“Sell in May and Go Away” pada Bursa Efek Indonesia
DOI:
https://doi.org/10.25299/kiat.2018.vol29(2).2787Keywords:
Sell In May Effect, Return, Risk, Anomaly, Efficient Market HypothesisAbstract
Sell in May and go away merupakan fenomena anomali return yang dimulai pada bulan Mei dan berlangsung hingga bulan Oktober. Bulan-bulan ini disebut dengan bulan-bulan terburuk saham. Sebaliknya, bulan-bulan November hingga April sering disebut dengan bulan-bulan terbaik saham dimana akan tercapai tingkat return yang lebih tinggi sepanjang tahun. Walaupun belum terbukti secara akademis, fenomena ini telah disebutkan oleh berbagai media di Indonesia seperti Kontan, CNN Indonesia, dan Bisnis Tempo yang diprediksi akan mengoreksi IHSG sepanjang tahun 2017. Tujuan dari penelitian ini adalah untuk membuktikan fenomena sell in May and go away pada Bursa Efek Indonesia dan meneliti kembali hubungan risk dan return pada kondisi anomali yang berlawanan dengan teori dasar keuangan trade off risk dan return di dalam Capital Asset Pricing Model (CAPM). Hasil penelitian membuktikan tidak terdapat fenomena sell in May and go away di Bursa Efek Indonesia disertai arah hubungan risk dan return yang bertolak belakang yang mengarahkan Bursa efek Indonesia pada efficient market hypothesis.
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