IDEAS home Printed from https://ideas.repec.org/a/adi/ijbess/v4y2022i1p57-67.html
   My bibliography  Save this article

Analysis of efficient market anomaly on stock returns on Indonesia's composite stock price index and global stock price index

Author

Listed:
  • Franciskus Jumintang

    (UPN VETERAN JAKARTA)

  • Kery Utami

    (UPN Veteran Jakarta)

Abstract

Market anomaly is an occurring phenomenon in the market. Supposedly, an anomaly does not exist in markets that are considered efficient. An anomaly is an aberration in the efficient market theory where existing information does not reflect stock prices; therefore, investors can earn abnormal returns. This study examines how The Day Of The Week Effect and The Month Of The Year Effect affect stock returns on the Indonesian Stock Price Index and the Global Stock Price Index. Samples in this study are daily stock return data and return data on stocks of IHSG, DJIA, SSEC, and N225. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model is used to analyze data. The results show that in IHSG and SSEC, there was no The Day Of The Week Effect. The DJIA and N225 were found in The Day of the Week Effect. The Month of the Year Effect was found in IHSG, DJIA, SSEC, and N225.

Suggested Citation

  • Franciskus Jumintang & Kery Utami, 2022. "Analysis of efficient market anomaly on stock returns on Indonesia's composite stock price index and global stock price index," International Journal of Business Ecosystem & Strategy (2687-2293), Bussecon International Academy, vol. 4(1), pages 57-67, January.
    • Handle: RePEc:adi:ijbess:v:4:y:2022:i:1:p:57-67
    DOI: 10.36096/ijbes.v4i1.309
    as

    Download full text from publisher

    File URL: http://bussecon.com/ojs/index.php/ijbes/article/view/309/154
    Download Restriction: no
    File URL: https://doi.org/10.36096/ijbes.v4i1.309
    Download Restriction: no
    File URL: https://libkey.io/10.36096/ijbes.v4i1.309?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:adi:ijbess:v:4:y:2022:i:1:p:57-67. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Umit Hacioglu (email available below). General contact details of provider: https://edirc.repec.org/data/ibihutr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.