DAY OF THE WEEK DAN MONDAY EFFECT: FENOMENA YANG TERBUKTIKAN TIDAK KONSISTEN DI PASAR MODAL INDONESIA
ABSTRACT: This research
critiques Sumiyana (2007a) that is actually weak methodological research
design. Sumiyana (2007a) investigates trading and nontrading periods return
only, or it doesn’t split intra-day return into short interval period. Although
Sumiyana (2007a) found strongly the phenomenon of the Monday effect, but it
could not capture the inside occurrence in the intra-trading periods. This
study examines the day of the week and Monday effect phenomena in the
Indonesian Stock Exchange using intraday data in every 30 minutes interval.
Samples of the data are the firms listed in LQ45. Sequentially, samples are
filtered to stocks that actively traded in the Indonesian Stock Exchange based
on trading frequency in observation period from January to December 2006. This
study uses regression analysis with multiple dummies constructed by separating
trading periods in every day into 12 return periods. This research finds that
day of the week phenomena occur consistently in Indonesian Stock Exchange, but
the occurrence are not evenly in the same day. In addition, this study
concludes that Monday effect exists partially and incidentally only.
Keywords: day of the week,
Monday effect, intraday data, 30 minutes interval
Penulis: Sumiyana
Kode Jurnal: jpmanajemendd080117
