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All Journal Indonesian Capital Market Review
Pandekar, Galih
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Economics, Econometrics & Finance

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Turn-off-the-Month Effect on Stocks in LQ45 Index and Various Sectors in the Indonesia Stock Exchange using GARCH (p,q) Pandekar, Galih; Putrini, Nadia
Indonesian Capital Market Review Vol. 4, No. 1
Publisher : UI Scholars Hub

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Abstract

There are few types of anomalies that occur in the Indonesia Stock Exchange, for example monthly effect, day-of-the-week effect, January effect, holiday effect, and turn-of-the-month effect. The existence of these anomalies is in contrast to the efficient market hypothesis theory, due to a signifi-cant difference in returns during certain periods. By using time-series analysis and the GARCH(p,q) method, the existence of the turn-of-the-month effect has been found in the Jakarta Composite Index, sectoral indexes, and stocks in LQ45. The turn-of-the-month effect seems to be seen in the last two days and the four previous days of each month. The January effect does not incite the turn-of-the-month effect. The turn-of-the-month effect appears due to an increasing volume of stocks acquired by investment managers who want to see their portfolio performance better.
Co-Authors Putrini, Nadia