Return On Stock In The Context Of Day Of The Week Effect

Capital market is an alternative for investors to invest their capital. Market efficiency is an ideal and attractive form in the capital markets. Under condition of market efficiency, the new information will be responded by market participants to decide whether to buy or sell, thus causing changes in the price and then the price will be stabilized. In the efficient market itself, irregularities or deviations emerge, these are called market anomalies. One of the most important types of market anomalies that is interesting to study is the calender anomalies such as day of the week effect. The day of the week is an effect which states that the expected returns are not the same every day. Furthermore, there are phenomenon in day of the week effect which are related to Monday effect, namely week-four effect, bad Friday effect and Rogalski effect. The objective of this research is to determine the existence of the day of the week effect, week-four effect, bad Friday effect and Rogalski effect in Indonesia stock exchange. The study uses dummy variable multiple linear regression for independent variables. Then the fourth of phenomenon compared by using ANOVA. The result show that doesn’t exist a day of the week effect, week – four effect, bad Friday effect and Rogalski effect in Indonesia Stock Exchange during January 2008 until December 2012. This show that the market anomaly doesn’t always happen, especially in the period of research.