Testing of Market Anomalies (Day of the Week Effect) on the Lq-45 Stock Index on the Indonesia Stock Exchange

Ni Komang Sri Murtini; Nyoman Triaryati

doi:10.55927/jfbd.v4i3.366

Authors

Ni Komang Sri Murtini Universitas Udayana
Nyoman Triaryati Universitas Udayana

DOI:

https://doi.org/10.55927/jfbd.v4i3.366

Keywords:

Abnormal Return, Day of the Week Effect, Market Anomaly

Abstract

Day of the Week Effect is a phenomenon in which stock returns on Monday tend to be lower than trading stock returns from other days. The purpose of this study is to determine whether the Day of the Week Effect phenomenon occurs in companies listed in the LQ-45 index on the Indonesia Stock Exchange for the period February 2024 to January 2025. The sample used was 40 companies. The test was conducted using the Paired Sample T-test analysis technique. The test results show that Wednesday has a negative effect, while Monday, Tuesday, and Friday have a positive but insignificant effect. Only Thursday has a significant negative effect. Based on the results of this study, there is a Day of the Week Effect phenomenon on Thursday or known as the Thursday Effect.

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