PANGESTUTI, Irene Rini Demi (2016) THE TEST OF DAY OF THE WEEK EFFECT AND TURN-OF-MONTH EFFECT BY USING A GARCH APPROACH: EVIDENCE FROM INDONESIA CAPITAL MARKET. IJER © Serials Publications, 13 (1). pp. 153-163. ISSN 0972-9380

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Abstract

Seasonality or Calendar Anomalies is interesting topic in capital market. A lot
of studies have been documented that seasonality still exist in capital market through
time. The most promine nt seasonality are Day of the Week Effect and Turn-of-MonthEffect.
Some researchers have already studied Day of the Week Effect in Indonesia Stock Exchange
with various co nclusions but none had studied Turn-of-Month-Effect in
Indonesia Stock Exchange. Moreover, most researchers tend to use limited period in their
study and abandon the heteroscedasticity in return data. Since limited period of study
can produce a misleading conclusion, so Wiley and Zumpano (2009) suggested that
researchers must use broad range of data to avoid this mistake. Based on that fact, so this
study scrutinized Day of the Week Effect and Turn-of-Month-Effect in Indonesia Stock
Exchange by using a long research period. This study used daily return of Jakarta
Composite Index (JCI) during 1 July 1997 – 3 June 2014. By applying GARCH (1,1), the
finding showed that there were Day of the Week Effect and Turn-of-Month-Effect in
Indonesia Stock Exchange. All trading days had a significant impact on JCI return. Monday
had negative and significant effects on JCI return, meanwhile other trading days had
positive and s ignificant effects on JCI return with Friday’s as the highest. Days during
Turn of Month had positive and significant impacts on JCI return. This findings might
have an implication to investors’ trading strategy.

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