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All Journal Jurnal Akuntansi BUDGETING : Journal of Business, Management and Accounting JOURNAL SCIENTIFIC OF MANDALIKA (JSM) Jurnal Pendidikan Indonesia (Japendi) Journal of Mandalika Literature
Nicko Albart
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Humanities Economics, Econometrics & Finance Education Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Social Sciences Other

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Journal : JOURNAL SCIENTIFIC OF MANDALIKA (JSM)

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System Literature Review: Analysis Of The Influence Of Market Anomaly And Financial Behaviour On Abnormal Returns In The Efficient Market Hypothesis Siti Aminah; Nurul Huda; Nicko Albart
Journal Scientific of Mandalika (JSM) e-ISSN 2745-5955 | p-ISSN 2809-0543 Vol. 6 No. 9 (2025)
Publisher : Institut Penelitian dan Pengembangan Mandalika Indonesia (IP2MI)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.36312/10.36312/vol6iss9pp3455-3474

Abstract

The capital market is one of the important indicators in a country's economy, which reflects the dynamics of the relationship between investors, companies, and market conditions. In the Efficient Market Hypothesis (EMH) theory, stock prices are said to reflect all available information efficiently. Thus, there is no opportunity for investors to consistently generate abnormal returns, namely profits that exceed market expectations based on the risks taken. However, in practice, various market anomalies and financial behavior often show deviations from the basic assumptions of the EMH. This study aims to analyze the effect of various market anomalies such as the January Effect, Ramadhan Effect, Election Days Effect, Pandemic Covid Effect, and financial behavior on abnormal returns in the Efficient Market Hypothesis using the system literature review research method. The results of the study show that the January Effect, Ramadhan Effect, Election Days Effect, Pandemic Covid Effect have a negative effect on abnormal returns in the Efficient Market Hypothesis. Financial behavior such as herding behavior shows that there is no herding behavior in the Indonesian capital market. These results indicate that investors are rational in making investment decisions because they have good access to relevant information about stock price movements in the market.
Co-Authors Alex Johanes Simamora Endah Kusumastuti Ilham Daylami Listiana Sri Mulatsih Lukman Al Hakim Nathasya, Tiara Nia Maryana Nurul huda SITI AMINAH Sulhendri