![]() ![]() This research tested two hypotheses the effect of the mean and volatility of price index return by using the GARCH model. ![]() Therefore, this research aims to reveal whether the month of Sela is a seasonal anomaly. As a result, the economy declines in the month of Sela and possibly, the return will also drop in this month. In Indonesia, there is the month of Sela which is believed as an unlucky month so that many people avoid this month to hold ceremonial activities. Seasonal anomalies cause market inefficiency by affecting the mean and volatility of stock returns, and allow investors to obtain abnormal returns. Seasonal Anomalies, Sela, Mean Return, Conditional Volatility, Javanese Abstract Accounting Department, Faculty of Economics and Business, Universitas Negeri Malang ![]()
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