Analysis the Influence of Day of the Week, Monday, and Weekend Effect of on Seasonal Anomaly in in Stock Return: Evidence of Companies on LQ45 Indonesia in Indonesian Stock Exchange

Djalil, Muslim A.; Murkhana,; Yahya, Martunis; Aini, Qurrotul

doi:10.5220/0008443006030610

Cited by 1 publication

(2 citation statements)

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“…For example, in Indonesia, with the LQ45 index, the studies demonstrate a dayof-week effect similar to that of the US (Yalcil & Yucel, 2006;Djalil et al, 2018), but with JKSE, there is only a negative trend on Mondays, with no sign of the influence of weekday effect on Friday (Anwar & Mulyadi, 2009). This is similar to the difference between the three indexes on HOSE and HNX30 in this article's research result.…”

Section: Discussionsupporting

confidence: 83%

“…Based on the studies of Wong (2001), Lin and Lim (2001), Hui (2005, Yalcin and Yucel (2006), Anwar and Mulyadi (2009), Djalil et al (2018), in normal period, most stock markets in Asia have weekday effects, especially in the Pacific Rim region (China, Indonesia, Malaysia, South Korea, and Thailand). This effect demonstrates that the stock returns of these countries tend to have significantly negative average returns on Mondays.…”

Section: Discussionmentioning

confidence: 99%

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Day of Week Effect on Financial Market: Evidence in Vietnam during Normal Period and COVID-19 Pandemic

Tran

2023

KINERJA

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The article is focused on examining the existence of the day-of-the-week (DOW) effect on the Vietnamese stock market. This study uses the daily series of closed market indexes data from 2014 to 2021 and extends to a deep-dive review of the outbreak period of the COVID-19 pandemic. Furthermore, the regression model with dummy variables and parametric and non-parametric methods are employed to identify the existence of the DOW effect on stock market returns and volatility. The empirical results obtained from the above models have demonstrated that the day-of-the-week effect impacts stock returns shown in three out of four indices, especially on Mondays and Fridays. At the same time, no statistical evidence supports the presence of any significant daily patterns for either the COVID-19 outbreak phase or in the HNX30. Particularly, the highest return occurs on Monday, and the lowest volatility usually appears on Friday in all three HOSE Indexes. This study contributed further evidence for not only the presence of the day-of-the-effect patterns on the Vietnamese stock market but also path the ways to analyze the stock returns and variance of financial assets during the COVID-19 epidemic.

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Section: Discussionsupporting

confidence: 83%