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Journal : Journal of Management and Entrepreneurship Research

Day-of-the-Week-Effect and Month-of-the-Year-Effect on Carbon Emissions Contract Trading Azalia, Kezia Maylani; Robiyanto, Robiyanto
Journal of Management and Entrepreneurship Research Vol. 5 No. 1 (2024)
Publisher : Universitas Islam Nahdlatul Ulama Jepara

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34001/jmer.2024.6.05.1-44

Abstract

Objective: This study aims to examine whether there is a potential Day-of-the-Week-Effect and Month-of-the-Year-Effect on carbon emissions trading. Research Design & Methods: This research uses secondary data obtained through the Investing.com website. The carbon market data used is daily closing data, then the daily effect test is carried out, and monthly closing data to determine the monthly effect. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (2,1) and (3,1) method used to analyse the data. Findings: The correlogram and GARCH (2,1) and GARCH (3,1) test results show that the carbon market does not move randomly, but there are Day-of-the-Week-Effect and Month-of-the-Year-Effect phenomena. From this study, it was also found that on Wednesday in April, there was a significant increase in returns. So, it can also be concluded that the carbon market is not efficient. Implications and Recommendations: There are opportunities that can be taken from carbon trading which turns out to have a Day-of-the-Week-Effect and Month-of-the-Year-Effect so that investors who want to join carbon trading can more easily learn about it to get maximum profit in the carbon market. Contribution & Value Added: It is hoped that the results of this study can prove whether or not there is an influence on seasonal patterns so that it can be useful for speculators and business people related to carbon trading to design the right strategy in the carbon emissions market.
Co-Authors A. Harijono A.A. Ketut Agung Cahyawan W Adiwidjojo, Enrico Pranata Agus Dwi Churniawan, Agus Dwi Akhmadi Akhmadi Alsyahrin, Dea Prastica Amalia, Yessi Andrian Dolfriandra Huruta Angelina, Ria Anggreni, Maretha Kris Dwi Apriani Dorkas Rambu Atahau Asmaul Husna Azalia, Kezia Maylani Budi Frensidy, Budi Butarbutar, Ruth Haryati Cahyono, Aji Wikan Catherine, Happy Churniawan, Agus Dwi Dwijayati, Bonita Restu Eka Handriani Eka Kartika Untari Fatikasari, Imania Fitri, Alya Syafika Gunadi, Patrisinus Ceasar Hadi, Natanael Kristolife Ardana Hadisa, Nurul Harjum Muharam Hartanto, Aldhi Fajar Harwi Kusnadi Heny Handayani Hermiana, Aida Islamy, Muhamad Rido Isnindar Isnindar Jeni, Frima Jusak Jusak Jusak, Jusak Komala Inggarwati, Komala Kusuma, Ria Lakaba, Angriana Leopoldus Ricky Sasongko Lestari, Urai Indah Rachmawati Liana, Jesica Luliana, Sri Marsela, Marsiana Melcin, Sella Angelina Mikasari, Wilda Nafiah, Ilma Nahar, Zuwan Nisfu Nera Umilia Purwanti, Nera Umilia Nugroho, Ainine Devara Nurlita, Eva Nurmainah Nurmainah Nurohman, Nurohman Oktavianto, Dismas Petrus Wijayanto Potto, Otniel Syebastian Agusto Pratiwi Apridamayanti, Pratiwi Pratiwi, Nabilla Putri Pratiwi, Siska Gita Priyanto, Aldi Rahmadani, Ardha Laila Reni Haerani Rihfenti Ernayani Rosmimi, Monika Safitri, Yunita Dewi Salvatori, Etheldreda Gladys Samuel Martono Sanera, Ferlino Saputra, Ilham Saputri, Aisyah Sari, Ardilla Putri Naina Stefan, Yonatan Alvin Sudjinan, Sudjinan Supentri Suraya, Dini Susanti, Ressi Tamara, Sephia Lisa Tundjung Mahatma Wibowo, Stefanus Chandra Wisnu Mawardi Yesmawati, Yesmawati Yuliana, Ashalia Fitri Yunita Yunita