Pengaruh max effect terhadap return saham di pasar modal Indonesia

Felenda, Felenda (2019) Pengaruh max effect terhadap return saham di pasar modal Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

The purpose of this study is to know if MAX take effect to stock return on Indonesia Stock Market. This study is using all company that listed in Indonesia Stock Exchange within 2007-2016. Data are divided into two portfolio which are equal weighted and value weighted portfolio that have five decile with period t+1, t+3, and t+6. The study result found that there is a positive relation between MAX and return in average return and Three Factor Fama French both equal weighted and value weighted portfolio (t+1, t+3, and t+6). From this result it can be concluded that the MAX effect has a positive effect on return in Indonesian capital market. / Penelitian ini dilakukan untuk mengetahui pengaruh MAX effect terhadap return saham di Pasar Modal Indonesia. Penelitian ini menggunakan seluruh perusahaan yang terdaftar dalam Bursa Efek Indonesia selama periode 2007 - 2016. Data dibagi menjadi dua portfolio yaitu equal weighted dan value weighted, masing-masing memiliki lima decile dengan periode pengujian t+1, t+3, dan t+6. Hasil penelitian ini menyatakan bahwa adanya pengaruh positif MAX dengan return saham baik untuk average return dan pengujian Fama French Tiga Faktor pada masing-masing portofolio equal weighted dan value weighted (t+1, t+3, dan t+6). Dari hasil tersebut dapat disimpulkan bahwa MAX berpengaruh positif terhadap return di pasar modal Indonesia.

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