Abstract
Calendar effect anomalies indicate a return deviation in a capital market that allows investors to take advantage of a time and obtain abnormal returns. This study aims to determine the difference in the average abnormal return on the day (the day of the week effect), Monday the fourth week (week-four effect), and January with other months (January effect). The study was conducted on companies included in the LQ-45 stock group and obtained a sample of35 companies using the saturated sample method. The data source comes from secondary data, through the yahoo finance website and the method of data collection is done by non-participant observation including data collection on the development of stock prices included in the LQ-45 group during the period February 2015 to January 2018. Test results with the SPSS program through Kruskal-Wallis test and Mann Whitney Test, show that the stock’s average abnormal return at any time is not different, so the conclusion that there is no day of the week effect, week-four effect, and January effect on the LQ-45 stock index on the Stock Exchange Indonesia.
 Keywords: calendar effect anomaly, abnormal return
Highlights
Calendar effect anomalies indicate a return deviation in a capital market that allows investors to take advantage of a time and obtain abnormal returns
Penelitian ini sejalan dengan penelitian dari Bachtiar (2009) yang melakukan penelitian pada indeks saham LQ-45 dan non LQ-45, menemukan hasil bahwa tidak terjadi fenomena the day of the week effect pada indeks LQ-45 di Bursa Efek Indonesia
Analisis January Effect Pada Kelompok Saham Indeks LQ 45 Di Bursa Efek Indonesia Tahun 2009 – 2011, E-Jurnal Akuntansi Universitas Udayana, 4(2), 421 – 438
Summary
Indeks LQ 45 merupakan salah satu indeks di Bursa Efek Indonesia (BEI), dimana indeks tersebut diperoleh dari perhitungan 45 emiten dengan seleksi kriteria seperti penilaian atas likuiditas. Berikut adalah 35 sampel emiten yang selama enam periode masuk ke dalam indeks saham LQ-45 secara kontinu: Tabel 1
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