The Effects of the Days of the Week on the Indonesian Stock Exchange

2017 ◽  
Vol 2 (4) ◽  
pp. 22-27
Author(s):  
Christiyaningsih Budiwati, SE,M.Si,Ak,CA ◽  
Ryan Noor Yudana
Keyword(s):  
Stock Return ◽  
Stock Exchange ◽  
Comparative Method ◽  
Jel Classification ◽  
Weekend Effect ◽  
Stock Trading ◽  
Monday Effect ◽  
Day Of The Week ◽  
The Difference ◽  
One Way Anova

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. Type of Paper - Empirical Keywords: Stock Return; The Day of The Week Effect; Monday Effect; Weekend Effect; LQ-45 Index. JEL Classification: G10, G12.

scholarly journals Efek Anomali Pasar Terhadap Return Saham Pada Perusahaan Lq 45 Yang Terdaftar Di Bursa Efek Indonesia

2018 ◽  
Author(s):  
Sri Utami Ady ◽  
Rifatun Nuroniyah ◽  
Sugiyanto
Keyword(s):  
Stock Return ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Weekend Effect ◽  
Analysis Tool ◽  
Purposive Sampling ◽  
Monday Effect ◽  
Average Return ◽  
Significant Difference ◽  
The Difference

The purposes of this study was to: (1) analyze the differences (Rogalski Effect) (2) to analyze the difference (Monday Effect) (3) to analyze the difference (Weekend Effect) on stock return at LQ 45 company listed in Indonesia Stock Exchange.The method used in this study was descriptive quantitative, the sample in this study amounted to 43 companies selected by using purposive sampling technique, the analysis tool used was the Independent Sample t-test.The result of hypothesis (1) there was no significant difference between the average of Monday April stock return with the average of Monday not April stock return. And there was no Rogalski Effect on LQ 45 stock return listed on Indonesia Stock Exchange. The result of hypothesis (2) therewass no significant difference between the average return of stock of Tujuan penelitian ini adalah untuk: (1) menganalisis adanya perbedaan (Rogalski Effect) (2) menganalisis adanya perbedaan (Monday Effect) (3) menganalisis adanya perbedaan (Weekend Effect) terhadap return saham pada perusahaan LQ 45 yang terdaftar di Bursa Efek Indonesia. Metode yang digunakan dalam penelitian ini adalah deskriptif kuantitatif, sampel dalam penelitian ini berjumlah 43 perusahaan yang terpilih dengan menggunakan teknik purposive sampling, alat analisis yang digunakan adalah Independent Sample t-test. Hasil Uji Hipotesis (1) tidak terdapat perbedaan yang signifikan antara rata-rata return saham senin April dengan rata-rata return saham senin non April. Dan tidak terjadi Rogalski Effect pada return saham LQ 45 yang terdaftar di Bursa Efek Indonesia. Hasil Uji Hipotesis (2) tidak terdapat perbedaan yang signifikan antara rata-rata return saham senin dengan rata-rata return saham non senin. Dan tidak terjadi Monday Effect pada return saham LQ 45 yang terdaftar di Bursa Efek Indonesia. Hasil Uji Hipotesis (3) terdapat perbedaan yang signifikan terjadi pada hari rabu, sedangkan pada hari senin, selasa, dan kamis tidak terdapat perbedaan yang signifikan antara rata-rata return saham. Dan tidak terjadi Weekend Effect pada return saham LQ 45 yang terdaftar di Bursa Efek Indonesia selama periode Februari 2016 sampai dengan Januari 2017

Pengaruh The Day Of The Week Effect, Week Four Effect dan Rogalsky Effect terhadap Return Saham Lq-45 di Bursa Efek Indonesia

2015 ◽  
Vol 2 (01) ◽  
pp. 43-54
Author(s):  
Yunisa Rahardian Saraswati ◽  
Cicik Setiorini ◽  
Dhea Agatha Cornelia
Keyword(s):  
Stock Returns ◽  
Analysis Of Variance ◽  
Stock Exchange ◽  
Jel Classification ◽  
T Test ◽  
Day Of The Week ◽  
One Way Anova ◽  
Paired T Test

A B S T R A C T This study aims to examine the existence and influence of the effects of trade (the day of the week effect), the effect of the fourth week (week four effect), and the effect Rogalsky (Rogalsky effect) on stock returns. This research samples are 41 active stocks wich is listing in LQ-45 index in Indonesia Stock Exchange over a period of 2013. The statistic methods which are used to test hypotheses are one way anova, and paired t-test. The results show that the day of the week effect and week four effect exist in Indonesia Stock Exchange. But Rogalsky effect does not exist in Indonesia Stock Exchange during Januari-Desember 2013. A B S T R A K Penelitian ini bertujuan untuk menguji keberadaan dan pengaruh dampak perdagangan (hari efek minggu), efek dari minggu keempat (empat minggu efek), dan efek Rogalsky (efek Rogalsky) terhadap return saham. Ini sampel penelitian adalah 41 saham aktif CHITIN listing di LQ-45 Indeks di Bursa Efek Indonesia selama periode 2013. Pengujian hipotesis dilakukan dengan analysis of variance, dan t-test. Hasil penelitian menunjukkan bahwa pengaruh hari dalam satu minggu dan pengaruh minggu keempat efek terjadi di Bursa Efek Indonesia. Tapi efek Rogalsky tidak terbukti di Bursa Efek Indonesia selama Januari - Desember 2013. JEL Classification: G14, G30

scholarly journals A Study on the Chronological Changes and Their Short-Lived Effects on the Market Index and the Stock Return of Tehran Stock Exchange Market

2015 ◽  
Vol 1 (1) ◽  
pp. 12
Author(s):  
Farhad Hanifi ◽  
Hamid Mahdavirad ◽  
Hamidreza Kordlouie
Keyword(s):  
Financial Markets ◽  
Behavioral Finance ◽  
Stock Return ◽  
Stock Exchange ◽  
Securities Market ◽  
Exchange Market ◽  
Market Index ◽  
Day Of The Week ◽  
The Difference ◽  
Return Difference

Detection and prediction of return fluctuations of securities have always been of great interest to those active in financial markets, leading to their research in financial and economic fields. This research aims at studying and detecting the return difference on specific days and months of a given year-if there is any. For this research the 2 lunar months of Ramadan and Muharram along with the two solar months of Farvardin- March 21 to April 2- and Shahrivar – August 22 to September 22 were chosen. In order to carry out this research, the return difference of the afore-mentioned months was tested against those of other months. Moreover, the return difference of a specific day of the week, namely Saturday – the beginning day of the week in Iran- was also tested against that of the other weekdays. It should be mentioned that the research also aimed at studying the difference of the aforementioned months and days with reference to the principles of behavioral finance. The research considered a 13 year span of time- from 2001 to 2013. Generally speaking, the following research studies the level of effect of chronological changes on a set of target indexes in Tehran securities market in the pre-mentioned span of time. The statistical method applied for the research is thesign test. The results of this research proved significant differences in the return patterns of the target months; however, these differences did not prove to be meaningful in any way.

scholarly journals Pengaruh The Day Of The Week Effect, Week Four Effect dan Rogalsky Effect terhadap Return Saham Lq-45 di Bursa Efek Indonesia

2015 ◽  
Vol 2 (01) ◽  
pp. 43-54
Author(s):  
Yunisa Rahardian Saraswati ◽  
Cicik Setiorini ◽  
Dhea Agatha Cornelia
Keyword(s):  
Stock Returns ◽  
Analysis Of Variance ◽  
Stock Exchange ◽  
Jel Classification ◽  
T Test ◽  
Day Of The Week ◽  
One Way Anova ◽  
Paired T Test

A B S T R A C T This study aims to examine the existence and influence of the effects of trade (the day of the week effect), the effect of the fourth week (week four effect), and the effect Rogalsky (Rogalsky effect) on stock returns. This research samples are 41 active stocks wich is listing in LQ-45 index in Indonesia Stock Exchange over a period of 2013. The statistic methods which are used to test hypotheses are one way anova, and paired t-test. The results show that the day of the week effect and week four effect exist in Indonesia Stock Exchange. But Rogalsky effect does not exist in Indonesia Stock Exchange during Januari-Desember 2013. A B S T R A K Penelitian ini bertujuan untuk menguji keberadaan dan pengaruh dampak perdagangan (hari efek minggu), efek dari minggu keempat (empat minggu efek), dan efek Rogalsky (efek Rogalsky) terhadap return saham. Ini sampel penelitian adalah 41 saham aktif CHITIN listing di LQ-45 Indeks di Bursa Efek Indonesia selama periode 2013. Pengujian hipotesis dilakukan dengan analysis of variance, dan t-test. Hasil penelitian menunjukkan bahwa pengaruh hari dalam satu minggu dan pengaruh minggu keempat efek terjadi di Bursa Efek Indonesia. Tapi efek Rogalsky tidak terbukti di Bursa Efek Indonesia selama Januari - Desember 2013. JEL Classification: G14, G30

scholarly journals ANALISIS RETURN SAHAM DENGAN PENDEKATAN MONDAY EFFECT DAN WEEKEND EFFECT DI BURSA EFEK INDONESIA

AdBispreneur ◽  
2020 ◽  
Vol 5 (2) ◽  
pp. 183
Author(s):  
Mohammad Benny Alexandri ◽  
Ratna Meisa Dai ◽  
Ema Fauziyah
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Weekend Effect ◽  
Monday Effect ◽  
Analysis Technique ◽  
Spss Software

This study discusses the analysis of stock returns using the Monday effect and Weekend effect  on the Indonesia Stock Exchange in the LQ45 period February 2017 - January 2018. The method  of analysis technique used  is the partial test with SPSS software ver.21 . The results of this study indicate that there is an effect of the Monday effect and Weekend effect on the LQ45 daily stock return on the Indonesia Stock Exchange, where the lowest return occurs on Monday (Monday effect) and the highest return on Friday (weekend effect), in addition there is the lowest return concentrated in the last two weeks of each month (fourth and fifth week) or also called week four effect.  Penelitian ini membahas tentang analisis return saham dengan menggunakan pendekatan Monday effect dan Weekend effect di Bursa Efek Indonesia pada LQ45 periode Februari 2017 - Januari 2018. Teknik analisis data yang digunakan menggunakan uji parsial dengan software SPSS ver.21. Hasil penelitian ini menunjukkan bahwa terdapat pengaruh Monday effect dan Weekend effect terhadap return saham harian LQ45 di Bursa Efek Inonesia, di mana return terendah terjadi pada hari Senin (Monday effect) dan return tertinggi pada hari Jumat (weekend effect), selain itu terdapat return yang terendah terkonsentrasi pada dua minggu terakhir setiap bulannya (minggu keempat dan kelima) atau disebut juga week four effect.

scholarly journals Day Of The Week dan Monday Effect: Fenomena yang Terbuktikan Tidak Konsisten Di Pasar Modal Indonesia

2008 ◽  
Vol 1 (1) ◽  
Author(s):  
Sumiyana Sumiyana
Keyword(s):  
Regression Analysis ◽  
Stock Exchange ◽  
Short Interval ◽  
Return Periods ◽  
Trading Frequency ◽  
Monday Effect ◽  
Methodological Research ◽  
Intraday Data ◽  
Day Of The Week ◽  
Observation Period

This research critiques Sumiyana (2007a) that is actually weak methodological research design. Sumiyana (2007a) investigates trading and nontrading periods return only, or it doesn’t split intra-day return into short interval period. Although Sumiyana (2007a) found strongly the phenomenon of the Monday effect, but it could not capture the inside occurrence in the intra-trading periods. This study examines the day of the week and Monday effect phenomena in the Indonesian Stock Exchange using intraday data in every 30 minutes interval. Samples of the data are the firms listed in LQ45. Sequentially, samples are filtered to stocks that actively traded in the Indonesian Stock Exchange based on trading frequency in observation period from January to December 2006. This study uses regression analysis with multiple dummies constructed by separating trading periods in every day into 12 return periods. This research finds that day of the week phenomena occur consistently in Indonesian Stock Exchange, but the occurrence are not evenly in the same day. In addition, this study concludes that Monday effect exists partially and incidentally only.

scholarly journals The Monday effect on the Johannesburg Stock Exchange

1985 ◽  
Vol 16 (1) ◽  
pp. 7-11 ◽  
Author(s):  
N. Bhana
Keyword(s):  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Investment Strategy ◽  
Weekend Effect ◽  
The Other ◽  
Expected Returns ◽  
Calendar Time ◽  
Expected Return ◽  
Average Return ◽  
Day Of The Week

The efficient market hypothesis submits that the expected returns on shares and other financial assets are identical for all the days of the week. Studies of share returns on the New York Stock Exchange have revealed that the expected returns are not identical for the various days of the week. This article examines two hypotheses that have attempted to explain the distribution of returns over different days of the week. The calendar-time hypothesis states that the expected return for Monday is three times the expected return for the other days of the week. The trading-time hypothesis states that the expected return is the same for each day of the week. During the period 1978-1983, the daily returns on shares traded on the JSE were inconsistent with both hypotheses. The average return for Monday was significantly negative while the average return for the other trading days was positive with Wednesday showing the highest return. Evidence is presented to show that Treasury Bills have the same weekend effect as share transactions. An investment strategy based on the observed pattern of share returns over different days of the week is suggested. The implications of the effect of day of the week for tests of market efficiency are examined.

scholarly journals Information Content of Implicit Spot Prices Embedded in Single Stock Future Prices: Evidence from Indian Market

2017 ◽  
Vol 16 (2) ◽  
pp. 169-187 ◽  
Author(s):  
Rajesh Pathak ◽  
Thanos Verousis ◽  
Yogesh Chauhan
Keyword(s):  
Stock Returns ◽  
Information Content ◽  
Stock Exchange ◽  
Jel Classification ◽  
Spot Price ◽  
Spot Prices ◽  
Pricing Errors ◽  
Pricing Error ◽  
The Difference ◽  
Cost Of Carry

This study examines the information content of pricing error, measured by the difference between the implied price computed using the cost of carry model and the spot price of Single Stock Futures (SSFs), traded on National Stock Exchange (NSE), India. The returns of portfolios, based on ranking of such pricing errors, are investigated. The consistency of results is verified by controlling for established risk factors, that is, market, size, value and momentum premium, and idiosyncratic factors such as firm’s liquidity and size. Our study reveals that the pricing error is a priced risk factor that contains incremental information about stock returns of day t, and not beyond. We conclude that implied spot prices from stock futures market are useful for traders to profit in the spot market. JEL Classification: G120, G130

scholarly journals The Effect of Leverage, Board of Commissioner, Foreign Ownership, Company Age, and Company Size Towards the Disclosure of Corporate Social Responsibility (CSR) Implementation

2016 ◽  
Vol 1 (1) ◽  
pp. 27-33
Author(s):  
Clara Cahyani ◽  
Rosita Suryaningsih
Keyword(s):  
Corporate Social Responsibility ◽  
Stock Exchange ◽  
Manufacturing Sector ◽  
Financial Statements ◽  
Foreign Ownership ◽  
Jel Classification ◽  
Company Size ◽  
Regression Approach ◽  
The Difference ◽  
Corporate Social

Objective - The objective of this research is to examine the effect of leverage, board of commissioner, foreign ownership, company age and company size towards the disclosure of CSR implementation. Leverage was measured by debt to asset ratio (DAR), board of commissioner was measured by the number of commissioners, company age was measured by the difference of research year and listing year, and company size was measured by the in total asset. Methodology/Technique - This research usesthe published reports and financial statements of 55 companies listed in the manufacturing sector of the Indonesia Stock Exchange from the period of 2013-2014. Selection was based on purposive sampling. Data were analyzed using the multiple regression approach. Findings - The results showed that leverage that was measured by the DAR, board of commissioners, foreign ownership, company age, and company size, all simultaneously, have a significant effect towards the disclosure of CSR implementation. The board of commissioner has a positive significant effect towards the disclosures of CSR implementation while leverage that was measured by DAR, foreign ownership, company age, and company size have no effect towards the disclosures of CSR implementation. Novelty - This research proves that bigger companiestend to implement CSR more broadly so the disclosure of CSR implementation can be on a wider scope too. Type of Paper Empirical Keywords: Board of Commissioner; Company Age; Company Size; Disclosure of CSR Implementation; Foreign Ownership; Leverage. JEL Classification: M14, M21.

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