Month of the Year Effect pada Pasar Obligasi di Indonesia
DOI:
https://doi.org/10.24914/jeb.v20i2.1093Keywords:
month of the year effect, INDOBeX, Indonesian Bond Market, GARCH, capital market efficiencyAbstract
This study examines the month-of-the-year effect on the bond returns in Indonesia. I use the monthly closing price index (Indonesia Bond Indexes / INDOBeX) data for the periods of July 2003-July 2017 from Bloomberg. I then run the Generalize Autoregressive Conditional Heteroscedasticity (GARCH) analysis technique to analyze the data because the residuals exhibit a significant pattern of Autoregressive Conditional Heteroscedasticity (ARCH). The results show that only the month of July has a significantly positive effect on the bond returns; indicating that there is the month-of-the-year effect in the Indonesian bond market. Further, these also imply that the Indonesian bond market does not exhibit a random walk pattern and consequently they are inefficient in the weak form.
Abstrak
Penelitian ini menguji pengaruh bulan-bulan perdagangan (month of the year) terhadap return obligasi di Indonesia. Data yang dipergunakan dalam penelitian ini adalah data indeks harga obligasi (Indonesia Bond Indexes / INDOBeX) penutupan bulanan selama periode Juli 2003 hingga Juli 2017 yang diperoleh dari Bloomberg. Analisis data dilakukan dengan menggunakan teknik analisis Generalize Autoregressive Conditional Heteroscedasticity (GARCH) karena pola residual yang dihasilkan menunjukkan adanya pola Autoregressive Conditional Heteroscedasticity (ARCH) yang signifikan. Hasil penelitian ini menunjukan bahwa bulan Juli memiliki pengaruh positif yang signifikan terhadap return obligasi di Indonesia. Sementara bulan-bulan lainnya tidak memiliki pengaruh terhadap return obligasi di Indonesia. Hasil ini menunjukkan bahwa terjadi month of the year effect di pasar obligasi di Indonesia. Temuan ini memiliki implikasi bahwa pasar obligasi di Indonesia tidak berjalan acak (random walk) sehingga tidak efisien dalam bentuk lemah.
Downloads
References
Bahadur, F. K. C., dan N. K. Joshi. 2005. The Nepalese Stock Market: Efficient and calendar anomalieSs. Economic Review: Occasional Paper of Nepal Rastra Bank 17: 40-85.
Bollerslev, T. 1986. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 31: 307-327. DOI: https://doi.org/10.1016/0304-4076(86)90063-1.
Boudreaux, D. O. 1995. The monthly effect in international stock markets: Evidence and implications. Journal Of Financial And Strategic Decisions 8(1): 15-20.
Cahyaningdyah, D., dan R. S. Witiastuti. 2010. Analisis monday effect dan Rogalski effect di Bursa Efek Jakarta. Jurnal Dinamika Manajemen 1(2): 154-168.
Canedo, M. A., dan E. D. Cruz. 2013. The Philippine Stock Returns and the levy distribution. In 12th National Convention on Statistics (NCS). EDSA Shangri-La Hotel, Madaluyong City.
Caporale, M. G., dan V. Zakirova. 2017. Calendar anomalies in the Russian Stock Market. Russian Journal of Economics 3(1): 101-108. DOI: 10.1016/j.ruje.2017.02.007.
Chion, S. J., C. Veliz, dan N. Carlos. 2008. On the normality of stock return distributions: Latin American markets 2000-2007. Journal of CENTRUM Cathedra 1(2): 90-108. DOI: http://dx.doi.org/10.7835/jcc-berj-2008-0015.
Fama, E. F. 1970. Efficient capital markets: A review of theory and empirical work. Journal of Finance 25(2): 383-417.
Fitriyani, I., dan M. M. R. Sari. 2013. Analisis January effect pada kelompok saham indeks LQ-45 di Bursa Efek Indonesia tahun 2009-2011. E-Jurnal Akuntansi Universitas Udayana 4(2): 421-438.
Georgantopoulos, A. G., D. F. Kenourgios, dan A. D. Tsamis. 2011. Calendar anomalies in emerging Balkan Equity Markets. International Economics & Finance Journal 6(1): 67-82.
Hersugondo., Robiyanto, S. Wahyudi, dan D. P. I. Rini. 2016. The test of day of the week effect and turn-of-month effect by using a GARCH approach: Evidence from Indonesia Capital Market. International Journal of Economic Research 13(1): 153-163.
IBPA. 2017. Indonesia Bond Market Directory: Indonesia Stock Exchange.
Kamath, R. R., R. Chakornpipat, dan A. Chatrath. 1998. Return distributions and the day-of-the-week effects in the Stock Exchange of Thailand. Journal of Economics and Finance 22(2-3): 97-106. DOI: 10.1007/BF02771480.
Karadžić, V., dan T. B. Vulić. 2011. The Montenegrin Capital Market: Calendar Anomalies. Economic Annals 56(191): 107-121.
Kristiawan, A. 2010. Analisis return Jumat dan return Senin pada indeks likuiditas 45 di Bursa Efek Jakarta. Jurnal Akuntansi, Manajemen Bisnis dan Sektor Publik 7(1): 46-62.
Lutfiaji., dan A. Djazuli. 2012. Pengujian the day of the week effect, week four effect dan Rogalski effect terhadap return saham LQ-45 di Bursa Efek Indonesia. Working Paper:1-11.
Marrett, G., dan A. Worthington. 2011. The month-of-the-year effect in the Australian stock market: A short technical note on the market, industry and firm size impacts. Australasian Accounting Business and Finance 5(1): 117-123.
Mouselli, S., dan H. Al-Saman. 2016. An examination of the month-of-the-year effect at Damascus securities exchange. International Journal of Economics and Financial Issues 6(2): 573-577.
Nawaz, S., dan N. Mirza. 2012. Calendar anomalies and stock returns: A literature survey. Journal of Basic and Applied Scientific Research 2(12): 2321-2329.
Ogata, H. 2012. Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood. Advances in Decision Sciences 2012: 1-8. DOI: http://dx.doi.org/10.1155/2012/973173.
OJK. 2017. Statistik Pasar Modal.
Patel, J. B. 2016. The January effect anomaly reexamined in stocks returns. Journal of Applied Business Research 32 (1).
Posedel, P. 2005. Properties and estimation of GARCH (1,1) model. Metodoloski zvezk 2 (2): 243-257.
Rachev, S. T., S. V. Stoyanov, A. Biglova, dan F. J. Fabozzi. 2004. An empirical examination of daily stock return distributions for U.S. Stocks. Working Paper.
Rita, M. R. 2009. Pengaruh hari perdagangan terhadap return saham: Pengujian day of the week effect, week-four effect dan Rogalski effect di BEI. Jurnal Ekonomi dan Bisnis 15(2): 121-134.
Robiyanto., dan S. Puryandani. 2015. The Javanese lunar calendar’s effect on Indonesian stock returns. Gadjah Mada International Journal of Business no. 17(2): 125-137. DOI: https://doi.org/10.22146/gamaijb.6906.
Robiyanto. 2000. "Pengaruh hari perdagangan saham terhadap return harian saham di bursa efek Jakarta (Sebuah studi terhadap IHSG, indeks saham sektoral dan indeks saham unggulan (LQ 45)). Jurnal Bisnis Strategi 5: 46-94.
———. 2015. Month of the year effect pada beberapa pasar modal di Asia Tenggara dan pasar komoditas. Jurnal Ekonomi dan Bisnis 18(2): 53-64. DOI: http://dx.doi.org/10.24914/jeb.v18i2.260.
Sias, R. W., dan L. T. Starks. 1995. The day-of-the-week anomaly: The role of institutional investors. Financial Analysts Journal May/June: 58-67.
Silva, P. M. 2010. Calendar "anomalies" in the Portuguese Stock Market." Investment Analysts Journal 71: 37-50.
Swami, R. 2012. Calendar anomalies in the Bourses of South Asia. Market Convergence 2(2): 64-74.
Ţilică, E. V., dan D. Oprea. 2014. Seasonality in the Romanian Stock Market: The-day-of-the-week effect. Procedia Economics and Finance 15: 704-710. DOI: 10.1016/s2212-5671(14)00543-7.
Widodo, P. 2008. Studi tentang pengaruh hari perdagangan terhadap return IHSG periode Januari 1997 sampai dengan Mei 2008. In National Conference on Management Research 2008. Makassar.
Zhang, J., Y. Lai, dan J. Lin. 2017. The day-of-the-Week effects of stock markets in different countries. Finance Research Letters 20: 47-62. DOI: 10.1016/j.frl.2016.09.006.
Downloads
Published
How to Cite
Issue
Section
License
Jurnal Ekonomi dan Bisnis is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License
