2014.09.007
3. Fama, E. F. (1969). American Finance Association Efficient Capital Markets?: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 28–30.
4. Haggard, K. S., & Witte, H. D. (2010). The Halloween effect: Trick or treat? International Review of Financial Analysis, 19(5), 379–387. https://doi.org/10.1016/j.irfa.2010.10.001
5. Hartono, J. (2013). Teori Portofolio dan Analisis Investasi, Edisi Kedelapan. BPFE Fakultas Ekonomika dan Bisnis UGM.
6. Hartono, J. (2014). Teori Portofolio dan Analisis Investasi. Yogyakarta: BPFE-Yogyakarta.
7. Jones, C. P. (1997). Investments: Analysis and Management. New York: John Wiley & Sons, Inc.
8. Kuncoro, M. (2009). Metode Riset untuk Bisnis & Ekonomi (3rd ed.). Jakarta: Erlangga.
9. Oprea,D.S. (2014) The Halloweeb Effect: Evidence from Romania. International Journal of Academic Research in Business and Social Sciences. 4(7). 463-471
10. Oprea,D.S.& Tilica, E.V. (2014). Day-of-the Week Effect on Post Communist East European Stock Markets.International Journal of Academic Research in Accounting, Finance and Management Sciences.4(3), 119-129.
11. Sugiyono. (2012). Memahami Penelitian Kualitatif. Bandung: Alfabeta.
12. Tandelilin, E. (2001). Analisis Investasi dan Manajemen Portofolio Edisi Pertama. Yogyakarta: BPFE-Yogyakarta.
13. Zhang, C. Y., & Jacobsen, B. (2012). Are monthly seasonals real? A three century perspective. Review of Finance, 17(5), 1743–1785. https://doi.org/10.1093/rof/rfs035
To cite this article: Wicaksana, S.B., Asandimitra, N. (2018). Halloween Effect in Indonesia Stock Exchange, International Journal of Academic Research in Accounting, Finance and Management Sciences 8 (3): 118-127.
http://dx.doi.org/10.6007/IJARAFMS/v8-i3/4545 (DOI: 10.6007/IJARAFMS/v8-i3/4545)
Copyright: © 2018 The Author(s)
Published by Human Resource Management Academic Research Society (www.hrmars.com)
This article is published under the Creative Commons Attribution (CC BY 4.0) license. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this license may be seen at: http://creativecommons.org/licences/by/4.0/legalcode