faisol, ahmad and PANJINEGARA, PRAKARSA and dalimunthe, nindytia puspitasari (2020) BETA, RETURN, AND MOUNTH OF EFFECT: EMPIRICAL STUDY ON THE SHARIA INDEX IN THE STOCK EXCHANGES OF THE ASEAN COUNTRIES. In: STABEK 4 (Seminar Teknologi, Akuntansi, Bisnis dan Ekonomi dan Komunitas 4, 28 Oktober 2020, Hotel Raddison. (Submitted)

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Abstract

Abstract Purpose : The purpose of the research is finding out the empirical fact about the relevance of CAPM Theory on the Sharia market index in the stock exchanges of the ASEAN countries when the anomaly mounth of effect occurs. Research methodology: The model used for this verification is linear regression which is a modification of the CAPM equation, while the analytical tool used in testing the presence of mounth of effect anomalies is done by using the independent sample t-test for normal data and the Mann-Whitney test for abnormal data. The test for the CAPM Theory is done by using simultaneous significance test (F test) and partial significance test (t-test). Results: The results obtained in this research is shown in the presence of significant influence between the beta coefficient on stock portfolio returns, thus, CAPM theory is proven to be relevant to be used in the mounth of effect conditions on the Sharia index in ASEAN countries consisting of Indonesia, Malaysia, Singapore, and Thailand. Limitition : This research have limitation, especially for getting data of liquidity hat consist of trading volume, bid-ask spread, dan trading frequency, in sharia index on ASEAN countries. Contribution : This study contributes to the testing of the CAPM theory which assumes the beta coefficient as the only factor that is able to explain the formation of returns in the presence of the mounth of effect anomaly. This research is useful in testing theory in financial management theory, which can assist financial practitioners in making investment decisions, especially when the mounthly effect anomaly occurs. Keywords: beta, CAPM, mounthly effect, sharia index

Item Type:	Conference or Workshop Item (Paper)
Subjects:	H Social Sciences > HG Finance H Social Sciences > HJ Public Finance
Divisions:	Fakultas Ekonomi dan Bisnis (FEB) > Prodi Manajemen
Depositing User:	AHMAD FAISOL
Date Deposited:	17 Nov 2020 08:02
Last Modified:	17 Nov 2020 08:02
URI:	http://repository.lppm.unila.ac.id/id/eprint/25812

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