Disappearing Anomaly di Bursa Efek Indonesia

  • A.A. Rai Niti Darmika Sukawati Fakultas Ekonomi dan Bisnis Universitas Udayana, Indonesia
  • Dewa Gede Wirama Fakultas Ekonomi dan Bisnis Universitas Udayana, Indonesia


The purpose of this research is to analyze whether there is a disappearing anomaly on the Indonesia Stock Exchange, especially for the Monday effect and January effect. The analysis was carried out by comparing the two anomalies in two periods, namely 2011 to 2015 and 2016 to 2020. The study used a sample of companies that were consistently listed on the Kompas100 Index during the observation period, with a total sample consisting of 42 companies. The analysis technique used is a different test with independent sample t-test. The test results show that the Monday effect in the 2016-2020 period is significantly lower than the Monday effect for the 2011-2015 period, but there is no significant difference in the January effect in the two periods.

Keywords: Disappearing Anomaly, January effect, Monday effect.


Download data is not yet available.


Al-smadi, A. A. A., Almsafir, M. K., & Binti Husni, N. H. H. (2018). Trends and calendar effects in Malaysia’s stock market. Romanian Economic and Business Review, 6(1), 15-22. https://doi.org/10.5430/ijhe.v6n1p18

Ardinan, H. (2014). Pengujian Monday effect pada Bursa Efek Indonesia dan Bursa Efek Singapura. Journal of Business and Banking, 4(1), 81-90. https://doi.org/10.14414/jbb.v4i1.295

Bagaskara, W., & Khairunnisa, K. (2019). Market anomaly analysis: the day of the week effect, january effect, rogalsky effect and weekfour effect testing in Indonesia Stock Exchange (Case Study on Companies Listed in Lq45 Index in 2013- 2017). Accruals, 3(1), 83–91. https://doi.org/10.35310/accruals.v3i1.42

Bernhardt, D., & Eckblad, M. (2013). Stock market crash of 1987. Federal Reserve Bank of Chicago. https://www.federalreservehistory.org/essays/stock_market_crash_of_1987

Cotter, J., & McGeever, N. (2018). Are Equity market anomalies disappearing? Evidence from the U.K. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3102563

Dewi, D. Y., & Santosa, P. W. (2019). Does the january effect anomaly still exist at indonesia stock exchange? The International Journal of Business Management and Technology, 3(6), 283–292. http://www.theijbmt.com/archive/0930/964895022.pdf

Dewi, P. C., & Asri, M. (2018). Monday effect pada pengumuman dividen naik dan dividen turun di Bursa Efek Indonesia tahun 2012-2017 [Undergraduate Thesis, Gadjah Mada University]. UGM Repository. http://etd.repository.ugm.ac.id/home/detail_pencarian/160987

Fama, E. F. (1970). Session topic: stock market price behavior session chairman: burton g. malkiel efficient capital markets: A Review Of Theory And Empirical Work. The Journal of Finance, 25(2), 383–417.

Folliott, T. (2007). the January Effect: a global perspective. [Master Thesis, Simon Fraser University]. Simon Repository. http://summit.sfu.ca/item/8323

Jaffe, J. F., Westerfield, R., & Ma, C. (1989). A twist on the monday effect in stock prices. Evidence from the U.S. and foreign stock markets. Journal of Banking and Finance, 13(4–5), 641–650. https://doi.org/10.1016/0378-4266(89)90035-6

Karissanata, N. C. (2019). Analisis pengaruh fenomena january effect dan monday effect pada return perusahaan yang terdaftar sebagai indeks lq-45 di bursa efek indonesia periode 2015-2018. [Undergraduate Thesis, Islam Indonesia University]. Islam Indonesia Repository. https://dspace.uii.ac.id/bitstream/handle/123456789/16100/15311309.pdf?sequence=13&isAllowed=y

Kartikasari, L. H. (2017). Pengujian january effect: studi komparasi pada bursa efek idonesia dan bursa saham shanghai periode 2011-2013. Journal of Business and Banking, 6(1), 65–80. https://doi.org/10.14414/jbb.v6i1.657

Kohers, G., Kohers, N., Pandey, V., & Kohers, T. (2004). The disappearing day-of-the-week effect in the world’s largest equity markets. Applied Economics Letters, 11(3), 167–171. https://doi.org/10.1080/1350485042000203797

Kusuma, M. B., Yanuar, & Cicilia. (2021). January effect on the Indonesian Stock Market. International Journal of Research Publications, 70(1), 35–45. https://doi.org/10.47119/ijrp100701220211714

Lenggono, T. O. (2020). Pengaruh january effect terhadap abnormal return saham. Cita Ekonomika, XIV(2), 111–121. https://ojs3.unpatti.ac.id/index.php/citaekonomika/article/view/2729

Maliasari, K., & Indrawati, N. K. (2013). Pengaruh january effect dan rogalski effect terhadap abnormal return saham dan trading volume activity. Jurnal Ilmiah Mahasiswa FEB Universitas Brawijaya, 2(2), 1–2. https://jimfeb.ub.ac.id/index.php/jimfeb/article/view/1153

Marquering, W., Nisser, J., & Valla, T. (2006). Disappearing anomalies: A dynamic analysis of the persistence of anomalies. Applied Financial Economics, 16(4), 291–302. https://doi.org/10.1080/09603100500400361

Maulaya, W. G. (2016). Pengujian fenomena monday effect dan week four effect terhadap return saham pada perusahaan property dan real estate yang terdaftar Di BEI tahun 2015. [Undergraduate Thesis, STIE Surabaya]. http://eprints.perbanas.ac.id/1822/

Meidona, S., Multama, I., & Saputri, R. (2021). Analisis fenomena the monday effect pada return harian saham perusahaan industri pengolahan yang terdaftar Di Bursa Efek Indonesia Periode 2019. 1(1), 47–61. https://ojs.iainbatusangkar.ac.id/ojs/index.php/jaksya/article/view/2743

Melinda, V. (2016). Pengujian fenomena anomali pasar the monday effect pada perusahaan ( the examination of monday effect market aanomalous phenomenon on the company lq45 ). [Undergraduate Thesis, Jember University]. UNEJ Repository. https://repository.unej.ac.id/bitstream/handle/123456789/81919

Meylianawati, F. (2021, Agustus). Analisis hari perdagangan , monday effect , weekend effect , dan rogalsky effect terhadap return saham (studi pada perusahaan LQ 45 di Bursa Efek Indonesia periode februari 2019 – januari 2020 ). Business and Economics Conference in Utilization of Modern Technology, Magelang. 670 - 689.

Mutiasari, D., & Paramita, V. S. (2016). Analisis january effect pada return saham, abnormal return dan trading volume activity untuk kelompok saham indeks LQ-45 di Bursa Efek Indonesia (BEI) Tahun 2013-2016. Working Papers Series In Management, Yogyakarta, 131–143.

Park, S.-C., & Moskalev, S. A. (2010). The 52-week high and the january effect. Journal of Business & Economics Research (JBER), 8(3), 43–58. https://doi.org/10.19030/jber.v8i3.688

Pradnyaparamita, N. M. W., & Rahyuda, H. (2017). Pengujian anomali pasar january effect pada perusahaan lq45 di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 6(7), 3513-3539. https://doi.org/10.24843/EJMUNUD.2019.v08.i09.p11

Primadhyta, S. (2015, September 21). Menkeu: gejolak ekonomi 2015 hanya eksperimen bukan krisis. CNN Indonesia. https://www.cnnindonesia.com/ekonomi/20150921125747-78-80025/menkeu-gejolak-ekonomi-2015-hanya-eksperimen-bukan-krisis

Purnama, M. (2018). Anomali monday effect pada Bursa Efek Indonesia. Primanomics: Jurnal Ekonomi dan Bisnis, 16(3), 1–13. https://jurnal.ubd.ac.id/index.php/ds

Rahmawati, S., & Hidayati, L. N. (2016). Analisis monday effect dan weekend effect pada return saham perusahaan LQ 45 di Bursa Efek Indonesia. [Undergraduate Thesis, Yogyakarta State University]. UNY Repository. http://eprints.uny.ac.id/id/eprint/39139

Ramadhani, R. (2016). Pengujian anomali pasar monday effect, weekend effect, rogalski effect di bursa efek Indonesia. Jurnal Ilmiah Mahasiswa FEB Universitas Brawijaya, 3(2). 109 - 117. https://jimfeb.ub.ac.id/index.php/jimfeb/article/view/1690

Saraswati, H. (2020). Dampak pandemi covid-19 terhadap pasar saham di Indonesia. Jurnal Riset Akuntansi dan Keuangan Dewantara, 3(2), 153-163. https://ejournal.stiedewantara.ac.id/index.php/JAD/article/view/696

Sagina, C., & Sulasmiyati, S. (2017). Analisis thе day of thе wееk еffеct dan monday еffеct pasar modal (studi pada indеks sеktor pеrtambangan bursa efеk indonеsia (bei) di tahun 2016). Jurnal Administrasi Bisnis (JAB), 50(2), 142–151. http://administrasibisnis.studentjournal.ub.ac.id/index.php/jab/article/view/1987

Singleton, J. C., & Wingender, J. R. (2003). The monday effect: a disaggregation Analysis. Quarterly Journal of Business & Economics, 42(January 2003), 91–112. https://www.researchgate.net/publication/272681501_The_Monday_Effect_A_Disaggregation_Analysis

Sitorus, E. H. (2019). Pengaruh monday effect, friday effect dan week-four effect terhadap return saham pada perusahaan sub sektor makanan dan minuman yang terdaftar di bursa efek indonesia. [Undergraduate Thesis, North Sumatera University]. USU Repository. https://repositori.usu.ac.id/handle/123456789/12731

Su’Udi, A. A. (2015). Analisis monday effect , weekend effect , dan week four effect terhadap return saham perusahaan yang terdaftar di jii periode 2012-2013. [Undergraduate Thesis, Universtas Islam Negeri]. UIN Repository. https://digilib.uin-suka.ac.id/id/eprint/17193/

Sudirman, I. M. S. N., & Sudirman, I. W. (2019, Mei). Evolusi day-of-the-week-effect di pasar modal indonesia. Seminar Nasional Hasil Penelitian-Denpasar, 190–208.

Sumiyana. (2008). Day of the week dan monday effect: fenomena yang terbuktikan tidak konsisten di pasar modal indonesia. Jurnal Manajemen Teori dan Teraoan, 1(1), 1–30. https://e-journal.unair.ac.id/JMTT/article/view/2359

Suyanto, D. (2019). Pengujian efek hari dalam seminggu terhadap return saham perusahaan sektor industri perbankan di bursa efek indonesia. Jurnal Vokasi Indonesia, 7(1), 39–47. https://doi.org/10.7454/jvi.v7i1.140

Tversky, A., & Kahneman, D. (1987). Judgment under uncertainty: Heuristics and Biases. Science, 185(4157), 1124–1131. https://doi.org/10.1126/science.185.4157.1124

Wang, K., Li, Y., & Erickson, J. (1997). American finance association a new look at the monday effect. The Journal of Finance, 52(5) (Dec, 1997 ). 2171-2186. https://doi.org/10.1111/j.1540-6261.1997.tb00412.x

Wiarta, I., daniyanti, D., & Etriya. (2020). Anomali return pada pasar modal indonesia (studi pada bank bumn di bursa efek indonesia). Jurnal Development, 8(1), 152–157. https://doi.org/10.53978/jd.v8i2.158

Indeks Kompas100. (2021, November 23). In Wikipedia. https://id.wikipedia.org/wiki/Indeks_Kompas100

Wong, W.-K., Agarwal, A., & Wong, N.-T. (2006). The disappearing calendar anomalies in the singapore stock market. The Lahore Journal of Economics, 11(2), 123–139. https://doi.org/10.35536/lje.2006.v11.i2.a7

Yunita, N. K. E., & Rahyuda, H. (2019). Pengujian anomali pasar (january effect) di bursa efek indonesia. E-Jurnal Manajemen Universitas Udayana, 8(9), 5571. https://doi.org/10.24843/ejmunud.2019.v08.i09.p11

Zaremba, A., Kizys, R., & Raza, M. W. (2020). The long-run reversal in the long run: insights from two centuries of international equity returns. Journal of Empirical Finance, 55, 177–199. https://doi.org/10.1016/j.jempfin.2019.11.007
How to Cite
SUKAWATI, A.A. Rai Niti Darmika; WIRAMA, Dewa Gede. Disappearing Anomaly di Bursa Efek Indonesia. E-Jurnal Akuntansi, [S.l.], v. 32, n. 2, p. 384-398, feb. 2022. ISSN 2302-8556. Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/82175>. Date accessed: 07 oct. 2022. doi: https://doi.org/10.24843/EJA.2022.v32.i02.p08.