Analysis of anomaly turn of the month effect on stock return in the Indonesian capital market before and during the COVID-19 pandemic

Abstract

This study aims to examine the presence of an anomaly in the turn-of-the-month effect in Indonesia before and during the COVID-19 pandemic. The population of this study are companies listed on the LQ45 index for the 2019-2021 period. Using the purposive sampling technique and obtained 36 samples of companies. This study will compare the average return and average abnormal return of each sample which has been grouped based on the turn of the month and the rest of the month both before and during COVID-19. This study used a different test, namely the paired sample t-test which was tested using the SPSS application. The analysis result provides evidence that there was an anomaly in the turn-of-the-month effect before COVID-19 and the effect disappeared when Indonesia experienced the COVID-19 pandemic. This study also found a difference in abnormal returns in the turn of the month before and during COVID-19 where the abnormal return value was higher during the COVID-19 pandemic.