MAGNITUDE DRIFT EFFECT WINNER AND LOSER STOCKS: LQ45 AND FTSE100
| Main Authors: | Tanuprasodjo , Felita, Mahadwartha, Putu Anom |
|---|---|
| Format: | Proceeding PeerReviewed application/pdf |
| Terbitan: |
, 2020
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| Subjects: | |
| Online Access: |
http://repository.ubaya.ac.id/36683/1/abstract%20felita%2Danom%2Dmagnitude%20drift%2Dinsyma17.pdf http://repository.ubaya.ac.id/36683/ |
Daftar Isi:
- 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 shows the positive magni-tude 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 Fri-day-Monday at 5 Winner FTSE100. Magnitude drift in Malaysia occurs more than magnitude drift in Indo-nesia