Market Anomalies of LQ 45 Stocks on the Indonesia Stock Exchange

Abstract

The research aims are (1) to determine the effect of the Monday Effect on Stock Returns (2) to determine the effect of the Week Four Effect on Stock Returns (3) to determine the effect of the January Effect on Stock Returns. The object of the research was carried out on the stock returns of companies registered with companies listed on the LQ-45 Index on the Indonesia Stock Exchange (IDX) from 2020 to 2021. The data used in this research is secondary data. Sampling technique with purposive sampling. The number of samples in this study based on the criteria obtained was 15 companies during 2020 to 2021, using the Eviews 10 statistical testing tool. The analysis technique used was linear regression analysis using the dummy method. The results of the t test show that (1) the Monday Effect has no effect on Stock Returns (2) the Week Four Effect has a significant effect on Stock Returns (3) the January Effect has a negative effect on Stock Returns.