Anomalies Pada Pasar Modal Asia

Abstract

Anomaly phenomena in many stock markets show various research findings. The different research findings are largely dependent on time and method used. Most of Asian Stock Markets are emerging capital markets. The objective of this research are to analyse market anomalies, especially those of weekend effect, turn of the month effect, and turn of the year effect in Asian stock markets. The analysis methods used to test market anomalies are LARCH and ANOVA. The result of this research revealed that anomalies are occurred on weekend effect and turn of the month effect. This research also showed that anomalies on the turn of the year effect were not significant. Anomaly occurred in several condition, in weekend and early of the week, turn of and first the month. Anomaly existed also in several event, such as; independent and religious day.