ANALISIS QUADRUPLE WITCHING DAYS DAN ABNORMAL RETURN DI PASAR SAHAM INDONESIA

ZULFIKAR, FAHMI (2024) ANALISIS QUADRUPLE WITCHING DAYS DAN ABNORMAL RETURN DI PASAR SAHAM INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

The aim of this research is to analyze the Quadruple Witching Days phenomenon and its impact on abnormal returns on the Indonesian stock market. This phenomenon has attracted the attention of many investors and academics, because it is believed to be able to significantly influence stock price movements. It is hoped that the results of this research can provide an in-depth understanding of the influence of Quadruple Witching Days on the Indonesian capital market. Associative descriptive research tests the influence of Quadruple Witching Days. Using secondary data and library methods in the LQ45, SRIKEHATI and KOMPAS 100 stock indices listed on the Indonesia Stock Exchange for the period 2010 to 2022 with daily and weekly data. The hypothesis test that will be used in this research is the Paired Sample t - Test and the non-parametric Mann-Withney test. There are differences in abnormal returns before and after the Quadruple Witching Days event on the LQ45 stock index. There is no difference in abnormal returns before and after the Quadruple Witching Days event on the SRI-KEHATI stock index. There is no difference in abnormal returns before and after the Quadruple Witching Days event on the KOMPAS 100 stock index. High Vigilance, Quick Selling or Buying, Portfolio Diversification as a consideration for taking profits for investors LQ45, Long Term Investment Approach, Portfolio Stabilization may be more suitable with investment strategies because there is no significant difference in abnormal returns, investors in SRI-KEHATI and KOMPAS 100. Key word : Quadruple Witching Days, Abnormal Return, LQ45, SRI-KEHATI dan KOMPAS 100 Tujuan dari penelitian ini adalah untuk menganalisis fenomena Quadruple Witching Days dan dampaknya terhadap abnormal return di pasar saham Indonesia. Fenomena ini telah menarik perhatian banyak investor dan akademisi, karena diyakini dapat mempengaruhi pergerakan harga saham secara signifikan. Diharapkan hasil dari penelitian ini dapat memberikan pemahaman yang mendalam mengenai pengaruh Quadruple Witching Days di pasar modal Indonesia. Penelitian deskriptif asosiatif menguji pengaruh Quadruple Witching Days. Menggunakan data sekunder dan metode kepustakaan dalam indeks saham LQ45, SRI-KEHATI dan KOMPAS 100 yang terdaftar di Bursa Efek Indonesia periode tahun 2010 sampai 2022 dengan data harian dan mingguan. uji hipotesis yang akan digunakan dalam penelitian ini adalah Paired Sample t – Test dan uji non parametik Mann- Withney. Terdapat perbedaan abnormal return sebelum dan setelah peristiwa Quadruple Witching Days pada indeks saham LQ45. Tidak ada perbedaan abnormal return sebelum dan setelah peristiwa Quadruple Witching Days pada indeks saham SRI-KEHATI. Tidak ada perbedaan abnormal return sebelum dan setelah peristiwa Quadruple Witching Days pada indeks saham KOMPAS 100. Kewaspadaan Tinggi, Jual atau Beli Cepat, Diversifikasi Portofolio sebagai pertimbangan untuk mengambil keuntungan bagi investor LQ45, Pendekatan Investasi Jangka Panjang, Stabilisasi Portofolio mungkin lebih cocok dengan strategi investasi karena tidak ada perbedaan abnormal return yang signifikan, investor di SRI-KEHATI dan KOMPAS 100. Kata Kunci : Quadruple Witching Days, Abnormal Return, LQ45, SRI-KEHATI dan KOMPAS 100

Item Type:	Thesis (S2)
Call Number CD:	CD/551. 24 022
Call Number:	TM/51/24/032
NIM/NIDN Creators:	55121120016
Uncontrolled Keywords:	Quadruple Witching Days, Abnormal Return, LQ45, SRI-KEHATI dan KOMPAS 100
Subjects:	100 Philosophy and Psychology/Filsafat dan Psikologi > 150 Psychology/Psikologi > 154 Subconscious and Altered States and Process/Psikologi Bawah Sadar > 154.6 Sleep Phenomena/Fenomena Tidur > 154.63 Dreams/Mimpi > 154.634 Analysis/Analisis 300 Social Science/Ilmu-ilmu Sosial > 380 Commerce, Communications, Transportation (Perdagangan, Komunikasi, Transportasi) > 381 Commerce, Trade/Perdagangan > 381.1 Retail Trade/Perdagangan Ritail, Pasar 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum > 658.8 Marketing, Management of Distribution/Marketing, Manajemen Distribusi
Divisions:	Pascasarjana > Magister Manajemen
Depositing User:	khalimah
Date Deposited:	02 Mar 2024 04:19
Last Modified:	02 Mar 2024 04:19
URI:	http://repository.mercubuana.ac.id/id/eprint/86665

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