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Abstract

According to the Efficient Market Hypothesis (EMH) concept, in efficient capital markets, securities prices reflect all available information. However, there is evidence of irregularities from EMH or anomalies, including the day of the week effect, the Monday Effect, Week four Effect and Rogalski Effect. Research Cross (1973) in the USA, Jaffe& Westerfield (1985) in the USA, In Indonesia, Wibowo (2004), Iramani& Mahdi (2006), Riswati (2007), Widodo (2008) showed that there was an EMH anomaly. However, these studies generally use the stock price index, therefore this study tries to use individual stock returns specifically those included in the banking industry sector after the crisis, namely 2010 - 2016. In addition, this study uses a different analytical tool, ANOVA (Analysis of Variance). According to Corhay and Rad (1994) the use of Ordinary Least Square (OLS) will be biased, because the daily stock return data tends to be abnormal, has a positive tendency with positive (leptokurtic) kurtosis. This is confirmed by the findings of Kamath, Chatrath&Chakornpipat (1998) on research in the Thai Stock Exchange. The results of this study indicate that individual stock returns show a random pattern, average returns from Monday to Friday are positive and negative and only a few are significant. Tests statistically show that the pattern of trading days is not visible or in other words, does not indicate the Monday Effect, Friday Effect, Week Four Effect, day of the Week Effect or Rogalsky Effect.

Bahasa Abstract

Menurut Konsep Efficient Market Hypothesis (EMH), dalam pasar modal yang efisien, harga-harga sekuritas merefleksikan seluruh informasi yang tersedia. Namun demikian, terdapat bukti adanya penyimpangan dari EMH atau anomali, diantaranya yaitu efek hari dalam seminggu (The day of the week effect), Monday Effect, Week four Effect dan Rogalski Effect. Penelitian Cross (1973) di USA, Jaffe&Westerfield (1985) di USA, Di Indonesia, Wibowo (2004), Iramani&Mahdi (2006), Riswati (2007), Widodo (2008) menunjukkan adanya anomali EMH tersebut. Namun penelitian-penelitian tersebut umumnya menggunakan indeks harga saham, karena itu penelitian ini mencoba menggunakan return saham individual khususnya yang termasuk kedalam sektor industri perbankan periode setelah krisis yaitu 2010 – 2016. Selain itu, penelitian ini menggunakan alat analisis yang berbeda yaitu Analisis of Variance (ANOVA). Menurut Corhay&Rad (1994) penggunaan Ordinary Least Square (OLS) akan bias, karena data return saham harian cenderung tidak normal, memiliki kemencengan positif dengan kurtosis yang positif (leptokurtik). Hal ini dipertegas oleh temuan Kamath, Chatrath dan Chakornpipat (1998) pada penelitian di Stock Exchange Thailand. Hasil penelitian ini menunjukkan bahwa return saham individual menunjukkan pola acak, rata return hari Senin sampai dengan Jum’at bertanda positif dan negatif dan hanya beberapa yang signifikan. Pengujian secara statistik menunjukkan bahwa pola hari perdagangan tidak nampak atau dengan kata lain, tidak menunjukkan adanya Monday Effect, Friday Effect, Week Four Effect, day of the Week Effect maupun Rogalsky Effect.

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