Market Anomaly Testing: The Day of the Week Effect on LQ45 Stocks in Indonesia Stock Exchange

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Afrilianto, Aulya and Daryanto, Wiwiek Mardawiyah (2019) Market Anomaly Testing: The Day of the Week Effect on LQ45 Stocks in Indonesia Stock Exchange. International Journal of Business, Economics and Law, 19 (1). pp. 74-82. ISSN 2289-1552

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Abstract

Indonesia Stock Exchange (IDX) has continuously grown in the unexceptional speed, playing a vital role in the development of the country. As the existence of IDX is vital, it should satisfy the characteristics of efficient. According to Fama (1970) market is said to be efficient if the market reacts quickly and accurately to information entering the market. This characteristic implies that a certain pattern of stock price would not exist as the information continuously spread. However, as the research advances, the concept of an efficient market hypothesis become a pro-contra in the financial sector for practitioners and academics as the evidence of market anomaly existed in various countries. Therefore, this research objective is to test the existence of market anomaly, specifically to the day-of-the-week phenomena using descriptive analysis and a statistical F-test and T-test for the multiple regression model. The data used in this study consists of daily returns of twenty-two LQ45 stocks that are constantly listed from 2013 to 2018. The result shows that the day-of-the-week partially and simultaneously affect twenty-two LQ45 stock return from the period of 2013 to 2018. Thus, the market anomaly of the-day-of-the-week effect existed on LQ45 stocks in Indonesia Stock Exchange. The authors believe that this study will be beneficial for investors in making an investment decision, also contribute to a literature study of market anomaly testing. Keywords: Efficient Market Hypothesis, Market Anomaly, The Day-of-the-Week Effect, Stock Return, and Trading Days

Item Type: Article
Subjects: H Social Sciences > HF Commerce
H Social Sciences > HG Finance
Divisions: Research And Community Empowerment > Journals
Depositing User: Rizky Amalia
Date Deposited: 29 Jan 2020 03:09
Last Modified: 19 Feb 2021 04:49
URI: http://repository.ipmi.ac.id/id/eprint/652

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