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

Abstract

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.

Market Anomaly Testing: Phenomena of Day of the Week Effect and Month of the Year Effect on IDX80 in Indonesia Stock Exchange

“…The results of this study are in line withSuryandari and Wirawan's research (2018) concluding the month of the year effect occurred on the IDX where the average stock return is positive in April. The results also support the research ofLaksmana and Dewi (2018) that found the month of the year effect occured on the IDX that resulted a January effect in the period February 2017 -January 2018.…”

“…According to Gruber et al (2003); Cahyaningdyah (2004);Jones (2004) in Alteza (2007: 36), January effect is an anomaly in seasonal anomalies that indicates that the return in January tends to be higher than the return in other months. Laksmana and Dewi (2018) stated that January effect occurred on the IDX in the period February 2017 to January 2018. This phenomenon conjectures that the high return in January (especially on the days at the beginning of the month) is the tax-selling hypothesis.…”

Pengaruh January Effect, Week Four Effect, Dan Holiday Effect

“…Berdasarkan dari data kinerja indeks saham LQ-45 periode 2016-2020 di bulan Januari, tingkat probabilitas terjadinya fenomena January Effect sangat besar sehingga berpengaruh pada return saham. Hal ini didukung oleh penelitian (Kusuma et al, 2021;Laksmana & Dewi, 2018) Sumber: Data yang diolah, 2022…”