The Impact of Macroeconomic News Announcements on Calendar Anomalies in Indonesia Stock Indices 2008-2013
This research gives emphasis on the investigation of calendar anomaly in Indonesia. Calendar anomalies focused on January effect and Turn-of-the-month from 2008 to 2013 with case IDX composite and ten sector indexes. This research investigates whether calendar anomalies driven by macroeconomic announcement, the announcement that been used are Gross Domestic Products, Wholesale Price Index, Consumer Price Index and Foreign trade statistics. the data that been used is daily return data with parametric test, T-test. the aim is to test the significance of the return during calendar anomalies and the rest of the days. the result from this research shows that January effect is not exists in Indonesia. Turn-of-the-month exists only in consumer goods sectors, which also has been identifies that the macroeconomic announcements has no impact towards the anomaly happen in turn-of-the-month in consumer goods sector. the movement of the stock market towards new information lead to favourable or unfavourable based on individual preferences and result a scattered pattern. the result suggests that investor decision making in Indonesia is not caused by macroeconomic condition.
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