Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal International Journal of Environmental, Sustainability, and Social Science
Yogo Heru Prayitno
Universitas Widyatama , Indonesia
Economics, Econometrics & Finance Environmental Science Social Sciences

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
Rogalsky Effect in the Indonesian Stock Exchange (an Event Study on the Manufacturing Sector in 2024) Yogo Heru Prayitno; Niki Hadian; Yoga Tantular Rachman
International Journal of Environmental, Sustainability, and Social Science (IJESSS) Vol. 7 No. 4 (2026): International Journal of Environmental, Sustainability, and Social Science (Jul
Publisher : PT Keberlanjutan Strategis Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.38142/ijesss.v7i4.1974

Abstract

This study is classified as an event study. The researcher observed whether the Rogalsky Effect phenomenon occurred on the Indonesian Stock Exchange, particularly in the manufacturing sector. This study examined whether there were abnormal returns before and after the event and whether there were abnormal returns in each event period. The researcher used 200 periods for the estimation period and 27 periods before and 27 periods after the event. The research sample used 57 companies from 228 companies listed in the manufacturing sector on the Indonesia Stock Exchange in 2024. Paired Sample T-test and One Sample T-test were used to test the hypothesis. The results showed that there was no difference in stock returns on Mondays in January compared to returns on Mondays in non-January months for manufacturing sector companies, and there were abnormal returns in 19 event periods. This indicates that an abnormal return occurred during this period due to market reaction to the information that emerged at that time. The occurrence of abnormal returns in this period reflects changes in investor expectations regarding stock prices in response to new information perceived as valuable. the tests conducted, it can be concluded that a seasonal anomaly in the form of the Rogalsky Effect occurs in the Indonesian Stock Exchange, particularly in the manufacturing sector.
Co-Authors Niki Hadian Yoga Tantular Rachman