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Felita Tanuprasodjo
Alumni of Master of Management FBE-Universitas Surabaya
Economics, Econometrics & Finance Social Sciences

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MAGNITUDE DRIFT EFFECT WINNER AND LOSER STOCKS: LQ45 AND FTSE100 Felita Tanuprasodjo; Putu Anom Mahadwartha
Journal of Management and Business Vol 15, No 1 (2016): MARCH 2016
Publisher : Department of Management - Faculty of Business and Economics. Universitas Surabaya.

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (239.01 KB) | DOI: 10.24123/jmb.v15i1.147

Abstract

This research is aimed to examine and find out empirical evidence of magnitude drift effect on 10 winner LQ45, 10 loser LQ45, 5 winner FTSE100 Malaysia and 5 loser FTSE100 Malaysia. One sample t-test and independent sample t-test are used to test the magnitude drift effect. The result show the positive magnitude drift effect on Monday-Wednesday at 10 Winner LQ45 and 5 winner FTSE100, Monday-Tuesday at 10 Loser LQ45, Monday-Thursday at 5 Loser FTSE100 and the negative magnitude drift effect occurs on  Thursday-Friday at 10 Winner LQ45 and 5 Loser FTSE100, Wednesday-Friday at 10 Loser LQ45 and Friday-Monday at 5 Winner FTSE100. Magnitude drift in Malaysia occurs more than magnitude drift  in Indonesia. 
Co-Authors Putu Anom Mahadwartha