Studi Komparatif The Day Of The Week Effectmdan The Month Of The Year Effect Dalam Perolehan Return Saham Di Bursa Efek Indonesia Pada Perusahaan LQ 45 Periode Februari 2017-Januari 2018

2020 ◽  
Vol 1 (2) ◽  
pp. 123-134
Author(s):  
Komang Agus Rudi Indra Laksmana ◽  
Ni Luh Gede Sri Artika Dewi
Keyword(s):  
Capital Markets ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Anomalous Effect ◽  
Year Effect ◽  
Day Of The Week ◽  
Market Anomaly

The concept of the efficient capital markets has become a topic of debate is fascinating and quite controversial in the field of finance. Since the introduction his the efficient market hypothesis, comes a variety of behavior of irregularity or discrepancy in the capital markets. Irregularity is referred to as a market anomaly (market anomaly). The Market anomaly that became a lot of attention is the anomalous effect of calendar. These anomalies are the day of the week effect and the month of the year effect. This research was conducted due to the results of several studies that are not consistent on the day of the week effect and the month of the year effect in obtaining the return of shares in Indonesia stock exchange.

scholarly journals STUDI KOMPARATIF THE DAY OF THE WEEK EFFECT DAN THE MONTH OF THE YEAR EFFECT DALAM PEROLEHAN RETURN SAHAM DI BURSA EFEK INDONESIA PADA PERUSAHAAN LQ 45 PERIODE FEBRUARI 2017-JANUARI 2018

2019 ◽  
Author(s):  
Komang Agus Rudi Indra Laksmana
Keyword(s):  
Capital Markets ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Anomalous Effect ◽  
Year Effect ◽  
Day Of The Week ◽  
Market Anomaly

The concept of the efficient capital markets has become a topic of debate is fascinating and quite controversial in the field of finance. Since the introduction his the efficient market hypothesis, comes a variety of behavior of irregularity or discrepancy in the capital markets. Irregularity is referred to as a market anomaly (market anomaly). The Market anomaly that became a lot of attention is the anomalous effect of calendar. These anomalies are the day of the week effect and the month of the year effect. This research was conducted due to the results of several studies that are not consistent on the day of the week effect and the month of the year effect in obtaining the return of shares in Indonesia stock exchange.

scholarly journals Efficient Market Hypothesis and Market Anomalies of LQ 45 Index in Indonesia Stock Exchange

2019 ◽  
Vol 3 (2) ◽  
pp. 107
Author(s):  
Helma Malini
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Share Price ◽  
Exchange Market ◽  
Efficient Market ◽  
Market Anomalies ◽  
Share Prices ◽  
Year Effect

The paper attempts to investigate the validity of the Efficient Market Hypothesis and the existence of calendar effect on Indonesia Stock Exchange Market. Initially, this paper discusses types of EMH also the literature available regarding this topic. The sample of research is twenty one securities listed in LQ 45 Index on the Indonesia Stock Exchange Market (IDX), this paper applies non parametric tests which are Run test, Kruskal-Wallis test, Mann-Whitney test  parametric test which are series correlation test, One-way Anova test and independent t-test two sample. Based on the results of the test of this paper, it can be concluded that Weak Form Efficient Market exists in LQ 45 Index of IDX while Day of the Week Effect and Month of the Year Effect are not found to exist in LQ 45 Index of IDX. In conclusion, it is observed that the effect of stock prices for the sample companies on future prices is very meager and an investor cannot reap profits by using the historical share price data as the current share prices already reflect the effect of past share prices data.

scholarly journals Analisis January Effect Pada Saham Astra Internasional (ASII) Di Bursa Efek Indonesia Pada Periode 2005 - 2015

2016 ◽  
Vol 8 (2) ◽  
pp. 54-63
Author(s):  
Andreas Kiky
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
January Effect ◽  
Efficient Market ◽  
Expected Return ◽  
New Information ◽  
Past Data ◽  
Market Anomaly

In Stock Market our goal is pursue optimum wealth by appreciation of our Stocks. Stock price fluctuate over time as nobody can predict. In this research our aim is to observe the market anomaly that might be happened as the investor behave. We will examine January Effect as Keim observe in 1986 in Indonesia Stock Exchange. Also we can also examine Efficient Market Hypothesis as the result from anomaly and abnormal return that founded in this research. If we can find the market anomaly perhaps we can map the market seasonal trend as the past data recorded. If this anomaly exists we could suggest investor to invest their money as the anomaly data shown. Then investor could gain optimum wealth base on this information. Purpose of this paper is to examine market anomaly and does it exist in Indonesia market? Our main objective is to predict the market movement base on seasonal or anomaly pattern that has been found in previous research. We use CAPM to measure Expected Return of Asset and we use ASII stock price to measure the return of the stock. Our finding is far from our expectation. We expect to find January Effect here but unfortunately we found another anomaly that happen in May and October. Our research suggest that we should cautious for this investor behavior because they seem react as the new information or news appear Keywords: Abnormal Return, January-Effect, Market Anomaly, CAPM, Efficient Market Hypothesis

scholarly journals Nonlinearities and Chaos: A New Analysis of CEE Stock Markets

Mathematics ◽  
2021 ◽  
Vol 9 (7) ◽  
pp. 707
Author(s):  
Claudiu Tiberiu Albulescu ◽  
Aviral Kumar Tiwari ◽  
Phouphet Kyophilavong
Keyword(s):  
Capital Markets ◽  
Stock Markets ◽  
Transition Period ◽  
Chaotic Behavior ◽  
Efficient Market Hypothesis ◽  
Eastern European ◽  
Price Behavior ◽  
Financial Systems ◽  
Efficient Market ◽  
Level Of Significance

After a long transition period, the Central and Eastern European (CEE) capital markets have consolidated their place in the financial systems. However, little is known about the price behavior and efficiency of these markets. In this context, using a battery of tests for nonlinear and chaotic behavior, we look for the presence of nonlinearities and chaos in five CEE stock markets. We document, in general, the presence of nonlinearities and chaos which questions the efficient market hypothesis. However, if all tests highlight a chaotic behavior for the analyzed index returns, there are noteworthy differences between the analyzed stock markets underlined by nonlinearity tests, which question, thus, their level of significance. Moreover, the results of nonlinearity tests partially contrast the previous findings reported in the literature on the same group of stock markets, showing, thus, a change in their recent behavior, compared with the 1990s.

scholarly journals Die Johannesburgse Effektebeurs as rasionele kapitaalmark

1981 ◽  
Vol 12 (3) ◽  
pp. 53-59 ◽  
Author(s):  
Leon M. Brummer ◽  
Pieter J. Jacobs
Keyword(s):  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Small Degree ◽  
Point Of View ◽  
Efficient Market ◽  
Price Changes ◽  
Economic Point ◽  
Johannesburg Stock Exchange ◽  
Measure Of Dependence

The Johannesburg Stock Exchange as an efficient market. Finality has not yet been reached on the question whether the Johannesburg Stock Exchange complies with the requirements of the efficient market hypothesis. The results of the research that are published in this article is therefore an attempt to make a contribution to the debate regarding the Johannesburg Stock Exchange as an efficient market. By way of serial correlations as well as runs tests an investigation was carried out into the behaviour of the prices of 94 quoted shares for the period 1970 to 1977. The results of the study give rise to the conclusion that the Johannesburg Stock Exchange does not statistically comply with the weak form of the efficient market hypothesis (the random walk hypothesis), as a measure of dependence between successive price changes was found. Seen from an economic point of view it is, however, doubtful whether investors could use this small degree of dependence between price changes to gain higher returns on share investments.Uitsluitsel met betrekking tot die mate waartoe die Johannesburgse Effektebeurs aan die vereistes vir 'n rasionele mark voldoen, is nog nie verkry nie. Die resultate wat in hierdie artikel voorkom is daarom 'n poging om 'n bydrae in die debat rakende die Johannesburgse Effektebeurs as 'n rasionele mark, te maak. 'n Ondersoek na die markpryse van 94 genoteerde aandele vir die periode 1970-77 is deur middel van reekskorrelasiekoeffisiente en die lopietoets uitgevoer. Die resultate van die studie gee aanleiding tot die gevolgtrekking dat die Johannesburgse Effektebeurs nie statisties aan die swak vorm van die rasionele markhipotese (die willekeurige beweging van markpryse) voldoen nie, aangesien 'n mate van afhanklikheid tussen opeenvolgende prysveranderings gevind is. Uit 'n ekonomiese oogpunt gesien is dit egter twyfelagtig of beleggers hierdie afhanklikheid sal kan aanwend om hoer opbrengste op aandelebeleggings te bewerkstellig.

ANOMALI PASAR PADA RETURN SAHAM LQ 45 DI BURSA EFEK INDONESIA: FENOMENA THE DAY OF WEEK EFFECT, WEEK FOUR EFFECT, ROGALSKY EFFECT, DAN JANUARY EFFECT

2016 ◽  
Vol 12 (1) ◽  
pp. 51
Author(s):  
Reza Widhar Pahlevi
Keyword(s):  
Empirical Research ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Weak Form ◽  
Strong Form ◽  
January Effect ◽  
Efficient Markets ◽  
Efficient Market ◽  
Market Anomalies ◽  
Day Of The Week

Market anomalies appears on all forms of efficient markets, both weak form, semi-strong and strongform. But plenty of evidence to link the anomaly with semi-strong form efficient market exploited togenerate abnormal returns. Market anomalies that is often discussed is the Day of the Week Effect,January Effect, Week Four Effect and other market anomalies. Empirical research is intended todetermine whether there is the phenomenon of the day of the week effect, week four effect, the effectrogalsky and January effect on LQ 45 stocks in the Indonesia Stock Exchange year period 2014-2015.Based on the analysis of data, shows that there is the phenomenon of the day of week effect on thecompany LQ-45 in Indonesia Stock Exchange 2014-2015 period, there is the phenomenon of weekfour effect on the LQ-45 in Indonesia Stock Exchange 2014-2015 period, there are phenomenonRogalski Effect on the LQ-45 in Indonesia Stock Exchange 2014-2015 period and there is no Januaryeffect phenomenon in the LQ-45 in Indonesia Stock Exchange 2014-2015 period.Keywords: the day of the week effect, week four effect, rogalsky effect and january effect

Analyzing seasonal anomalies for Israel: evidence from pre- and post-global financial crisis

2019 ◽  
Vol 46 (3) ◽  
pp. 435-450
Author(s):  
Dinesh Jaisinghani ◽  
Muskan Kaur ◽  
Mohd Merajuddin Inamdar
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Time Frame ◽  
Content Type ◽  
Dummy Variable ◽  
Year Effect ◽  
Show Evidence ◽  
Tel Aviv Stock Exchange ◽  
Day Of The Week

Purpose The purpose of this paper is to analyze different seasonal anomalies for the Israeli securities markets for the pre- and post-global financial crisis periods. Design/methodology/approach The closing values of six indices of the Tel Aviv Stock Exchange (TASE) of Israel have been considered. The time frame ranges from 2000 to 2018. Further, the overall time frame has been segregated into pre- and post-financial crisis periods. The study employs dummy variable regression technique for assessing different calendar anomalies. Findings The results show evidence pertaining to different seasonal anomalies for the Israeli markets. The results specifically show that the anomalies change considerably across the pre- and post-financial crisis periods. The results are more apparent for three anomalies including the day of the week effect, the month of the year effect and the holiday effect. However, anomalies including the Halloween effect and the trading month effect are found to be insignificant across both pre- and post-financial crisis periods. Originality/value The study is first of its kind that analyzes different seasonal anomalies across pre- and post-financial crisis periods for the Israeli markets. The study provides newer insights about the overall return patterns observed in different indices of the TASE.

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 Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis

2019 ◽  
Vol 12 (2) ◽  
pp. 97 ◽  
Author(s):  
Qianwei Ying ◽  
Tahir Yousaf ◽  
Qurat ul Ain ◽  
Yasmeen Akhtar ◽  
Muhammad Shahid Rasheed
Keyword(s):  
Capital Markets ◽  
Stock Prices ◽  
Intrinsic Value ◽  
Efficient Market Hypothesis ◽  
Investment Strategies ◽  
Excess Returns ◽  
Efficient Market ◽  
Market Anomalies ◽  
Replication Studies ◽  
Stock Investment

The expansion of investment strategies and capital markets is altering the significance and empirical rationality of the Efficient Market Hypothesis. The vitality of capital markets is essential for efficiency research. The authors explore here the development and contemporary status of the efficient market hypothesis by emphasizing anomaly/excess returns. Investors often fail to get excess returns; however, thus far, market anomalies have been witnessed and stock prices have diverged from their intrinsic value. This paper presents an analysis of anomaly returns in the presence of the theory of the efficient market. Moreover, the market efficiency progression is reviewed and its present status is explored. Finally, the authors provide enough evidence of a data snooping issue, which violates and challenges the existing proof and creates room for replication studies in modern finance.

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