Study on the Wandering Weekday Effect in the Indonesian Capital Market Based on Trend Moderation Effect

Usman Arief(1*)

(1) Department of Management, Faculty of Economics and Business, Universitas Gadjah Mada
(*) Corresponding Author

Abstract

This study investigates a wandering weekday effect, an assumption anomaly from fixed weekday effect to changes over time, under the moderation effect of market trend. We employ daily price data from the Jakarta Stock Exchange (JKSE) from 2000 to 2019. This study reveals that the fixed weekday effect has diminished when we introduced a market trend. Using robustness of distribution error, our further studies find that there is a negative wandering Monday effect when the market is falling. The findings provide a crucial contribution to market efficiency and help to reconcile mixed findings in previous studies

Full Text:

PDF

References

Birru, Justin, 2018, Day of the week and the cross-section of returns R, Journal of Financial Economics 130, 182–214.

Boubaker, Sabri, Naceur Essaddam, Duc Khuong, and Samir Saadi, 2017, On the Robustness of Week-day effect to Error Distributional Assumption : International Evidence, Journal of International Financial Markets, Institutions & Money 47, 114–130.

Chiah, Mardy, and Angel Zhong, 2019, Day-of-the-week effect in anomaly returns : International evidence, Economics Letters 182, 90–93.

Doyle, John R, and Catherine Chen, 2009, The wandering weekday effect in major stock markets, Journal of Banking & Finance 33, 1388–1399.

Fama, Eugene F., 1970, Efficient Capital Markets : A Review of Theory and Empirical Work, Journal of Finance 25, 28–30.

Gibbons, Michael R, and Patrick Hess, 1981, Day of the Week Effects and Asset Returns, The Journal of Business 54, 579–596.

Jeffrey, Jaffe, and Randolph Westerfield, 1985, The Week-End Effect in Common Stock Returns : The International Evidence, The Journal of Finance 40, 433–454.

Kiymaz, Halil, and Hakan Berument, 2003, The day of the week effect on stock market volatility and volume : International evidence, Review of Financial Economics 12, 363–380.

Mehdian, Seyed, and Mark J Perry, 2001, The Reversal of the Monday Effect : New Evidence from US Equity Markets, Journal of Business Finance and Accounting 28, 1043–1065.

Solnik, Bruno, and Laurence Bousquet, 1990, Day-of-the-week effect on the Paris Bourse, Journal of Banking & Finance 14, 461–468.

Steeley, James M, 2001, A note on information seasonality and the disappearance of the weekend effect in the UK stock market, Journal of Banking & Finance 25.

Zhang, Chen, Po Yun, and Zulfiqar Ali Wagan, 2019, Study on the wandering weekday effect of the international carbon market based on trend moderation, .

Zhang, Jilin, Yongzeng Lai, and Jianghong Lin, 2017, The day-of-the-Week effects of stock markets in different countries, Finance Research Letters 20, 47–62.

DOI: 10.23917/reaksi.v5i1.10424

Article Metrics

Abstract view(s): 557 time(s)
PDF: 647 time(s)

Refbacks

  • There are currently no refbacks.