THE IMPACT OF DISPOSITION EFFECT ON INDONESIA STOCK EXCHANGES LQ45 INDEX AND NEW YORK STOCK EXCHANGES DOW JONES INDUSTRIAL AVERAGE STOCK RETURNS DURING THE FEDERAL RESERVE QUANTITATIVE EASING
| Main Author: | Hanandito, Dimas Aditya |
|---|---|
| Format: | bachelorthesis doc-type Bachelors |
| Bahasa: | ind |
| Terbitan: |
, 2013
|
| Online Access: |
http://repository.unpad.ac.id/frontdoor/index/index/docId/6207 |
Daftar Isi:
- This research aims to discover whether there is disposition effect influencing stock returns of Indonesia Stock Exchange’s LQ45 Index and New York Stock Exchange’s Dow Jones Industrial Average during the Federal Reserve’s Quantitative Easing (QE) policy periods. Using consistently present stocks during August 2008 – January 2013 as samples, I apply multiple-panel regression tests in correspondence with event study for each policy periods. I find that there is convincing symptom for disposition effect during QE1 in both indices. There is also disposition effect during QE2 in LQ45, but not in DJIA; and during Operation Twist in both indices. Neither QE3 nor QE4 indicate disposition effect symptoms.