MARKET ANOMALY ANALYSIS: THE DAY OF THE WEEK EFFECT, JANUARY EFFECT, ROGALSKY EFFECT AND WEEKFOUR EFFECT TESTING IN INDONESIA STOCK EXCHANGE (CASE STUDY ON COMPANIES LISTED IN LQ45 INDEX IN 2013- 2017)

  • Wendra Bagaskara Telkom University
  • Khairunnisa Khairunnisa Telkom University

Abstract

Financial theory explained that there are four types of
anomalies such as firm anomaly, seasonal anomaly, event
anomaly, and accounting anomaly. Seasonal anomalies are
divided into several parts such as The Day of The Week
Effect, the January Effect, Rogalsky Effect, and Week-Four
Effect. The results of research in Indonesia show mixed
results related to this anomaly.
The purpose of this research is to test wether The Day of
The Week Effect, January Effect, Rogalsky Effect, and
Week-Four Effec market anomalyt occurred on the
Indonesia Stock Exchange. This research is a study that
uses quantitative research methods with the purpose of
descriptive-verification. The unit of analysis of this research
is the companies that registered consistently in the LQ45
index for the period 2013-2017 using purposive sampling
technique. This study used 37 research samples for 5 years
of research and used a different test analysis with SPSS
Statistics 25.
The results showed that there was an anomaly of The
Day of The Week Effect on the Indonesia Stock Exchange
and there was no anomaly in the January Effect, Rogalsky
Effect, and Week-Four Effect on the Indonesia Stock
Exchange

Downloads

Download data is not yet available.
Published
2019-03-29
How to Cite
Bagaskara, W., & Khairunnisa, K. (2019). MARKET ANOMALY ANALYSIS: THE DAY OF THE WEEK EFFECT, JANUARY EFFECT, ROGALSKY EFFECT AND WEEKFOUR EFFECT TESTING IN INDONESIA STOCK EXCHANGE (CASE STUDY ON COMPANIES LISTED IN LQ45 INDEX IN 2013- 2017). ACCRUALS (Accounting Research Journal of Sutaatmadja), 3(1), 83 - 91. https://doi.org/10.35310/accruals.v3i1.42