Analisis Winner-loser anomaly dalam Return Saham di Indeks LQ45 sebelum dan sesudah Berlakunya Masyarakat Ekonomi ASEAN

Abstract

This research aims to examine the presence of winner-loser anomaly on return stock in LQ-45 before ASEAN Economic Community 2015, to examine the presence of winner-loser anomaly on return stock in LQ-45 after ASEAN Economic Community 2016, and to examine the difference of winner-loser anomaly on return stock in LQ-45 before and after ASEAN Economic Community 2016. The population of this research is stock listed in LQ-45 from the year 2015 to 2016. The sample is acquired by using purposive sampling method. There are 13 manufacture companies listed in LQ-45 from August 2015 to January 2016 and there are also 13 manufacture companies listed in LQ-45 from February 2016 to July 2016. Data analysis method used in this research is different test. The result of this research reveals that the first hypothesis testing indicates significant winner-loser anomaly on stock return in LQ-45 before ASEAN Economic Community 2015. Meaning that the first hypothesis is accepted. The second hypothesis testing indicates significant winner-loser anomaly on stock return in LQ-45 after ASEAN Economic Community 2016. Meaning that the second hypothesis is also accepted. The last, the third hypothesis testing indicates that there is no significant difference on winner-loser anomaly on stock return in LQ-45 before and after ASEAN Economic Community 2016. Meaning that the third hypothesis is rejected.