PRATIWI, ASELLINA (2018) ANALISIS FENOMENA JANUARY EFFECT SERTA PENGARUHNYA TERHADAP RETURN DAN ABNORMAL RETURN (Pada Sub Sektor Food and Beverages Di Bursa Efek Indonesia Tahun 2017). S1 thesis, UNIVERSITAS SULTAN AGENG TIRTAYASA.
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Text (Skripsi)
ANALISIS FENOMENA JANUARY EFFECT SERTA PENGARUHNYA TERHADAP RETURN DAN ABNORMAL RETURN (Pada Sub Sektor Food and Beverages Di Bursa Efek Indonesia Tahun 2017).PDF Restricted to Registered users only Download (2MB) |
Abstract
Asellina Pratiwi / 5551142902 / Thesis / Analysis of The Phenomenon of January Effect and Its Effect on Return and Abnormal Return (On Food and Beverages Company In Indonesia Stock Exchange 2017) / Under the guidance of Bambang Mahmudi, SE., MM. and Enok Nurhayati, SE.,M.Si. / Department of Management / Faculty of Economics and Business / University of Sultan Ageng Tirtayasa / 2018. This study aims to analyze the phenomenon of January Effect in Food and Beverages companies 2017 and its effect on Return and Abnormal Return. In this study January Effect variable is used as dummy variable that will be represented with the number 1 and 0. The population used in this research is Food and Beverages companies listed on Indonesia Stock Exchange (IDX) there are 18 companies. The purposive sampling method is used to determine the sample, from purposive sampling results obtained 14 companies, so that obtained as many as 126 samples. The analytical methods used were classical assumption test, multiple regression test with dummy, homogeneity test, and t-test. By using SPSS 24.0. The results of this study indicate that: (1) There is January Effect, With the increase of Return on the event period 0.005218 compared with the period before the event 0.005079 and an increase in Abnormal Return in the event period 0.007882 compared to the period before the event -0.02767, (2) There is significant difference of Return before and after January Effect. With sig. (2tailed) 0,002 < 0,05 and tcount > ttable (3,207 > 1,991), (3)There is significant difference of Abnormal Return before and after the January Effect. With sig. (2tailed) 0,031 < 0,05 and -tcount < -ttable (-2,222 < -2,008), (4) The January Effect has an effect on Return before and after January Effect. By regression equation (Y = 0,018 + 0,006D1 - 0,007D2), tcount > ttable for before January Effect and –tcount < -ttable for after January Effect (2,501 > 1,987 dan -3,215 < -1,987) with significant < 0,05, (5) The January Effect has an effect on Abnormal Return before and after January Effect. By regression equation (Y = -0,008 – 0,020D1 – 0,020D2),–tcount < -ttable for ((-2,073 < -1,987 dan -2,115 < -1,987) with significant < 0,05.
| Item Type: | Thesis (S1) | |||||||||
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| Additional Information: | Asellina Pratiwi / 5551142902 / Skripsi / Analisis Fenomena January Effect Serta Pengaruhnya terhadap Return dan Abnormal Return (Pada Sub Sektor Food and Beverages di Bursa Efek Indonesia Tahun 2017) / Di bawah bimbingan Bambang Mahmudi, SE., MM. dan Enok Nurhayati, SE.,M.Si. / Jurusan Manajemen / Fakultas Ekonomi dan Bisnis / Universitas Sultan Ageng Tirtayasa / 2018. Penelitian ini bertujuan untuk menganalisis ada atau tidaknya fenomena January Effect di perusahaan Food and Beverage periode 2017 serta pengaruhnya terhadap Return dan Abnormal Return. Dalam penelitian ini variabel January Effect dijadikan variabel dummy yang akan diwakilkan dengan angka 1 dan 0. Populasi yang digunakan dalam penelitian ini adalah perusahaan sub sektor Food and Beverages yang terdaftar pada Bursa Efek Indonesia (BEI) sebanyak 18 perusahaan. Metode purposive sampling digunakan untuk menentukan sampel, dari hasil purposive sampling didapatkan sampel penelitian sebanyak 14 perusahaan sehingga sampel yang diperoleh sebanyak 126 sampel. Metode analisis yang digunakan adalah uji asumsi klasik, uji regresi berganda dengan dummy, uji homogenitas, dan uji beda (t-test). Dengan menggunakan program SPSS 24.0. Hasil penelitian ini menunjukkan bahwa . (1) Terjadi fenomena January Effect. Dengan adanya peningkatan Return pada periode peristiwa sebesar 0,005218 dibandingkan dengan periode sebelum peristiwa sebesar 0,005079 dan peningkatan Abnormal Return pada periode peristiwa sebesar -0,007882 dibandingkan dengan periode sebelum peristiwa sebesar -0,027671, (2) Terdapat perbedaan yang signifikan Return sebelum dan sesudah January Effect. Dengan sig. (2-tailed) sebesar 0,002 < 0,05 dan thitung > ttabel (3,207 > 1,991), (3) Terdapat perbedaan yang signifikan Abnormal Return sebelum dan sesudah January Effect. Dengan sig. (2-tailed) sebesar 0,031 < 0,05 dan -thitung < -ttabel (-2,222 < -2,008), (4) January Effect berpengaruh terhadap Return sebelum dan setelah periode peristiwa. Dengan persamaan regresi (Y = 0,018 + 0,006D1 - 0,007D2), thitung > ttabel untuk sebelum January Effect dan –thitung < -ttabel untuk setelah January Effect (2,501 > 1,987 dan -3,215 < -1,987) dengan signifikan < 0,05, (5) January Effect berpengaruh terhadap Abnormal Return sebelum dan setelah periode peristiwa. Dengan persamaan regresi (Y = -0,008 – 0,020D1 – 0,020D2), dan –thitung < -ttabel (-2,073 < -1,987 dan -2,115 < -1,987) dengan signifikan < 0,05. | |||||||||
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions |
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| Divisions: | 05-Fakultas Ekonomi dan Bisnis 05-Fakultas Ekonomi dan Bisnis > 60201-Program Sarjana Ilmu Ekonomi Pembangunan |
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| Depositing User: | Admin Eprints Untirta | |||||||||
| Date Deposited: | 29 Sep 2021 05:05 | |||||||||
| Last Modified: | 29 Sep 2021 11:43 | |||||||||
| URI: | http://eprints.untirta.ac.id/id/eprint/1644 |
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