Perpustakaan Digital ITB
2009 TA PP YOSEPHINE T.M. SIAHAAN 1-COVER.pdf
2009 TA PP YOSEPHINE T.M. SIAHAAN 1-BAB 1.pdf
2009 TA PP YOSEPHINE T.M. SIAHAAN 1-BAB 2.pdf
2009 TA PP YOSEPHINE T.M. SIAHAAN 1-BAB 3.pdf
2009 TA PP YOSEPHINE T.M. SIAHAAN 1-BAB 4.pdf
2009 TA PP YOSEPHINE T.M. SIAHAAN 1-BAB 5.pdf
2009 TA PP YOSEPHINE T.M. SIAHAAN 1-PUSTAKA.pdf
Investment strategies will include how to maximize profits and gaining benefits from market bahaviors. Turn of the month effect, which includes the tendency of return to increase during D-1 through D+ 3 periods in each month, is one of strategy options worth to be considered. This paper examined eleven indexes across Asia Pacific, Europe, and America to find whether Turn of The Month Effect still exists or not. The data included daily returns for period 2000 through May 2009 on two types of indexes: emerging and developed indexes. Tests run in the project are including regression and t-test, which are believed able to address those concerns, as parametric measurement. Writer found that Turn of The Month Effect occurred on 3 indexes during crisis period (2008 -May 2009). This finding indicated that Turn of The Month Effect is in extinct stage and has been exploited well during the recent period. However, it also indicated that such market inefficiency could occur during crisis period.