The Effects of the Days of the Week on the Indonesian Stock Exchange
Journal Title: GATR Journal of Finance and Banking Review - Year 2017, Vol 2, Issue 4
Abstract
Objective – The study aims to identify the difference of returns that occur on every trading day, to identify the occurrence of the phenomenon of the Day of the Week Effect; to identify the occurrence of Monday Effect on stock trading in the Indonesian Stock Exchange; and to identify the occurrence of Weekend Effect on the Indonesian Stock Exchange. Methodology/Technique – This study examines companies listed in the LQ 45 Index between January 2016 and December 2016. The results are tested using a comparative method. The sample used consists of 41 companies. The hypothesis was testing using a one-way ANOVA and independent sample t-test. Findings – The results show that there is a difference of stock return occuring on every trading, day indicating the occurrence of the day of the week effect phenomenon. Further, there was no Monday Effect phenomenon observed during the study period and there was no Weekend Effect Phenomenon observed during the study period. Novelty – Based on the results, it can be concluded that the phenomenon of the Day of the Week Effect occurred between January 2016 and December 2016, while the phenomenon of Monday Effect and Weekend Effect did not occur during the study period.
Authors and Affiliations
Christiyaningsih Budiwati, SE,M. Si,Ak,CA, Ryan Noor Yudana
Keywords
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