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

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.