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Short-Term Seasonalities on the Jakarta Stock Exchange

Author

Listed:
  • Kie Ann Wong

    (Department of Finance and Accounting, National University of Singapore, Singapore)

  • Kusnadi Yuanto

    (Department of Finance and Accounting, National University of Singapore, Singapore)

Abstract

This research attempts to uncover the presence of various stock market seasonalities on the Jakarta Stock Exchange (JSX). We find that most of the seasonal effects exist on the JSX, except for the January effect. There is a day-of-the-week effect with low Tuesday and high Friday returns. The "twist" effect is confirmed with a negative Tuesday return following a market decline in the previous week. The Tuesday "Rogalski" effect is present, with Tuesday return being positive in the month of January and negative for the other months. The monthly, turn-of-the-month, turn-of-the-year and pre-holiday effects are also confirmed in recent sub-periods after the reforms of the JSX in 1988.

Suggested Citation

  • Kie Ann Wong & Kusnadi Yuanto, 1999. "Short-Term Seasonalities on the Jakarta Stock Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 375-398.
    • Handle: RePEc:wsi:rpbfmp:v:02:y:1999:i:03:n:s0219091599000205
    DOI: 10.1142/S0219091599000205
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    Citations

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    Cited by:

    1. Rayenda Brahmana & Chee-Wooi Hooy & Zamri Ahmad, 2012. "Weather, investor irrationality and day-of-the-week anomaly: case of Indonesia," Journal of Bioeconomics, Springer, vol. 14(2), pages 129-146, July.
    2. Rima Turk Ariss & Rasoul Rezvanian & Seyed M. Mehdian, 2012. "WTO membership, ownership deregulation, and market efficiency: evidence from China," Applied Financial Economics, Taylor & Francis Journals, vol. 22(3), pages 177-195, February.
    3. Mr. Jason D. Mitchell & Ms. Li L Ong, 2006. "Seasonalities in China's Stock Markets: Cultural or Structural?," IMF Working Papers 2006/004, International Monetary Fund.

    More about this item

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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