Quadruple Witching Days and Abnormal Returns Analysis in The Indonesian Stock Market
DOI:
https://doi.org/10.59188/devotion.v5i1.661Keywords:
Quadruple Witching Days, LQ45, SRI-KEHATI, Abnormal ReturnAbstract
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 and SRI-KEHATI 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. 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.
Published
Issue
Section
License
Copyright (c) 2024 Fahmi Zulfikar, Endri
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-ShareAlike 4.0 International. that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work.
