Analysis of calendar anomaly in Indonesia stock market using stochastic dominance

Abstract

Return is a profit which is gained by investor from a stock invested in the stock market. Unanticipated occurrence on return can cause abnormal return. It is known as calendar anomaly. Stochastic dominance (SD) method can be applied to compare the return of the market daily and weekly. The aim of this research is to analyze the calendar anomaly by comparing the return of the Indonesia daily and weekly on the stock market using stochastic dominance method. The comparison of the return, which is got from calendar period, is obtained by comparing cumulative probabilities of the return and testing the return based on the hypothesis. From the research, it can be concluded that the returns on Wednesday and Friday tend to be higher return than the other days. Furthermore, the return in the second week tends to be higher than the return in the other weeks.