Empirical investigation of sell-in-may-and-go-away and monthly effect at LQ45 IDX before and during COVID-19 pandemic era

About Us

Ipmi Repository is an online archive service which is managed by IPMI Library - Learning Resource Center. Established for collecting, managing, saving, preserving and disseminating digital copies of intellectual output of IPMI International Business School such as academic journal, books, theses, Group Field Project, Community Involvement Project, Case Study, conference paper, and other types of research publication. The main objective of this repository is to provide long-term, public, open access and easily retrieve to the digital collection to support teaching-learning process.

"Knowledge without observation is nil"

Sitohang, Doan (2023) Empirical investigation of sell-in-may-and-go-away and monthly effect at LQ45 IDX before and during COVID-19 pandemic era. Graduate thesis, Sekolah Tinggi Manajemen Ipmi.

[img] Text
Doan Sitohang.pdf
Restricted to Registered users only
Download (1MB)

Abstract

In 2022, the number of investors in the Indonesian stock market was approximately 8.1 million. The value has experienced fourfold growth compared to 2019. This surge occurred throughout the period of the epidemic. The aim of this financial research is to examine the difference before and during the COVID-19 pandemic on the monthly average return and variance/risk pattern of LQ45. One to of that, the research intends to investigate the presence of the sell-in-may-and-go-away (SIMAGA) effect and identify the optimal investment strategy for LQ45. The research methodology employed in this study is descriptive-comparative and utilizes a mathematical and statistical framework. The research sample comprises companies that were included in LQ45 from 1997 to 2022. The employed data analysis techniques encompass normality test, Wilcoxon sum rank Test, F-Test, and investment strategy simulation. Results of this research indicate that there is no evidence of a negative effect of COVID 19 on the monthly return and risk/variance pattern of LQ45 and the SIMAGA phenomenon has not happened on LQ45 except in 2022. Additionally, SIABIN (sell-in-August-buy-in-November) has been identified as the best strategy for LQ45 so far. Moreover, the findings of this study can serve as a valuable resource for investors who allocate their investments towards LQ45 and help investors know the best strategy to buy shares. It is essential to allocate more attention towards monthly return variance, as it serves as a pivotal metric for gauging investment risk and significantly impacts overall returns.

Item Type: Thesis (Graduate)
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Thesis > Master of Business Administration
Depositing User: Dede Faujiah
Date Deposited: 13 Dec 2023 03:21
Last Modified: 13 Dec 2023 03:21
URI: http://repository.ipmi.ac.id/id/eprint/2312

Actions (login required)

View Item View Item