Patterns of Stock Returns in Indonesia from 2003 To 2008
Journal Title: Saudi Journal of Business and Management Studies - Year 2018, Vol 3, Issue 6
Abstract
Abstract:This study examines the pattern of stock returns in the Indonesian stock market. Using the GARCH (1,1) model, the study investigates the effects of day-of-the-week, month-of-the-year and monthly on the daily return series from January 2003 to August 2008. The study also examines the combined effect of the three anomalies. Overall, stock returns are found to be lower at the beginning of the week but closed higher by the end of the week. The stock returns are also found to be lower during the first quarter of the year but they register higher returns throughout the remaining months of the year, particularly towards the end of the year. The stock returns consistently produced significant positive returns on Wednesday throughout the month of April and May. Although evidence of significant positive returns is also found on other days within certain months, they do not prevail throughout the entire month. They are confined either to the first or second half of the month. The presence of seasonal effects in the Indonesian stock market indicates that market participants have the chance of making significant returns when trading on the specific days of the months. However, the abnormal gains are subject to the transaction cost which is not accounted for in this study. Keywords:Stock Returns, Indonesia, Indonesian stock.
Authors and Affiliations
Noor Azuddin Yakob
Keywords
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