Monday Effect, Week-four Effect dan January Effect pada Pasar Modal Indonesia

Abstract

This research aims to analyze the existence of the Monday Effect, Week-Four Effect, and January Effect as a test of the Efficient Market Hypothesis on the Indonesia Stock Exchange during the period from 2016 to December 31, 2020. The study utilizes closing price data, specifically the Composite Stock Price Index (IHSG) data on the Indonesia Stock Exchange throughout the research period. All data used are secondary data that has been published. Hypothesis testing in this research employs parametric statistical methods, specifically an independent sample t-test for difference testing. The results of the testing indicate the presence of the Monday Effect, Week-Four Effect, and January Effect anomalies in the Indonesian capital market from 2016 to 2020.