DOES “MONDAY EFFECT” REALLY OCCUR IN INDONESIAN?:  EVIDENCE FROM INDEXED LQ45 COMPANIES

Please use this identifier to cite or link to this item: https://repository.unej.ac.id/xmlui/handle/123456789/79084

Title:	DOES “MONDAY EFFECT” REALLY OCCUR IN INDONESIAN?: EVIDENCE FROM INDEXED LQ45 COMPANIES
Authors:	Maharani, Bunga Irmadariyani, Ririn
Keywords:	Seasonal Anomalies Monday Effect Return
Issue Date:	23-Jan-2017
Abstract:	One of the widely studied seasonal effect and market anomaly is Monday Effect. It happens when stock returns were significantly negative on Monday. This study examines empirically the phenomenon Monday Effect on indexed LQ45 companies in Indonesia for the period from January to December 2015. There are 38 companies sampled in this study. This study uses nonparametric statistical analysis to test the hypothesis which consisting of the Kruskal-Wallis test, Wilcoxon test, and TauKendall test. Our results prove that there is a difference of return on the day-to-day trading. Our study also present the Monday Effect in real terms and partial. In addition, we found that the return on Monday affected by return on Friday the previous week.
Description:	Proceeding The 1th International Conference on Business and Accounting Studies Faculty of Economics and Business University of Jember
URI:	http://repository.unej.ac.id/handle/123456789/79084
ISBN:	978-602-60569-1-7
Appears in Collections:	LSP-Conference Proceeding

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