WSEAS Transactions on Business and Economics
Print ISSN: 1109-9526, E-ISSN: 2224-2899
Volume 19, 2022
Stock Market Reactions before and during the COVID-19 Pandemic: Evidence from Indonesia
Authors: Yani Riyani, Susan Andriana, Kartawati Mardiah, Linda Suherma, Baidhillah Riyadhi, Arianto Arianto, Khamim Khamim, Jakfar Jakfar, Endri Endri
Abstract: Research on market reactions to the phenomenon of The Day of Week Effect, Week Four Effect, Rogalsky Effect, and January Effect in several world capital markets finds different results. This study aims to determine the reaction of the Indonesian capital market before and during the Covid-19 pandemic which is associated with the phenomenon of the day of the week effect, week four effect, Rogalski effect, and January effect. By conducting a study of previous theoretical research, after that a survey was carried out to obtain data phenomena, classifying the closing daily JCI before and during the Covid-19 pandemic, calculating actual returns, calculating expected returns and abnormal returns, then classifying return or abnormal return data into 4 phenomena namely The Day of The Week Effect, Week Four Effect, Rogalsky Effect, and January Effect. For The Day of The Week Effect, return data is classified into Monday and non-Monday returns. For Week Four Effect, return data is classified into Monday week 1, 2, 3, and Monday week 4.5. For the Rogalsky Effect, returned data are classified into Monday, April, and Monday non-April. For the January Effect, returned data are classified into January 1st week and January 2nd week. Then do the Data Normality Test and Hypothesis Testing. This study produces empirical evidence that there is no phenomenon of the day of the week, week four effect, Rogalski effect, and January effect before and during the Covid-19 pandemic outbreak on the Indonesia Stock Exchange.
Keywords: market anomaly, the day of the week effect, week four effect, Rogalski effect, January effect
DOI: 10.37394/23207.2022.19.104WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 19, 2022, Art. #104