Electronic Theses and Dissertation

Penelitian ini bertujuan untuk menguji Turn of The Month Effect pada tiga Emerging Market di ASEAN (Association Of Southeast Asian Nations): Studi Kasus Pada Covid-19, yakni tiga negara yang dimaksud adalah Indonesia, Filipina, dan Thailand. Sampel dalam penelitian ini adalah closing price mingguan dari indeks IHSG (Bursa Efek Indonesia, PSEI (Bursa Efek Filipina), dan SETI (Bursa Efek Thailand) selama periode 20018-2023.Penelitian ini menggunakan pendekatan teori Efficient Market Hyphotesis sebagai teori utama dan teori Behavioral Finance sebagai teori alternatif dengan menghitung abnormal return pada minggu 1 dan minggu 4 di 3 sub-sampel: 1) pra-Covid19; 2) Covid19; dan 3) pasca-Covid19. Metode pengumpulan data yang digunakan adalah purposive sampling method. Peralatan analisis data yang digunakan adalah analisis regresi berganda menggunakan model OLS (Ordinary Least Square). Hasil penelitian menunjukkan bahwa Turn of The Month Effect terjadi di bursa efek Indonesia, Filipina, dan Thailand sebelum dan sesudah pandemi Covid19 terjadi. Turn of The Month Effect tidak terjadi di bursa efek Indonesia, Filipina, dan Thailand ketika terjadinya pandemi Covid19. Turn of The Month Effect mempengaruhi return yang didapatkan pada minggu selain dari minggu Turn of The Month Effect, namun Turn of The Month Effect di satu negara tidak mempengaruhi return di bursa efek negara lainnya. Hal ini disebabkan karena adanya perbedaan struktur ekonomi, kebijakan pemerintah dan regulasi, kondisi makroekonomi, diversivikasi investor, dan sentiment pasar.

Kata Kunci : Turn of The Month Effect, Abnormal Return, Association Of
Southeast Asian Nations, Covid19

This research aims to test the Turn of the Month Effect on three Emerging Markets in ASEAN (Association of Southeast Asian Nations): Covid-19 Case Study, namely the three countries in question are Indonesia, the Philippines and Thailand. The sample in this research is the weekly closing price of the IDX (Indonesian Stock Exchange, PSEI (Philippine Stock Exchange), and SETI (Thailand Stock Exchange) during the 20018-2023 period. This research uses the Efficient Market Hypothesis theory approach as the main theory and Behavioral theory Finance as an alternative theory by calculating abnormal returns in week 1 and week 4 in 3 sub- samples: 1) pre-Covid19; 2) Covid19; and 3) post-Covid19. The data collection method used was the purposive sampling method. The data analytical equipment used is multiple regression analysis using the OLS (Ordinary Least Square) model. The research results show that the Turn of the Month Effect occurred on the Indonesian, Philippine and Thai stock exchanges before and after the Covid19 pandemic occurred. The Turn of the Month Effect did not occur on the Indonesian, Philippine and Thai stock exchanges during the Covid19 pandemic. The Turn of the Month Effect affects returns obtained in weeks other than the week of the Turn of the Month Effect, but the Turn of the Month Effect in one country does not affect returns on other countries' stock exchanges. This is due to differences in economic structure, government policies and regulations, macroeconomic conditions, investor diversification, and market sentiment. Keywords : Turn of The Month Effect, Abnormal Return, Association Of Southeast Asian Nations, Covid19