Jurnal Fakultas Ekonomi : OPTIMAL
Vol 3 No 1 (2009): Optimal : Jurnal Ilmiah Ekonomi Manajemen dan Kewirausahaan

ANALISIS PEMODELAN PENGUJIAN EKSISTENSI ANOMALI RETURN HARIAN DI BURSA EFEK INDONESIA (STUDI KASUS PERIODE 2005-2008)

Setyawasih, Rianti (Unknown)

Article Info

Publish Date
01 Mar 2009

Abstract

This paper investigates the day-of-the-week effect in Indonesia Stock Exchange (IDX) returns and conditional variance (volatility) front October 2005 to October 2008. The empirical research was conducted using the AR, ARCH, and GARCH model and not the usual linear regression method. The results obtained indicate the GARCH (1,1) model is capable to capture the most empirical features observed in stock return data (leptokurtosis, skewness and volatility clustering); the results also shows the signifcant presence of the day-of-the-week effect on both stock returns and volatility.

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Journal Info
Jurnal Fakultas Ekonomi : OPTIMAL
Website

Abbrev

optimal

Publisher

Universitas Islam 45 Bekasi

Subject

Economics, Econometrics & Finance

Description

Optimal: Jurnal Ekonomi dan Kewirausahaan adalah jurnal ilmiah yang bertujuan memajukan dan menyebarluaskan ilmu pengetahuan di bidang ekonomi, manajemen, dan kewirausahaan. Artikel yang dimuat berasal dari hasil penelitian adaptasi ilmu dan hasil pemikiran dari perkembangan ilmu yang dimaksud. ...