Pengaruh siklus bulan terhadap abnormal return saham dengan day effect sebagai variabel pemoderasi
DOI:
https://doi.org/10.26623/jreb.v16i3.6855Keywords:
siklus bulan, bulan baru, bulan purnama, abnormal return, day effect,Abstract
Tujuan dari penelitian ini untuk mengetahui perbedaan abnormal return saham yang terjadi pada peristiwa siklus bulan pada saham-saham IDX 30 dengan day effect sebagai moderating variabel. Penelitian ini menggunakan desain penelitian kuantitatif dengan model event study dan sampel Indeks Saham IDX 30. Data sekunder yang dikumpulkan dengan periode hari perdagangan dari tahun 2018 - 2023. Analisis dilakukan menggunakan model studi peristiwa, statistik deskriptif SPSS dan Uji Kruskal Walis. Populasi yang digunakan dalam penelitian ini adalah perusahaan yang terdaftar di Bursa Efek Indonesia dalam indeks IDX 30 periode tahun 2018 - 2022. Teknik pengambilan sampel yang digunakan yaitu purposive sampling. Alat analisis yang digunakan adalah SPSS Versi 25 dengan menggunakan uji Kruskal Walis. Hasil dari penelitian ini menunjukkan bahwa abnormal return saham signifikan naik pada siklus bulan saat bulan baru dan dipengaruhi secara signifikan oleh hari hari Senin dan Jum’at. Namun pada siklus bulan saat bulan purnama tidak terjadi perbedaan dibandingkan hari perdagangan biasa maupun hari Senin dan Jum’at.
The purpose of this study is to determine the difference in stock abnormal returns that occur in the events of the lunar cycle on IDX 30 stocks with the day effect as a moderating variable. This research uses a quantitative research design with the event study model and the IDX 30 Stock Index sample. Secondary data is collected with trading day periods from 2018 - 2023. The analysis is carried out using the event study model, SPSS descriptive statistics and the Kruskal Walis Test. The population used in this study are companies listed on the Indonesia Stock Exchange in the IDX 30 index for the period 2018 - 2022. The sampling technique used is purposive sampling. The analytical tool used is SPSS Version 25 using the Kruskal Walis test. The results of this study indicate that abnormal stock returns significantly increase during the new moon and are significantly influenced by Mondays and Fridays. But in the lunar cycle during the full moon, there is no difference compared to ordinary trading days, Mondays, and Fridays.
References
Brahmana, R., Hooy, C.-W. and Ahmad, Z. (2014), "Moon phase effect on investor psychology and stock trading performance", International Journal of Social Economics, Vol. 41 No. 3, pp. 182-200. https://doi.org/10.1108/IJSE-04-2012-0134
Benedict, Christian & Franklin, Karl & Bukhari, Shervin & Ljunggren, Mirjam & Lindberg, Eva. (2021). Sex-specific association of the lunar cycle with sleep. Science of The Total Environment. https://doi.org/10.1016/j.scitotenv.2021.150222.
Chiah, M., & Zhong, A. (2019). Day-of-theweek effect in anomaly returns: International evidence. Economics Letters, 182, 90-92. https://doi.org/10.1016/j.econlet.2019.05.042
Floros, C., & Tan, Y. (2013). Moon Phases, Mood and Stock Market returns: International Evidence. Journal of Emerging Market Finance, 12(1), 107–127. https://doi.org/10.1177/0972652712473405
Ghozali, I. (2018). Aplikasi Analisis Multivariete SPSS 25 (9th ed.). Semarang: Universitas Diponegoro
I Dergaa, M Romdhani, MS Fessi, HB Saad, A Varma, AB Salem, B Gadhavi, M Chaabane, N Souissi, O Hammouda, 2021, Does lunar cycle affect biological parameters in young healthy men?,Chronobiology International, https://doi.org/10.1080/07420528.2021.1897609
Karamchandani, M. & Jain, S. (2014). A study on effects of astrophysical phases in Indian stock market. International Journal of Advance Research in Computer Science and Management Studies: 2, Issue 2
Kasilingam, Lingaraja. (2013). LUNAR EFFECT AND STOCK MARKET. SMART Journal of Business Management Studies. 9. 88-90.
Mohamed Yousop, Nur Liyana & Sipon, Zuraidah & Yoke, Soo. (2014). Lunar Effect: Analysis on Emerging Countries Stock returns, Prior and During Financial Crisis. Journal of Emerging Economies and Islamic Research. 2. 10.24191/jeeir.v2i2.9625.
Munyasia, E. O., Ouma, D. O., & Ochieng, D. E. (2017). The Relationship between Lunar Cycle and Stock returns in Companies Listed at Nairobi Securities Exchange. Research Journal of Finance and Accounting, 8(20), 95-103.
Resi R, Dede S, Eko P.H, Citra F.K(2018). Studi Sifat Magnet dan Spektroskopi Sinar Tampak pada Darah Hijamah, UIN Sunan Gunung Djati. Jurnal Ilmu Kimia dan Terapan. https://doi.org/10.15575/ak.v5i1.3722
Robiyanto, Puryandani.S, 2015, The Javanese Lunar Calendar’s Effect on Indonesian Stock returns , Gadjah Mada International Journal of Business Vol. 17, No. 2 (May-August 2015): 125-137. https://doi.org/10.22146/gamaijb.6906
Selvam, Murugesan & Lingaraja, Kasilingam & Paul, Justin. (2020). Indian Culture, Lunar Phases and Stock Market returns. International Journal of Indian Culture and Business Management.1.1. 10.1504/IJICBM.2020.10020383.
W Tarczyński, S Majewski, M Łuniewska, A Majewska, G Mentel, 2021, The Impact of Weather Factors on Quotations of Energy Sector Companies on Warsaw Stock Exchange. https://doi.org/10.3390/en14061536.
Wang, Y.-H., Lin, C.-T., & Chen, W.-L. (2010). Does lunar cycle effect exist? Lunar phases and stock return
Yuan, T., & Gupta, R. (2014). Chinese Lunar New Year effect in Asian stock markets, 1999-2012. Quarterly Review of Economics and Finance, 54(4), 529-537. https://doi.org/10.1016/j.qref.
Downloads
Published
Issue
Section
License
The journal holds the copyright for each article published with work licensed simultaneously under a Creative Commons Attribution 4.0 International License, which allows others to share the work with an acknowledgment of the authorship and early publication of the work in this journal.
