Riset Akuntansi dan Keuangan Indonesia
Vol 5, No 1 (2020) Riset Akuntansi dan Keuangan Indonesia

Study on The Wandering Weekday Effect In The Indonesian Capital Market Based On Trend Moderation Effect

Arief, Usman (Unknown)

Article Info

Publish Date
01 Apr 2020

Abstract

This study investigates a wandering weekday effect, an assumption anomaly from fixed weekday effect to changes over time, under the moderation effect of market trend. We employ daily price data from the Jakarta Stock Exchange (JKSE) from 2000 to 2019. This study reveals that the fixed weekday effect has diminished when we introduced a market trend. Using robustness of distribution error, our further studies find that there is a negative wandering Monday effect when the market is falling. The findings provide a crucial contribution to market efficiency and help to reconcile mixed findings in previous studies.

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Journal Info
Riset Akuntansi dan Keuangan Indonesia
Website

Abbrev

reaksi

Publisher

Universitas Muhammadiyah Surakarta

Subject

Economics, Econometrics & Finance

Description

Research in Accounting and Finance Indonesia focusing on various themes, topics, and the accounting and financial aspects, including (but not limited) to the following topics: Public sector accounting Management accounting Islamic accounting Financial management Auditing Corporate Governance ...