Ditemukan 2 dokumen yang sesuai dengan query
Harald Kinateder
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ABSTRAK
We use a generalized autoregressive conditional heteroskedasticity dummy approach
to analyze the influence of calendar anomalies on conditional daily returns and risk
for the stock markets of Brazil, Russia, India, China, and South Africa from 1996 to
2018. Month-of-the-year, turn-of-the-month, day-of-the-week, and holiday effects are
investigated. The most striking day-of-the-week effect is found for Tuesdays. The turn-
of-the-month effect is validated, ...
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Jakarta: Bank Indonesia Insitute, 2019
332 BEMP 22:2 (2019)
Artikel Jurnal Universitas Indonesia Library
Helma Malini
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This paper investigates the existence of two anomalies in Indonesia and Malaysia Shari’ah compliance;
the month of the year and pre-holiday effect, and their implication for stock market efficiency.
Investing in Shari’ah compliant is different from investing in conventional stock. Conventional stock
market follows the capital market set of rules and law, while Shari’ah follows not only the capital
market set of laws but also the Islamic principles. Most of the previous studies investigated issues
related to conventional stock market, ...
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Tanjungpura University, Faculty of Economy, 2014
PDF
Artikel Jurnal Universitas Indonesia Library
