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MAGNITUDE DRIFT EFFECT WINNER AND LOSER STOCKS: LQ45 AND FTSE100

Felita Tanuprasodjo

Alumni Master of Management, Faculty of Business and Economics, Universitas Surabaya Putu Anom Mahadwartha

Faculty of Business and Economics, Universitas Surabaya, [email protected]

Abstract

This research is aimed to examine and find out empirical evidence of magnitude drift

effect on 10 winner LQ45, 10 loser LQ45, 5 winner FTSE100 Malaysia and 5 loser FTSE100

Malaysia. One sample t-test and independent sample t-test are used to test the magnitude

drift effect. The result show the positive magnitude drift effect on Monday-Wednesday at 10

Winner LQ45 and 5 winner FTSE100, Tuesday at 10 Loser LQ45,

Monday-Thursday at 5 Loser FTSE100 and the negative magnitude drift effect occurs on Monday-

Thursday-Friday at 10 Winner LQ45 and 5 Loser FTSE100, Wednesday-Thursday-Friday at 10 Loser LQ45 and

Friday-Monday at 5 Winner FTSE100. Magnitude drift in Malaysia occurs more than

magnitude drift in Indonesia.

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