MARKET ANOMALY ANALYSIS: THE DAY OF THE WEEK EFFECT, JANUARY EFFECT, ROGALSKY EFFECT AND WEEKFOUR EFFECT TESTING IN INDONESIA STOCK EXCHANGE (CASE STUDY ON COMPANIES LISTED IN LQ45 INDEX IN 2013- 2017)

Abstract

Financial theory explained that there are four types ofanomalies such as firm anomaly, seasonal anomaly, eventanomaly, and accounting anomaly. Seasonal anomalies aredivided into several parts such as The Day of The WeekEffect, the January Effect, Rogalsky Effect, and Week-FourEffect. The results of research in Indonesia show mixedresults related to this anomaly.The purpose of this research is to test wether The Day ofThe Week Effect, January Effect, Rogalsky Effect, andWeek-Four Effec market anomalyt occurred on theIndonesia Stock Exchange. This research is a study thatuses quantitative research methods with the purpose ofdescriptive-verification. The unit of analysis of this researchis the companies that registered consistently in the LQ45index for the period 2013-2017 using purposive samplingtechnique. This study used 37 research samples for 5 yearsof research and used a different test analysis with SPSSStatistics 25.The results showed that there was an anomaly of TheDay of The Week Effect on the Indonesia Stock Exchangeand there was no anomaly in the January Effect, RogalskyEffect, and Week-Four Effect on the Indonesia StockExchange