EVOLUSI DAY-OF-THE-WEEK-EFFECT DI PASAR MODAL INDONESIA

Abstract

The study aims to examine and analyze the Day-of-The-Week-Effect (DWE) in  Indonesian Stock Exchange. Cross (1973) in his seminal paper stated that, on average, return on Monday is negative and return on Friday is positive, which by a number of researchers afterwards is called DWE. Until now DWE cannot be explained by conventional finance theories so it is stated as an anomaly. The existence of DWE actually also challenges the Efficient Market Hypothesis (EMH), so it becomes interesting to study. The Generalized Autoregresive Conditional Heteroscedasticity (GARCH) method was used to test and analyze DWE in this study. The data source in this study is the Indonesia Stock Exchange. The novelty in this study is on DWE testing carried out over a long period of time (1990-2018) and testing conducted by forming sub-samples within that time period. The results of the study found that there was an evolution of DWE in the Indonesian capital market. Where, DWE began to occur in the Asian crisis period in 1998, then it did not occur in the period of the 2008 global financial crisis, then reappeared in the following period until 2018.