Abstract
Market anomaly is an occurring phenomenon in the market. Supposedly, an anomaly does not exist in markets that are considered efficient. An anomaly is an aberration in the efficient market theory where existing information does not reflect stock prices; therefore, investors can earn abnormal returns. This study examines how The Day Of The Week Effect and The Month Of The Year Effect affect stock returns on the Indonesian Stock Price Index and the Global Stock Price Index. Samples in this study are daily stock return data and return data on stocks of IHSG, DJIA, SSEC, and N225. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model is used to analyze data. The results show that in IHSG and SSEC, there was no The Day Of The Week Effect. The DJIA and N225 were found in The Day of the Week Effect. The Month of the Year Effect was found in IHSG, DJIA, SSEC, and N225.
Highlights
The capital market is a business that is very dependent on information
An investor needs information as a means to help and project potential in the future. This is due to the characteristics of the capital market business that rely on an expectation from current decisions, information in the capital market becomes the beginning of the process of determining the decision to buy and sell shares
All available information that is and cheaply captured by the market is the basic concept of the proposition of efficient market theory, where information can be obtained without any obstacles, asset or security prices quickly and completely reflect available information about assets or securities
Summary
An investor needs information as a means to help and project potential in the future. This is due to the characteristics of the capital market business that rely on an expectation (expectations) from current decisions, information in the capital market becomes the beginning of the process of determining the decision to buy and sell shares. According to Haugen (2011), information can be grouped into three, namely (1) stock price information in the past, (2) all public information, (3) all available information, including private information. This information can reflect the extent to which the market can be efficient
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