Research on market reactions to the phenomenon of The Day of Week Effect, Week Four Effect, Rogalsky Effect, and January Effect in several world capital markets finds different results. This study aims to determine the reaction of the Indonesian capital market before and during the Covid-19 pandemic which is associated with the phenomenon of the day of the week effect, week four effect, Rogalski effect, and January effect. by conducting a study of previous theoretical research, after that a survey was carried out to obtain data phenomena, classifying the closing daily JCI before and during the Covid-19 pandemic, calculating actual returns, calculating expected returns and abnormal returns, then classifying return or abnormal return data into 4 phenomena namely The Day of The Week Effect, Week Four Effect, Rogalsky Effect, and January Effect. For The Day of The Week Effect, return data is classified into Monday and non-Monday returns. For Week Four Effect, return data is classified into Monday week 1, 2, 3, and Monday week 4.5. For the Rogalsky Effect, return data are classified into Monday, April, and Monday non-April. For the January Effect, return data are classified into January 1st week and January 2nd week. Then do the Data Normality Test and Hypothesis Testing. This study produces empirical evidence that there is no phenomenon of the day of the week, week four effect, Rogalski effect, and January effect before and during the Covid-19 pandemic outbreak on the Indonesia Stock Exchange.

Several research results in the Indonesian Capital Market have found a market anomaly phenomenon caused by the market reacting to internal and external information. This study aims to examine whether companyspecific factors (company size, growth, and risk), national macroeconomic factors (Inflation, interest rates, and exchange rates on a national scale), and world macroeconomic factors (market returns, Inflation, interest rates, and world-scale exchange rates) ) may cause the Indonesian Capital Market to react. The form of this research is associative descriptive with a population of all companies indexed by LQ45, totaling 45 companies. According to purposive sampling, the sample used is 22 companies, and data analysis using panel data regression with the help of software Eviews 12. The study's results found that only national interest rates and world inflation could cause the Indonesian Capital Market to react. In contrast, size, growth, risk, national Inflation, world returns, world interest rates, and world exchange rates did not cause the Indonesian Capital Market to react.