December Effect of Stock Market Return in Indonesia Stock Exchange 1998-2012
Journal Title: International Journal of Science and Research (IJSR) - Year 2013, Vol 2, Issue 1
Abstract
This Paper analyze of return with market anomaly in December effect in Indonesia Stock Exchange. Population to be studied is “Indeks Harga Saham Gabungan (IHSG)” or called ^JKSE. The time of data is monthly from 1998 until 2012. The method of analysis used descriptive statistics like average, mean, median, kurtosis and skewness. In this study we are finding that December is the best month for investor to buy stock in Indonesia Stock Exchange. The average of return in December is 5.21% the highest return and has lower risk -2.79% with deviation 4.74%.
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