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ANALISIS INVESTASI & MANAJEMEN

PORTOFOLIO

ANOMALI PASAR

Dosen :Prof. Dr., Ir. Ahmad Rodoni, M.M

Oleh :

TIRTA HUTOMO SINUDARTA (1431 601 523)

U N I V E R S I T A S B U D I L U H U R

M A G I S T E R M A N A J E M E N

Jakarta

2016

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ANOMALI PASAR

WEEKENDEFFECT

Open Close weekdays RETURN MINGGUKE E(r)/minggu E(r)/tahun Date Open Close weekdays RETURN MINGGUKE E(r)/minggu E(r)/tahun Date Open Close weekdays RETURN MINGGUKE E(r)/minggu E(r)/tahun Date Open Close weekdays RETURN MINGGUKE E(r)/minggu E(r)/tahun Date Open Close weekdays RETURN MINGGUKE E(r)/minggu E(r)/tahun

2015 1360 1370 1 0. 74% 1 0. 32% 80% 1/ 6/ 2015 1365 1365 2 0. 00% 1 0. 07% 18% 1/ 7/ 2015 1360 1360 3 0. 00% 1 0. 08% 21% 1/ 1/ 2015 1375 1375 4 0. 00% 1 0. 17% 43% 1/ 2/ 2015 1375 1360 5 - 1. 09% 1 0. 69% 171%

015 1485 1545 1 4.04% 2 1/13/2015 1560 1500 2 -3.85% 2 1/14/2015 1500 1460 3 -2.67% 2 1/8/2015 1370 1450 4 5.84% 2 1/9/2015 1460 1485 5 1.71% 2

015 1400 1410 1 0.71% 3 1/20/2015 1400 1385 2 -1.07% 3 1/21/2015 1385 1370 3 -1.08% 3 1/15/2015 1410 1410 4 0.00% 3 1/16/2015 1435 1400 5 -2.44% 3

015 1415 1375 1 -2.83% 4 1/27/2015 1375 1395 2 1.45% 4 1/28/2015 1385 1380 3 -0.36% 4 1/22/2015 1370 1420 4 3.65% 4 1/23/2015 1435 1405 5 -2.09% 4

015 1375 1370 1 -0.36% 5 2/3/2015 1380 1370 2 -0.72% 5 2/4/2015 1380 1375 3 -0.36% 5 1/29/2015 1380 1390 4 0.72% 5 1/30/2015 1390 1370 5 -1.44% 5

015 1385 1395 1 0.72% 6 2/10/2015 1395 1385 2 -0.72% 6 2/11/2015 1385 1385 3 0.00% 6 2/5/2015 1375 1400 4 1.82% 6 2/6/2015 1410 1410 5 0.00% 6

015 1390 1380 1 -0.72% 7 2/17/2015 1380 1375 2 -0.36% 7 2/18/2015 1370 1370 3 0.00% 7 2/12/2015 1385 1380 4 -0.36% 7 2/13/2015 1390 1385 5 -0.36% 7

015 1380 1370 1 -0.72% 8 2/24/2015 1380 1380 2 0.00% 8 2/25/2015 1370 1370 3 0.00% 8 2/19/2015 1370 1370 4 0.00% 8 2/20/2015 1395 1380 5 -1.08% 8

015 1380 1370 1 -0.72% 9 3/3/2015 1370 1380 2 0.73% 9 3/4/2015 1375 1370 3 -0.36% 9 2/26/2015 1380 1375 4 -0.36% 9 2/27/2015 1380 1380 5 0.00% 9

015 1370 1375 1 0.36% 10 3/10/2015 1375 1370 2 -0.36% 10 3/11/2015 1370 1380 3 0.73% 10 3/5/2015 1370 1370 4 0.00% 10 3/6/2015 1380 1375 5 -0.36% 10

015 1375 1375 1 0.00% 11 3/17/2015 1375 1375 2 0.00% 11 3/18/2015 1375 1375 3 0.00% 11 3/12/2015 1400 1385 4 -1.07% 11 3/13/2015 1390 1375 5 -1.08% 11

015 1370 1410 1 2.92% 12 3/24/2015 1410 1400 2 -0.71% 12 3/25/2015 1410 1375 3 -2.48% 12 3/19/2015 1380 1370 4 -0.72% 12 3/20/2015 1380 1370 5 -0.72% 12

015 1370 1370 1 0.00% 13 3/31/2015 1400 1375 2 -1.79% 13 4/1/2015 1375 1375 3 0.00% 13 3/26/2015 1375 1370 4 -0.36% 13 3/27/2015 1375 1375 5 0.00% 13

015 1380 1375 1 -0.36% 14 4/7/2015 1390 1375 2 -1.08% 14 4/8/2015 1380 1375 3 -0.36% 14 4/2/2015 1395 1380 4 -1.08% 14 4/3/2015 1380 1380 5 0.00% 14

015 1375 1375 1 0.00% 15 4/14/2015 1375 1375 2 0.00% 15 4/15/2015 1375 1375 3 0.00% 15 4/9/2015 1395 1375 4 -1.43% 15 4/10/2015 1380 1380 5 0.00% 15

015 1375 1375 1 0.00% 16 4/21/2015 1380 1375 2 -0.36% 16 4/22/2015 1380 1375 3 -0.36% 16 4/16/2015 1385 1375 4 -0.72% 16 4/17/2015 1375 1380 5 0.36% 16

015 1375 1370 1 -0.36% 17 4/28/2015 1370 1370 2 0.00% 17 4/29/2015 1370 1370 3 0.00% 17 4/23/2015 1375 1375 4 0.00% 17 4/24/2015 1380 1375 5 -0.36% 17

015 1375 1370 1 -0.36% 18 5/5/2015 1370 1370 2 0.00% 18 5/6/2015 1390 1370 3 -1.44% 18 4/30/2015 1370 1370 4 0.00% 18 5/1/2015 1370 1370 5 0.00% 18

015 1370 1380 1 0.73% 19 5/12/2015 1370 1380 2 0.73% 19 5/13/2015 1380 1385 3 0.36% 19 5/7/2015 1370 1370 4 0.00% 19 5/8/2015 1370 1370 5 0.00% 19

015 1395 1395 1 0.00% 20 5/19/2015 1395 1385 2 -0.72% 20 5/20/2015 1375 1385 3 0.73% 20 5/14/2015 1385 1385 4 0.00% 20 5/15/2015 1385 1395 5 0.72% 20

015 1385 1405 1 1.44% 21 5/26/2015 1415 1410 2 -0.35% 21 5/27/2015 1410 1390 3 -1.42% 21 5/21/2015 1380 1375 4 -0.36% 21 5/22/2015 1375 1375 5 0.00% 21

015 1405 1400 1 -0.36% 22 6/2/2015 1400 1400 2 0.00% 22 6/3/2015 1405 1385 3 -1.42% 22 5/28/2015 1385 1400 4 1.08% 22 5/29/2015 1390 1405 5 1.08% 22

015 1400 1390 1 -0.71% 23 6/9/2015 1390 1395 2 0.36% 23 6/10/2015 1395 1395 3 0.00% 23 6/4/2015 1380 1385 4 0.36% 23 6/5/2015 1390 1400 5 0.72% 23

015 1400 1390 1 -0.71% 24 6/16/2015 1385 1390 2 0.36% 24 6/17/2015 1390 1395 3 0.36% 24 6/11/2015 1395 1420 4 1.79% 24 6/12/2015 1420 1405 5 -1.06% 24

015 1395 1400 1 0.36% 25 6/23/2015 1400 1400 2 0.00% 25 6/24/2015 1400 1405 3 0.36% 25 6/18/2015 1390 1390 4 0.00% 25 6/19/2015 1390 1395 5 0.36% 25

015 1395 1395 1 0.00% 26 6/30/2015 1395 1395 2 0.00% 26 7/1/2015 1395 1400 3 0.36% 26 6/25/2015 1400 1395 4 -0.36% 26 6/26/2015 1395 1400 5 0.36% 26

015 1410 1395 1 -1.06% 27 7/7/2015 1400 1400 2 0.00% 27 7/8/2015 1395 1395 3 0.00% 27 7/2/2015 1400 1400 4 0.00% 27 7/3/2015 1400 1410 5 0.71% 27

015 1395 1390 1 -0.36% 28 7/14/2015 1390 1390 2 0.00% 28 7/15/2015 1390 1395 3 0.36% 28 7/9/2015 1395 1395 4 0.00% 28 7/10/2015 1405 1395 5 -0.71% 28

015 1395 1395 1 0.00% 29 7/21/2015 1395 1395 2 0.00% 29 7/22/2015 1405 1410 3 0.36% 29 7/16/2015 1395 1395 4 0.00% 29 7/17/2015 1395 1395 5 0.00% 29

015 1390 1390 1 0.00% 30 7/28/2015 1390 1400 2 0.72% 30 7/29/2015 1400 1395 3 -0.36% 30 7/23/2015 1390 1390 4 0.00% 30 7/24/2015 1380 1375 5 -0.36% 30

015 1400 1375 1 -1.79% 31 8/4/2015 1375 1370 2 -0.36% 31 8/5/2015 1370 1370 3 0.00% 31 7/30/2015 1400 1400 4 0.00% 31 7/31/2015 1400 1400 5 0.00% 31015 1375 1330 1 -3.27% 32 8/11/2015 1330 1345 2 1.13% 32 8/12/2015 1300 1245 3 -4.23% 32 8/6/2015 1360 1365 4 0.37% 32 8/7/2015 1375 1370 5 -0.36% 32

015 1300 1300 1 0.00% 33 8/18/2015 1300 1300 2 0.00% 33 8/19/2015 1250 1210 3 -3.20% 33 8/13/2015 1240 1300 4 4.84% 33 8/14/2015 1300 1300 5 0.00% 33

015 1010 945 1 -6.44% 34 8/25/2015 925 965 2 4.32% 34 8/26/2015 950 950 3 0.00% 34 8/20/2015 915 1010 4 10.38% 34 8/21/2015 1050 1025 5 -2.38% 34

015 1100 1125 1 2.27% 35 9/1/2015 1115 1125 2 0.90% 35 9/2/2015 1085 1130 3 4.15% 35 8/27/2015 950 980 4 3.16% 35 8/28/2015 990 1150 5 16.16% 35

015 1125 1055 1 -6.22% 36 9/8/2015 1060 1075 2 1.42% 36 9/9/2015 1080 1125 3 4.17% 36 9/3/2015 1150 1150 4 0.00% 36 9/4/2015 1130 1125 5 -0.44% 36

015 1100 1100 1 0.00% 37 9/15/2015 1100 1100 2 0.00% 37 9/16/2015 1100 1100 3 0.00% 37 9/10/2015 1100 1100 4 0.00% 37 9/11/2015 1100 1100 5 0.00% 37

015 1135 1140 1 0.44% 38 9/22/2015 1100 1100 2 0.00% 38 9/23/2015 1055 1100 3 4.27% 38 9/17/2015 1100 1050 4 -4.55% 38 9/18/2015 1060 1100 5 3.77% 38

015 1055 1055 1 0.00% 39 9/29/2015 1020 1050 2 2.94% 39 9/30/2015 1060 1060 3 0.00% 39 9/24/2015 1100 1100 4 0.00% 39 9/25/2015 1055 1055 5 0.00% 39

015 1100 1050 1 -4.55% 40 10/6/2015 1100 1100 2 0.00% 40 10/7/2015 1100 1075 3 -2.27% 40 10/1/2015 1050 1060 4 0.95% 40 10/2/2015 1045 1045 5 0.00% 40

015 1000 1055 1 5.50% 41 10/13/2015 1030 1030 2 0.00% 41 10/14/2015 1030 1030 3 0.00% 41 10/8/2015 1075 1075 4 0.00% 41 10/9/2015 1100 1080 5 -1.82% 41

015 1020 1025 1 0.49% 42 10/20/2015 1015 1020 2 0.49% 42 10/21/2015 1025 1025 3 0.00% 42 10/22/2015 1015 1015 4 0.00% 42 10/16/2015 1020 1030 5 0.98% 42

015 1015 1025 1 0.99% 43 10/27/2015 1030 1030 2 0.00% 43 10/28/2015 1025 1015 3 -0.98% 43 10/29/2015 1015 1015 4 0.00% 43 10/23/2015 1015 1020 5 0.49% 43

015 1010 1005 1 -0.50% 44 11/3/2015 1005 1005 2 0.00% 44 11/4/2015 1010 1010 3 0.00% 44 11/5/2015 1010 1005 4 -0.50% 44 10/30/2015 1015 1025 5 0.99% 44

015 1005 1005 1 0.00% 45 11/10/2015 1005 1005 2 0.00% 45 11/11/2015 1040 1005 3 -3.37% 45 11/12/2015 1000 1000 4 0.00% 45 11/6/2015 1005 1005 5 0.00% 45

015 1000 985 1 -1.50% 46 11/17/2015 985 985 2 0.00% 46 11/18/2015 985 985 3 0.00% 46 11/19/2015 1010 1010 4 0.00% 46 11/13/2015 1030 1000 5 -2.91% 46

015 980 990 1 1.02% 47 11/24/2015 1000 995 2 -0.50% 47 11/25/2015 990 990 3 0.00% 47 11/26/2015 1000 1000 4 0.00% 47 11/20/2015 1000 995 5 -0.50% 47

015 1035 1165 1 12.56% 48 12/1/2015 1170 1055 2 -9.83% 48 12/2/2015 1055 1055 3 0.00% 48 12/3/2015 1055 1045 4 -0.95% 48 11/27/2015 1010 1030 5 1.98% 48

015 1020 1020 1 0.00% 49 12/8/2015 1010 1030 2 1.98% 49 12/9/2015 1030 1030 3 0.00% 49 12/10/2015 1030 1020 4 -0.97% 49 12/4/2015 1040 1030 5 -0.96% 49

015 1005 1030 1 2.49% 50 12/15/2015 1020 1030 2 0.98% 50 12/16/2015 1020 1030 3 0.98% 50 12/17/2015 1020 1035 4 1.47% 50 12/11/2015 1015 1010 5 -0.49% 50

015 1050 1040 1 -0.95% 51 12/22/2015 1050 1040 2 -0.95% 51 12/23/2015 1040 1040 3 0.00% 51 12/24/2015 1040 1040 4 0.00% 51 12/18/2015 1035 1025 5 -0.97% 51

015 1030 1025 1 -0.49% 52 12/29/2015 1025 1020 2 -0.49% 52 12/30/2015 1025 1015 3 -0.98% 52 12/31/2015 1015 1015 4 0.00% 52 12/25/2015 1040 1040 5 0.00% 52

HARI E(r)/miE(r)/tahun

MONDAY 0.32% 80%

TUESDAY 0.07% 18%

WEDNESDAY0.08% 21%

THURSDAY 0.17% 43%

FRIDAY 0.69% 171%

1 2 3 4 5 6 7 8 9 10 11 12 1 3 1 4 15 16 17 18 19 20 21 22 23 24 25 26 27 28 2 9 3 0 3 1 32 33 34 3 5 3 6 3 7 38 39 40 4 1 4 2 4 3 44 45 46 4 7 4 8 49 50 51 52

-12.00%

-11.00%

-10.00%

-9.00%

-8.00%-7.00%

-6.00%

-5.00%

-4.00%-3.00%

-2.00%

-1.00%

0.00%1.00%

2.00%

3.00%

4.00%5.00%

6.00%

7.00%

8.00%9.00%

10.00%

11.00%

12.00%

13.00%14.00%

15.00%

16.00%

17.00%18.00%

r WEEKDAY

r MOnday r Tuesday r WEdnesday r Thursday r Friday

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

0.70%

0.80%

0 1 2 3 4 5 6

E(r)/minggu

E(r)/minggu

0%

20%

40%

60%

80%

100%

120%

140%

160%

180%

0 1 2 3 4 5 6

E(r)/tahun

E(r)/tahun

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ANOMALI PASAR

JANUARY EFFECT

Date Open High BULAN KE RETURN TAHUN E(r)/JANUARI E(r)/10 tahun

1/2/2006 1720 1730 1 0.58% 1 20.92% 5231%

1/1/2007 1110 1150 1 3.60% 2

1/1/2008 730 790 1 8.22% 3

1/1/2009 225 250 1 11.11% 4

1/4/2010 630 660 1 4.76% 5

1/3/2011 1630 1680 1 3.07% 6

1/2/2012 1020 1200 1 17.65% 71/1/2013 1900 2575 1 35.53% 8

1/1/2014 2000 2245 1 12.25% 9

1/1/2015 1375 1595 1 16.00% 10

y = 0.0214x - 0.0051

R = 0.4015

0.00%

5.00%

10.00%

15.00%20.00%

25.00%

30.00%

35.00%

40.00%

1 2 3 4 5 6 7 8 9 10

Axis

Title

Axis Title

RETURN

RETURN

Linear (RETURN)