ROGALSKI EFFECT IN JAPAN, UNITED STATES, AND INDONESIA CAPITAL MARKET

Tiffany, Monica (2017) ROGALSKI EFFECT IN JAPAN, UNITED STATES, AND INDONESIA CAPITAL MARKET. S1 thesis, UAJY.

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Abstract

This research aims at analyzing Rogalski effect in Indonesia, Japan, and United States. To see the Rogalski effect to Indonesia, Japan, and United States stock market will use abnormal return to see it. This paper will use Market model to find the abnormal return. Normality test, Kruskal Wallis Test and Wilcoxon were used to analyze the data. The result showed that Monday effect and January effect not happen in Japan, United States, and Indonesia capital market, because Monday effect and January not happen in capital market, it means that Rogalski effect not happen in Japan, United States, and Indonesia capital market, because average abnormal return on Monday in January is not higher than average abnormal return on Monday in other months (non January).

Item Type: Thesis (S1)
Uncontrolled Keywords: Abnormal Return, Monday effect, Rogalski effect
Subjects: Business Management > International Financial Management
Divisions: Fakultas Ekonomi > Manajemen Internasional
Depositing User: Editor UAJY
Date Deposited: 08 Dec 2017 10:01
Last Modified: 08 Dec 2017 10:01
URI: http://e-journal.uajy.ac.id/id/eprint/13199

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