Analysis Of Monday Effect And Rogalski Effect On Stock Returns On The Indonesia Stock Exchange (IDX) For The 2012-2013 Period

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Introduction

The Indonesia Stock Exchange (IDX) is one of the largest stock exchanges in Southeast Asia, with a vast array of shares listed on its platform. The IDX is home to the LQ-45 index, a benchmark index that tracks the performance of the top 45 shares listed on the exchange. The LQ-45 index is widely followed by investors and market analysts, and its performance has a significant impact on the overall market sentiment. However, despite its importance, the behavior of stocks on the IDX, particularly in the LQ-45 index, remains a subject of interest and research.

One of the most enduring and intriguing phenomena in the world of finance is the Monday effect, which refers to the tendency of stocks to perform differently on Mondays compared to other days of the week. This phenomenon has been observed in various stock markets around the world, including the IDX. The Rogalski effect, on the other hand, is a hypothesis that states that stocks that exhibit a Monday effect tend to decline on Fridays. This study aims to investigate the existence of the Monday effect and the Rogalski effect on the LQ-45 index during the 2012-2013 period.

Methodology

This study employed a purposive sampling method, where all companies registered in the LQ-45 index during the period January 2012 to December 2013 were taken as samples. The data used in this study consisted of daily stock returns for each company listed in the LQ-45 index during the study period. To analyze the effect of trading days on stock returns, descriptive analysis was used to show the average daily stock return and monthly return. Hypothesis testing was carried out using the Kruskal Wallis test, Kendall's Tau test, and Wilcoxon test.

Results

The results of the first and second hypothesis testing using the Kruskal Wallis test showed the influence of the day in a week and Monday effect on the LQ-45 index during the study period. This means that stock returns on Monday tend to be different from other days in a week. However, the results of the third hypothesis testing using the Kendall's Tau test showed the absence of a correlation between Monday effect and a negative Friday (bad Friday) on the LQ-45 index during that period. That is, although there is a tendency to reduce return on Monday, there is no strong evidence that the decline is related to negative trends on Friday.

Furthermore, the results of the fourth hypothesis testing with the Wilcoxon test showed that there was no phenomenon of Rogalski Effect found in the LQ-45 index. Rogalski Effect itself is a hypothesis that states that stocks that have Monday effects tend to decline on Friday.

Implications

The results of this study have several implications, including:

Investor

Understanding Monday effect can help investors in formulating more effective investment strategies. By recognizing the tendency of stocks to perform differently on Mondays, investors can adjust their investment decisions accordingly.

Market Regulatory

The results of this study can be taken into consideration for the Capital Market Regulator in monitoring and regulating the dynamics of the stock market in Indonesia. By understanding the behavior of stocks on the IDX, the regulator can make more informed decisions to maintain market stability and prevent potential market crashes.

Researcher

Further research can be done by considering other factors that can affect the pattern of stock movements, such as economic, political, and market sentiment factors. This study provides a foundation for future research in this area, and its findings can be used as a starting point for exploring other aspects of stock market behavior.

Conclusion

This study provides an interesting picture of the pattern of stock movements on the IDX, especially for LQ-45 shares. Although found Monday effect, this study found no strong evidence that supports the presence of Rogalski Effect and the correlation between Monday effect with a negative Friday. The results of this study have several implications for investors, market regulators, and researchers, and provide a foundation for future research in this area.

References

  • [1] Rogalski, R. J. (1978). The effects of the day of the week on stock returns. Journal of Finance, 33(2), 399-411.
  • [2] Lakonishok, J., & Smidt, S. (1988). Are seasonal anomalies real? A ninety-year perspective. Review of Financial Studies, 1(4), 403-425.
  • [3] French, K. R. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1), 55-69.

Limitations

This study has several limitations, including:

  • The study only focused on the LQ-45 index, which may not be representative of the entire IDX.
  • The study only analyzed the data for the 2012-2013 period, which may not be representative of the entire market.
  • The study did not consider other factors that may affect the pattern of stock movements, such as economic, political, and market sentiment factors.

Future Research Directions

Future research can be done by considering other factors that can affect the pattern of stock movements, such as economic, political, and market sentiment factors. This study provides a foundation for future research in this area, and its findings can be used as a starting point for exploring other aspects of stock market behavior.

Introduction

The Monday effect and Rogalski effect are two phenomena that have been observed in the stock market, particularly in the Indonesia Stock Exchange (IDX). These effects refer to the tendency of stocks to perform differently on Mondays and Fridays, respectively. In this article, we will answer some of the most frequently asked questions about the Monday effect and Rogalski effect.

Q: What is the Monday effect?

A: The Monday effect refers to the tendency of stocks to perform differently on Mondays compared to other days of the week. Research has shown that stocks tend to have lower returns on Mondays, which is often referred to as the "Monday blues."

Q: What is the Rogalski effect?

A: The Rogalski effect is a hypothesis that states that stocks that exhibit a Monday effect tend to decline on Fridays. This means that if a stock has a lower return on Monday, it is likely to have a lower return on Friday as well.

Q: Is the Monday effect a real phenomenon?

A: Yes, the Monday effect is a real phenomenon that has been observed in various stock markets around the world, including the IDX. Research has shown that stocks tend to have lower returns on Mondays, which is often referred to as the "Monday blues."

Q: Is the Rogalski effect a real phenomenon?

A: The Rogalski effect is a hypothesis that has not been fully proven. While some research has suggested that there may be a correlation between the Monday effect and the Rogalski effect, other research has found no evidence to support this hypothesis.

Q: What are the implications of the Monday effect and Rogalski effect?

A: The implications of the Monday effect and Rogalski effect are significant for investors and market regulators. Understanding these effects can help investors make more informed investment decisions and avoid potential losses. Market regulators can also use this knowledge to monitor and regulate the stock market more effectively.

Q: Can the Monday effect and Rogalski effect be used to make profits?

A: While the Monday effect and Rogalski effect can provide valuable insights into stock market behavior, they should not be used as a sole basis for making investment decisions. These effects are just one of many factors that can influence stock prices, and investors should always conduct thorough research and analysis before making investment decisions.

Q: What are some of the limitations of the Monday effect and Rogalski effect research?

A: Some of the limitations of the Monday effect and Rogalski effect research include:

  • The study only focused on the LQ-45 index, which may not be representative of the entire IDX.
  • The study only analyzed the data for the 2012-2013 period, which may not be representative of the entire market.
  • The study did not consider other factors that may affect the pattern of stock movements, such as economic, political, and market sentiment factors.

Q: What are some of the future research directions for the Monday effect and Rogalski effect?

A: Some of the future research directions for the Monday effect and Rogalski effect include:

  • Investigating the impact of other factors on the Monday effect and Rogalski effect, such as economic, political, and market sentiment factors.
  • Analyzing the Monday effect and Rogalski effect in other stock markets around the world.
  • Developing new models and strategies that can be used to take advantage of the Monday effect and Rogalski effect.

Conclusion

The Monday effect and Rogalski effect are two phenomena that have been observed in the stock market, particularly in the Indonesia Stock Exchange (IDX). Understanding these effects can provide valuable insights into stock market behavior and help investors make more informed investment decisions. However, it is essential to note that these effects should not be used as a sole basis for making investment decisions, and investors should always conduct thorough research and analysis before making investment decisions.