Pengujian Monday Effect pada Indeks LQ-45 di Bursa Efek Indonesia pada saat Pandemi
Abstract
Research in Indonesia found many anomalies in the stock market, such as the Phenomenon of Monday effect. The diversity of research results encourages to re-research the Phenomenon of Monday effect on different conditions, namely pandemic. The purpose of this study is to find out the occurrence of Monday effect on the Indonesia Stock Exchange at the time of the pandemic. This research was conducted on all LQ-45 companies in March to October 2020. Data collection by observing the available secondary data. The analysis technique used is one sample t-test. This research proves that there is no difference in average return on Monday which the phenomenon of Monday effect doesn’t occur during a pandemic.
Keywords: Monday Effect; LQ-45 Index; Indonesia Stock Exchange.
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References
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Apsari, A. D. (2018). Pengujian Fenomena Monday Effect Di Bursa Eefek Indonesia, Shanghai Dan Thailand. STIE Perbanas Surabaya, 1–10.
Ardinan, H. (2014). Pengujian Monday Effect Pada Bursa Efek Indonesia Dan Bursa Efek Singapura. Journal of Business and Banking, 4(1), 81–90.
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Cederburg, S., & O’Doherty, M. S. (2015). Asset-pricing anomalies at the firm level. Journal of Econometrics, 186(1), 113–128. https://doi.org/10.1016/j.jeconom.2014.06.004
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. American Heart Journal, 25(2), 383–417. https://doi.org/10.1016/0002-8703(53)90182-3
Gibbons, M. R., & Hess, P. (1981). Day of the Week Effects and Asset Returns. The Journal of Business, 54(4), 579–596. https://doi.org/10.1086/296147
Hartono, J. (2017). Teori Portofolio dan Analisis Investasi. Edisi 11.
Indrayani. (2019). Analisis Fenomena January Effect Pada Saham Sektor Pertambangan Yang Terdaftar Di Bursa Efek Indonesia (BEI). Jurnal Ekonomi Manajemen & Bisnis, 20(1), 39–50.
Jaisinghani, D. (2016). South Asian Journal of Global Business Research : An Empirical Test of Calendar Anomalies for the Indian Securities Markets. South Asian Journal of Global Business Research, 5(1).
Koesoemasari, Haryono, T., & Safitri, D. (2018). Monday Effect , Week-Four Effect and January Effect in Indonesia. Proceeding International Conference of Business, Accounting and Economy, 167–172.
McGowan, C. B., & Ibrihim, I. (2009). An Analysis Of The Day-Of-The-Week Effect In The Russian Stock Market. International Business & Economics Research Journal (IBER), 8(9), 25–30. https://doi.org/10.19030/iber.v8i9.3165
Mehdian, S., & Perry, M. J. (2001). The reversal of the monday effect: New evidence from US equity markets. Journal of Business Finance and Accounting, 28(7–8), 1043–1065. https://doi.org/10.1111/1468-5957.00404
Muhammad, N. M. N., & Rahman, N. M. N. A. (2010). Efficient Market Hypothesis and Market Anomaly : Evidence from Day-of-the Week Effect of Malaysian Exchange. International Journal of Economics and Finance, 2(2), 36–42.
Nasir, M. A., Rossi, M., & Khan, K. (2017). The calendar anomalies on performance and volatility of stock market: the effects of Ramadan on Karachi Stock Exchange. Global Business and Economics Review, 19(1), 54–69. https://doi.org/10.1504/gber.2017.10000917
Perez, G. G. A. (2018). Monday effect in the Chinese Stock Market. International Journal of Financial Research, 9(1), 1–7. https://doi.org/10.5430/ijfr.v9n1p1
Putra, I. K. T. D., & Ardiana, P. A. (2016). Analisis The Monday Effect Di Bursa Efek Indonesia. E-Jurnal Akuntansi Universitas Udayana, 17(1), 591–614.
Rahmawati, S., & Hidayati, L. N. (2016). Analisis Monday Effect dan Weekend Effect Pada Return Saham Perusahaan LQ 45 di Bursa Efek Indonesia. Manajemen Universitas Negeri Yogyakarta, 551–561.
Roseliani, B., & Khairunnisa. (2015). Efek Anomali Pasar Terhadap Return Saham (Perusahaan LQ-45 Yang Terdaftar Di Bursa Efek Indonesia Periode 2013). E-Proceeding of Management, 2(2), 1649–1658. Retrieved from www.idx.co.id
Rossi, M. (2015). The efficient market hypothesis and calendar anomalies: A literature review. International Journal of Managerial and Financial Accounting, 7(3–4), 285–296. https://doi.org/10.1504/IJMFA.2015.074905
Rystrom, D. S., & Benson, E. D. (1989). Investor Psychology and the Day-of-the-Week Effect. Financial Analysts Journal, 45(5), 75–78. https://doi.org/10.2469/faj.v45.n5.75
Saraswati, Y. R., Setiorini, C., & Cornelia, D. A. (2015). Pengaruh The Day Of The Week Effect, Week Four Effect, dan Rogalsky Effect terhadap Return Saham LQ-45 di Bursa Efek Indonesia. Jurnal Riset Akuntansi Dan Perpajakan, 2(1), 43–54.
Shahid, M. N., & Mehmood, Z. (2015). Calendar Anomalies in Stock Market : A Case of KSE 100 Index. International Journal of African Adn Asian Studies, 7, 16–24.
Sias, R. W., & Starks, L. T. (1995). The Day-of-the-Week Anomaly: The Role of Institutional Investors. Financial Analysts Journal, 51(3), 58–67. https://doi.org/10.2469/faj.v51.n3.1906
Sulaiman, & Handi, A. (2008). Pengaruh Kinerja Keuangan terhadap Return Saham pada Perusahaan Manufaktur di BEJ. Vol: 2 No. 2 Juli 2008. Jurnal Penelitian Dan Pengembangan Akuntansi, 2(2).
Trisnadi, M. M., & Sedana, I. B. P. (2016). Pengujian Anomali Pasar : Day Of The Week Effect Pada Saham LQ-45 di Bursa Efek Indonesia. E-Jurnal Manajemen Unud, 5(6), 3794–3820.
Wang, K., Li, Y., & John, E. (1997). American Finance Association A New Look at the Monday Effect. 52(5), 2171–2186.
Wulandari, F., & Diana, N. (2018). Analisis Monday Effect Dan Friday Effect Pada Indeks Likuiditas 45 di Bursa Efek Indonesia. E-Jurnal Ilmiah Riset Akuntansi.
Apsari, A. D. (2018). Pengujian Fenomena Monday Effect Di Bursa Eefek Indonesia, Shanghai Dan Thailand. STIE Perbanas Surabaya, 1–10.
Ardinan, H. (2014). Pengujian Monday Effect Pada Bursa Efek Indonesia Dan Bursa Efek Singapura. Journal of Business and Banking, 4(1), 81–90.
Banz, R. W. (1981). The Relationship Between Return and Market Value of Common Stocks. Journal of Financial Economics, 9.
Cederburg, S., & O’Doherty, M. S. (2015). Asset-pricing anomalies at the firm level. Journal of Econometrics, 186(1), 113–128. https://doi.org/10.1016/j.jeconom.2014.06.004
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. American Heart Journal, 25(2), 383–417. https://doi.org/10.1016/0002-8703(53)90182-3
Gibbons, M. R., & Hess, P. (1981). Day of the Week Effects and Asset Returns. The Journal of Business, 54(4), 579–596. https://doi.org/10.1086/296147
Hartono, J. (2017). Teori Portofolio dan Analisis Investasi. Edisi 11.
Indrayani. (2019). Analisis Fenomena January Effect Pada Saham Sektor Pertambangan Yang Terdaftar Di Bursa Efek Indonesia (BEI). Jurnal Ekonomi Manajemen & Bisnis, 20(1), 39–50.
Jaisinghani, D. (2016). South Asian Journal of Global Business Research : An Empirical Test of Calendar Anomalies for the Indian Securities Markets. South Asian Journal of Global Business Research, 5(1).
Koesoemasari, Haryono, T., & Safitri, D. (2018). Monday Effect , Week-Four Effect and January Effect in Indonesia. Proceeding International Conference of Business, Accounting and Economy, 167–172.
McGowan, C. B., & Ibrihim, I. (2009). An Analysis Of The Day-Of-The-Week Effect In The Russian Stock Market. International Business & Economics Research Journal (IBER), 8(9), 25–30. https://doi.org/10.19030/iber.v8i9.3165
Mehdian, S., & Perry, M. J. (2001). The reversal of the monday effect: New evidence from US equity markets. Journal of Business Finance and Accounting, 28(7–8), 1043–1065. https://doi.org/10.1111/1468-5957.00404
Muhammad, N. M. N., & Rahman, N. M. N. A. (2010). Efficient Market Hypothesis and Market Anomaly : Evidence from Day-of-the Week Effect of Malaysian Exchange. International Journal of Economics and Finance, 2(2), 36–42.
Nasir, M. A., Rossi, M., & Khan, K. (2017). The calendar anomalies on performance and volatility of stock market: the effects of Ramadan on Karachi Stock Exchange. Global Business and Economics Review, 19(1), 54–69. https://doi.org/10.1504/gber.2017.10000917
Perez, G. G. A. (2018). Monday effect in the Chinese Stock Market. International Journal of Financial Research, 9(1), 1–7. https://doi.org/10.5430/ijfr.v9n1p1
Putra, I. K. T. D., & Ardiana, P. A. (2016). Analisis The Monday Effect Di Bursa Efek Indonesia. E-Jurnal Akuntansi Universitas Udayana, 17(1), 591–614.
Rahmawati, S., & Hidayati, L. N. (2016). Analisis Monday Effect dan Weekend Effect Pada Return Saham Perusahaan LQ 45 di Bursa Efek Indonesia. Manajemen Universitas Negeri Yogyakarta, 551–561.
Roseliani, B., & Khairunnisa. (2015). Efek Anomali Pasar Terhadap Return Saham (Perusahaan LQ-45 Yang Terdaftar Di Bursa Efek Indonesia Periode 2013). E-Proceeding of Management, 2(2), 1649–1658. Retrieved from www.idx.co.id
Rossi, M. (2015). The efficient market hypothesis and calendar anomalies: A literature review. International Journal of Managerial and Financial Accounting, 7(3–4), 285–296. https://doi.org/10.1504/IJMFA.2015.074905
Rystrom, D. S., & Benson, E. D. (1989). Investor Psychology and the Day-of-the-Week Effect. Financial Analysts Journal, 45(5), 75–78. https://doi.org/10.2469/faj.v45.n5.75
Saraswati, Y. R., Setiorini, C., & Cornelia, D. A. (2015). Pengaruh The Day Of The Week Effect, Week Four Effect, dan Rogalsky Effect terhadap Return Saham LQ-45 di Bursa Efek Indonesia. Jurnal Riset Akuntansi Dan Perpajakan, 2(1), 43–54.
Shahid, M. N., & Mehmood, Z. (2015). Calendar Anomalies in Stock Market : A Case of KSE 100 Index. International Journal of African Adn Asian Studies, 7, 16–24.
Sias, R. W., & Starks, L. T. (1995). The Day-of-the-Week Anomaly: The Role of Institutional Investors. Financial Analysts Journal, 51(3), 58–67. https://doi.org/10.2469/faj.v51.n3.1906
Sulaiman, & Handi, A. (2008). Pengaruh Kinerja Keuangan terhadap Return Saham pada Perusahaan Manufaktur di BEJ. Vol: 2 No. 2 Juli 2008. Jurnal Penelitian Dan Pengembangan Akuntansi, 2(2).
Trisnadi, M. M., & Sedana, I. B. P. (2016). Pengujian Anomali Pasar : Day Of The Week Effect Pada Saham LQ-45 di Bursa Efek Indonesia. E-Jurnal Manajemen Unud, 5(6), 3794–3820.
Wang, K., Li, Y., & John, E. (1997). American Finance Association A New Look at the Monday Effect. 52(5), 2171–2186.
Wulandari, F., & Diana, N. (2018). Analisis Monday Effect Dan Friday Effect Pada Indeks Likuiditas 45 di Bursa Efek Indonesia. E-Jurnal Ilmiah Riset Akuntansi.
Published
2021-09-25
How to Cite
KEPAKISAN, Komang Bagus Surya; DAMAYANTHI, I Gst Ayu Eka.
Pengujian Monday Effect pada Indeks LQ-45 di Bursa Efek Indonesia pada saat Pandemi.
E-Jurnal Akuntansi, [S.l.], v. 31, n. 9, p. 2378-2387, sep. 2021.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/75569>. Date accessed: 25 nov. 2024.
doi: https://doi.org/10.24843/EJA.2021.v31.i09.p18.
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