Testing the Monday Effect in the Banking Sector in Indonesia Stock Exchange

DOI

10.2991/icame-18.2019.10How to use a DOI?

Keywords

Market anomaly, Monday effect, banking sector

Abstract

Calendar anomalies are one of the market anomalies that disrupt the efficient market hypothesis. Based on studies of calendar anomalies carried out in several capital markets in the world prove the existence of irregularities in seasonal return (day of the week effect) and monthly (month of the year effect) indicate the peculiarities that occur repeatedly, so it can be said as an interesting phenomenon to be observed and examined. The purpose of this study was to test the occurrence of the Monday effect phenomenon in the banking sector in the Indonesian stock exchange by using monthly stock price data (monthly closing price). The study used analysis of variance (ANOVA) testing. The results of the study provide evidence: the Monday effect, which is characterized by a significant negative (down) stock return on Monday, is inconsistent in banking stocks on the Indonesia Stock Exchange. Monday effects are only found to be consistent in April and June.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Agus Arman
AU  - Dwi Ayu Lestari
PY  - 2019/08
DA  - 2019/08
TI  - Testing the Monday Effect in the Banking Sector in Indonesia Stock Exchange
BT  - Proceedings of the 3rd International Conference on Accounting, Management and Economics 2018 (ICAME 2018)
PB  - Atlantis Press
SP  - 95
EP  - 100
SN  - 2352-5428
UR  - https://doi.org/10.2991/icame-18.2019.10
DO  - 10.2991/icame-18.2019.10
ID  - Arman2019/08
ER  -