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Analisis Intraday Saham Abstrak 2017

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Bahasa Indonesia Session 2

ANALISIS INTRADAY SAHAM WINNER DAN LOSER Dl BURSA EFEK
INDONESIA

JULIAN FERRY HERMANTO
Fakultas Bisnis dan Ekonomika Universitas Surabaya
PUTU ANOM MAHADWARTHA
Fakultas Bisnis dan Ekonomika Universitas Surabaya
ABSTRACT
This study investigates anomaly intraday effect in winner and loser stock which
listed at Bursa Efek Indonesia. Using frequency of daily transaction of the stock
and cumulative actual return to choose winner and loser stock, this study found
that stocks which are winner in the past tend to be a loser stock in present,
otherwise, stocks which are loser in the past tend to be a winner stock in present.
This study also found that winner and loser stocks tend to produce the highest
abnormal return in 15 minutes before first session's closing until first session's
closing of trading day as well as winner and loser stocks tend to produce the lowest
abnormal return in 15 minutes before closing until closing of trading day.


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