Kembali | Vol 7, No 2 (2018)
Article
Raditya Arief Pradana dan Heru Agustanto
Abstract
This study discusses the existence of the phenomenon of sell in may effect in Indonesia stock exchange and the influence of net foreign investor flow on the phenomenon. Population in this research is monthly return of Composite Stock Price Index (IHSG) and net value of foreign investor transaction in year 2004 - 2017. Model used in this research is linear regression model with return of IHSG either monthly or six monthly as dependent variable. While the dummy variable sell in may effect and net foreign investor flow in monthly or six monthly as dependent variable. The results showed there is a phenomenon of sell in may effect which is shown by the return of six monthly IHSG in the period November - April which is higher than the period of May - October. In addition, there is also the influence of net foreign investor flow on the phenomenon of sell in may effect which is marked by the net value of monthly foreign investor transactions in the period of May - October which has a higher influence than the period November - April.
Keywords
return, anomaly, sell in may effect, net foreign investor flow
