10.30.0010 Fina Stefani Surya Prabowo DAFTAR PUSTAKA & LAMP

  

Agarwal, Vikas., Naveen D. Daniel, & Narayan Y. Naik. 2006. Why is Santa so

Kind to Hedge Funds? The December Return Puzzle!. Working Paper:

Georgia State University, Purdue University, & London Business School.

  

Atmaja, Lukas Setia. 2013. Anomali December Effect. Diakses dari

  

Brown, S, J., dan J. B. Warner., “Using Daily Stock Returns: The Case of Event

Studies”, Journal of Financial Economics 14, 1985.

Chen, Hongui, dan Vijay Singal. 2003. Financial Analysts Journal: “A December

Effect with Tax-Gain Selling?”. Working Paper, Virginia Tech.

Fama, E. F., “Efficient Capital Market: A Review of Theory and Empirical

Work”, Journal of Finance 25 (1970), hal. 383-417.

Fama, E. F., “Efficient Capital Market: II”, Journal of Finance 46 (December

1991), hal. 1575-1617.

Fischer, Dominique. 2009. Has Santa Claus a Good Long-Term Memory?.

  University of Malaysia.

Hirsch, Yale. 1972. Founder of Santa Claus Rally Effect since 1972. Diakses dari

  

Hircsh, Yale. 2012. The Santa Claus Rally: It’s Not Make Believe. Diakses dari

  

Jogiyanto, 2008. Teori Portofolio dan Analisis Investasi. Edisi Kelima.

  Yogyakarta: Penerbit BPFE

Raharjo, Adi., Fathul Mubaraq, & Faisal Mundir. 2013. December Effect of Stock

Market Return in Indonesia Stock Exchange 1998-2012: International

Journal of Science and Research (IJSR), India Online ISSN: 2319-7064.

  

Sharpe, W.F. 1969. Efficient Capital Markets: A Review of Theory and Empirical

Work: Discussion. The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American

Finance Association New York. pp. 418-420

  

  LAMPIRAN Tabel Daftar Saham Anggota Sampel No Kode Saham Nama Emiten AALI Astra Agro Lestari Tbk.

  1 ADRO Adaro Energy Tbk.

  2 AKRA AKR Corporindo Tbk.

  3 ANTM Aneka Tambang Tbk.

  4 ASII Astra International Tbk

  5 ASRI Alam Sutera Realty Tbk.

  6 BBCA Bank Central Asia Tbk

  7 BBKP Bank Bukopin Tbk.

  8 BBNI Bank Negara Indonesia Tbk.

  9 Bank Rakyat Indonesia Tbk. BBRI

  10 BDMN Bank Danamon Tbk.

  11 BHIT Bhakti Investama Tbk.

  12 BISI Bisi International Tbk

  13 BKSL Sentul City Tbk.

  14 BMRI Bank Mandiri Tbk

  15 BMTR Global Mediacom Tbk.

  16 Bank CIMB Niaga Tbk. BNGA

  17 BNII Bank International Indonesia Tbk.

  18 BRPT Barito Pasific Tbk.

  19 Bumi Serpong Damai Tbk. BSDE

  20 BUMI Bumi Resources Tbk.

  21 CPIN Charoen Pokphand Indonesia Tbk.

  22 CTRA Ciputra Development Tbk.

  23 DOID Delta Dunia Makmur Tbk.

  24 ELSA Elnusa Tbk.

  25 ENRG Energi Mega Persada Tbk.

  26 XL Axiata Tbk. EXCL

  27 GGRM Gudang Garam Tbk.

  28 GJTL Gajah Tunggal Tbk.

  29 HEXA Hexindo Adiperkasa Tbk.

  30 INCO Vale Indonesia Tbk.

  31 Indofood Sukses Makmur Tbk

  32 INDF Indika Energy Tbk.

  33 INDY INKP Indah Kiat Pulp & Paper Tbk.

  34 Intraco Penta Tbk.

  35 INTA Indocement Tunggal Prakasa Tbk.

  36 INTP Indosat Tbk.

  37 ISAT Indo Tambangraya Megah Tbk.

  38 ITMG

  Kawasan Industri Jababeka Tbk.

  40 KIJA Kalbe Farma Tbk.

  41 KLBF

  Lippo Karawaci Tbk

  42 LPKR London Sumatra Indonesia Tbk.

  43 LSIP Malindo Feedmill Tbk.

  44 MAIN Mitra Adiperkasa Tbk.

  45 MAPI Medco Energi International Tbk.

  46 MEDC Multipolar Tbk.

  47 MLPL Media Nusantara Citra Tbk.

  48 MNCN Perusahaan Gas Negara Tbk.

  49 PGAS

  Bank Pan Indonesia Tbk

  50 PNBN Tambang Batubara Bukit Asam Tbk.

  51 PTBA Pakuwon Jati Tbk.

  52 PWON

  Sampoerna Agro Tbk

  53 SGRO Holcim Indonesia Tbk.

  54 SMCB Semen Indonesia Tbk.

  55 SMGR Surya Semesta Internusa Tbk.

  56 SSIA Tunas Baru Lampung Tbk.

  57 TBLA Timah (Persero) Tbk.

  58 TINS Telekomunikasi Indonesia Tbk.

  59 TLKM Trada Maritim Tbk.

  60 TRAM United Tractors Tbk.

  61 UNTR UNVR Unilever Indonesia Tbk.

  62 WIKA Wijaya Karya Tbk.

  63

Tabel ANOVA

  RETURN IHSG Sum of

Squares df Mean Square F Sig.

Between Groups .002 11 .000 1.241 .255 Within Groups .157 984 .000 Total .159 995

Tabel Multiple Comparisons

  Dependent Variable: RETURN IHSG (I) bul

  (J) bul Mean

  Difference (I-J) Std. Error Sig.

  95% Confidence Interval Lower Bound

  Upper Bound

  Tamhane

  1 2 -0.00098 0.001632 1 -0.00657098 0.004611 3 -0.00243 0.00155 0.999775 -0.00773437 0.002883 4 -0.0016 0.001484 1 -0.00668838 0.003491 5 0.00163 0.002115

  1 -0.00562582 0.008887 6 -0.00043 0.002101 1 -0.00764258 0.006775 7 -0.00125 0.001652 1 -0.00690732 0.004399 8 0.002361 0.002181 1 -0.00513945 0.009861 9 -0.00165 0.002453 1 -0.01010392 0.006799 10 -0.00194 0.001815 1 -0.0081512 0.004274 11 0.001575 0.001693 1 -0.0042199 0.007371 12 -0.00111 0.001575 1 -0.00650269 0.004278

  2 1 0.00098 0.001632 1 -0.00461061 0.006571 3 -0.00145 0.001455 1 -0.00643746 0.003546 4 -0.00062 0.001385 1 -0.0053759 0.004139 5 0.002611 0.002046 1 -0.00442449 0.009646 6 0.000547 0.002032 1 -0.00643972 0.007533

  8 0.003341 0.002115 0.999723 -0.003947 0.010629 9 -0.00067 0.002394 1 -0.00893798 0.007593 10 -0.00096 0.001735 1 -0.00690667 0.004989 11 0.002555 0.001607 0.999654 -0.00295354 0.008065

  12 -0.00013 0.001482 1 -0.00521084 0.004946

  3 1 0.002426 0.00155 0.999775 -0.00288259 0.007734 2 0.001446 0.001455 1 -0.00354605 0.006437 4 0.000827 0.001288 1 -0.00358427 0.005239 5 0.004056 0.001981 0.943744 -0.00276554 0.010878

  6 0.001992 0.001966 1 -0.00477912 0.008764 7 0.001172 0.001478 1 -0.00388908 0.006233 8 0.004787 0.002052 0.760179 -0.0022975 0.011871

  9 0.000773 0.002339 1 -0.00731601 0.008863 10 0.000487 0.001658 1 -0.00519972 0.006174 11 0.004001 0.001523 0.466658 -0.00122082 0.009223

  12 0.001313 0.001391 1 -0.00344647 0.006073

  4 1 0.001599 0.001484 1 -0.00349111 0.006688 2 0.000618 0.001385 1 -0.00413899 0.005376 3 -0.00083 0.001288 1 -0.00523877 0.003584 5 0.003229 0.00193 0.998811 -0.00342989 0.009888

  6 0.001165 0.001915 1 -0.00544219 0.007772 7 0.000345 0.001409 1 -0.00448492 0.005174 8 0.003959 0.002003 0.96763 -0.00296939 0.010888

  9 -5.4E-05 0.002296 1 -0.00800922 0.007902 10 -0.00034 0.001597 1 -0.00582564 0.005145 11 0.003174 0.001457 0.874195 -0.00182557 0.008173

  12 0.000486 0.001318 1 -0.00402423 0.004996

  5 1 -0.00163 0.002115 1 -0.00888658 0.005626 2 -0.00261 0.002046 1 -0.00964562 0.004424 3 -0.00406 0.001981 0.943744 -0.01087808 0.002766

  4 -0.00323 0.00193 0.998811 -0.00988794 0.00343

  6 -0.00206 0.002436 1 -0.01040926 0.006281 7 -0.00288 0.002062 0.999993 -0.00996928 0.004201 8 0.00073 0.002506 1 -0.00786064 0.009321 9 -0.00328 0.002746

  1 -0.01270201 0.006136 10 -0.00357 0.002195 0.999382 -0.01109382 0.003955 11 -5.5E-05 0.002095 1 -0.0072493 0.007139 12 -0.00274 0.002001 0.999996 -0.00962716 0.004141

  6 1 0.000434 0.002101 1 -0.00677526 0.007643 2 -0.00055 0.002032 1 -0.00753276 0.00644 3 -0.00199 0.001966 1 -0.00876357 0.004779 4 -0.00116 0.001915 1 -0.00777215 0.005442 5 0.002064 0.002436 1 -0.00628117 0.010409 7 -0.00082 0.002048 1 -0.00785673 0.006216 8 0.002794 0.002494 1 -0.00575744 0.011346 9 -0.00122 0.002735 1 -0.01060263 0.008165 10 -0.00151 0.002181 1 -0.00898435 0.005974 11 0.002009 0.002081 1 -0.00513757 0.009156 12 -0.00068 0.001986 1 -0.00751311 0.006155

  7 1 0.001254 0.001652 1 -0.00439933 0.006907 2 0.000274 0.001564 1 -0.00508469 0.005632 3 -0.00117 0.001478 1 -0.00623286 0.003889 4 -0.00034 0.001409 1 -0.0051742 0.004485 5 0.002884 0.002062 0.999993 -0.00420052 0.009969

  6 0.00082 0.002048 1 -0.00621606 0.007857 8 0.003615 0.002131 0.998313 -0.00372109 0.01095 9 -0.0004 0.002408 1 -0.00870639 0.007909 10 -0.00068 0.001754

  1 -0.00669172 0.005322 11 0.002829 0.001627 0.996934 -0.00274298 0.008402 12 0.000141 0.001504 1 -0.00500533 0.005288

  8 1 -0.00236 0.002181 1 -0.00986078 0.005139 2 -0.00334 0.002115 0.999723 -0.0106287 0.003947

  3 -0.00479 0.002052 0.760179 -0.01187061 0.002297 4 -0.00396 0.002003 0.96763 -0.010888 0.002969 5 -0.00073 0.002506 1 -0.00932121 0.007861 6 -0.00279 0.002494

  1 -0.0113461 0.005757 7 -0.00361 0.002131 0.998313 -0.01095042 0.003721 9 -0.00401 0.002798 0.999983 -0.01361118 0.005585 10 -0.0043 0.002259 0.981952 -0.0120577 0.003459

  11 -0.00079 0.002162 1 -0.00822587 0.006655 12 -0.00347 0.002071 0.998737 -0.01061698 0.003671 9 1 0.001652 0.002453 1 -0.00679893 0.010104 2 0.000672 0.002394

  1 -0.00759336 0.008938 3 -0.00077 0.002339 1 -0.0088628 0.007316

  4

  5.39E-05 0.002296 1 -0.00790151 0.008009 5 0.003283 0.002746 1 -0.00613626 0.012702 6 0.001219 0.002735 1 -0.00816497 0.010603 7 0.000398 0.002408 1 -0.0079094 0.008706 8 0.004013 0.002798 0.999983 -0.00558486 0.013611

  10 -0.00029 0.002523 1 -0.0089641 0.008391 11 0.003228 0.002436 0.999999 -0.00517118 0.011627 12 0.00054 0.002356 1 -0.00760138 0.008681

  10 1 0.001939 0.001815 1 -0.00427358 0.008151 2 0.000959 0.001735 1 -0.00498941 0.006907 3 -0.00049 0.001658 1 -0.00617388 0.0052 4 0.00034 0.001597 1 -0.0051453 0.005826 5 0.003569 0.002195 0.999382 -0.00395544 0.011094

  6 0.001505 0.002181 1 -0.00597405 0.008984 7 0.000685 0.001754 1 -0.00532209 0.006692 8 0.004299 0.002259 0.981952 -0.00345875 0.012058

  9 0.000286 0.002523 1 -0.00839147 0.008964 11 0.003514 0.001792 0.969722 -0.00262498 0.009653 12 0.000826 0.001681 1 -0.00493636 0.006589

  11 1 -0.00158 0.001693 1 -0.00737051 0.00422 2 -0.00256 0.001607 0.999654 -0.00806451 0.002954 3 -0.004 0.001523 0.466658 -0.00922321 0.001221 4 -0.00317 0.001457 0.874195 -0.00817346 0.001826

  5

  5.51E-05 0.002095 1 -0.00713914 0.007249 6 -0.00201 0.002081 1 -0.0091555 0.005138 7 -0.00283 0.001627 0.996934 -0.00840158 0.002743

  8 0.000785 0.002162 1 -0.00665515 0.008226 9 -0.00323 0.002436 0.999999 -0.01162678 0.005171 10 -0.00351 0.001792 0.969722 -0.0096532 0.002625 12 -0.00269 0.001549 0.997065 -0.00799276 0.002617

  12 1 0.001113 0.001575 1 -0.00427758 0.006503 2 0.000132 0.001482 1 -0.00494609 0.005211 3 -0.00131 0.001391 1 -0.00607314 0.003446 4 -0.00049 0.001318 1 -0.0049964 0.004024 5 0.002743 0.002001 0.999996 -0.00414129 0.009627

  6 0.000679 0.001986 1 -0.00615532 0.007513 7 -0.00014 0.001504 1 -0.00528822 0.005005 8 0.003473 0.002071 0.998737 -0.00367054 0.010617

  9 -0.00054 0.002356 1 -0.00868126 0.007601 10 -0.00083 0.001681 1 -0.00658887 0.004936 11 0.002688 0.001549 0.997065 -0.00261705 0.007993

• The mean difference is significant at the .05 level.