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All Journal Jurnal Ilmiah Mahasiswa FEB JSHP (Jurnal Sosial Humaniora dan Pendidikan) Jurnal Abdi Masyarakat Ilmu Ekonomi [J.A.M.I.E.] Jurnal Pengabdian Masyarakat Ekonomi dan Bisnis Digital FORUM EKONOMI: Jurnal Ekonomi, Manajemen dan Akuntansi
Ramadhani, Ranita
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Social Sciences

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Journal : Jurnal Ilmiah Mahasiswa FEB

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PENGUJIAN ANOMALI PASAR MONDAY EFFECT, WEEKEND EFFECT, ROGALSKI EFFECT DI BURSA EFEK INDONESIA Ramadhani, Ranita; Subekti, Imam
Jurnal Ilmiah Mahasiswa FEB Vol. 3 No. 2
Publisher : Fakultas Ekonomi dan Bisnis Universitas Brawijaya

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Abstract

ABSTRACT This research aims to investigate anomaly Monday Effect, Weekend Effect, and Rogalski Effect by using stocks in the LQ45 index and in the JII index on 2011, 2012, and 2013. The research use non-parametric statistic test method. The result show that Anomaly Monday Effect does exist in Indonesia Stock Exchange (BEI) whereas Anomaly Weekend Effect does exist partially, that is Friday-Monday and Friday-Thursday. Then, the result of Rogalski Effect find that Rogalski Effect in January only exist in the LQ45 index on 2013 but does not exist in the JII index on 2013 and in the LQ45 and JII index on 2011 and 2012.  Keywords: Market Eficiency, Anomaly Monday Effect, Anomaly Weekend Effect, Anomaly Rogalski Effect
Co-Authors Azizil Yudaruddin, Yanzil Della Ananda Lesmana, Siti Dewi, Made Lia Anada Dito Rozaqi Arazy Finanto, Hasto Imam Subekti Ismawanto, Totok Juwari Karlinda Sari , Dika Kusno, Hendra Sanjaya Ramli Ramli Santika, Sisca Yulianti, Putri Kartika