Testing of January Effect, the Day of the Week Effect, and Size Effect: a Study of LQ45 Stocks in Indonesia Stock Exchange
(1) Universitas Lampung
(2) Universitas Lampung
Abstract
Keywords
Full Text:
PDFReferences
Abu Bakar, A., Siganos, A., & Vagenasâ€Nanos, E. (2014). Does Mood Explain the Monday Effect?. Journal of Forecasting, 33(6), 409-418.
Alagidede, P. (2008). Day of the Week Seasonality in African Stock Markets. Applied Financial Economics Letters, 4(2), 115-120.
Asteriou, D., & Kavetsos, G. (2006). Testing for the Existence of the ‘January Effect’ in Transition Economies. Applied Financial Economics Letters, 2(6), 375-381.
Balint, C., & Gică, O. (2012). Is the January Effect Present on the Romanian Capital Market?. Procedia-Social and Behavioral Sciences, 58, 523-532.
Banz, R. W. (1981). The Relationship between Return and Market Value of Common Stocks. Journal of Financial Economics, 9(1), 3-18.
Brahmana, R. K., Hooy, C. W., & Ahmad, Z. (2011). Psychological Biases Abilities on Constructing Weekend Anomaly. Available at SSRN 1914124.
Brahmana, R., Hooy, C. W., & Ahmad, Z. (2015). Monday Irrationality of Investors in Bursa Malaysia: the Role of Psychological Biases. Malaysian Journal of Economic Studies, 52(2), 227-243.
Brown, P., Kleidon, A. W., & Marsh, T. A. (1983). New Evidence on the Nature of Size-Related Anomalies in Stock Prices. Journal of Financial Economics, 12(1), 33-56.
Cao, X. L., Premachandra, I. M., Bhabra, G. S., & Tang, Y. P. (2009). Firm Size and the Pre-Holiday Effect in New Zealand. International Research Journal of Finance and Economics, 32(10), 171-187.
Chang, E. C., Pinegar, J. M., & Ravichandran, R. (1993). International Evidence on the Robustness of the Day-of-the-Week Effect. Journal of Financial and Quantitative Analysis, 28(4), 497-513.
Chen, T. C., & Chien, C. C. (2011). Size Effect in January and Cultural Influences in an Emerging Stock Market: the Perspective of Behavioral Finance. Pacific-Basin Finance Journal, 19(2), 208-229.
Chiah, M., & Zhong, A. (2019). Day-of-the-Week Effect in Anomaly Returns: International Evidence. Economics Letters. 182(3), 90-92.
Chou, J., Das, P. K., & Uma Rao, S. P. (2011). The Value Premium and the January Effect. Managerial Finance, 37(6), 517-536.
Ciccone, S. J. (2011). Investor Optimism, False Hopes and the January Effect. Journal of Behavioral Finance, 12(3), 158-168.
Condoyanni, L., O'Hanlono, J., & Ward, C. W. (1987). Day of the week Effects on Stock Returns: International Evidence. Journal of Business Finance and Accounting, 14(2), 159-174.
Dicle, M. F., & Levendis, J. D. (2014). The Day-of-the-Week Effect Revisited: International Evidence. Journal of Economics and Finance, 38(3), 407-437.
Draper, P., & Paudyal, K. (2002). Explaining Monday Returns. Journal of Financial Research, 25(4), 507-520.
Dubois, M., & Louvet, P. (1996). The Day-of-the-Week Effect: the International Evidence. Journal of Banking and Finance, 20(9), 1463-1484.
Fama, E. F., & French, K. R. (2016). Dissecting Anomalies with a Five-Factor Model. The Review of Financial Studies, 29(1), 69-103.
French, K. R. (1980). Stock Returns and the Weekend Effect. Journal of Financial Economics, 8(1), 55-69.
Gharaibeh, O. (2017). The January Effect: Evidence from Four Arabic Market Indices. International Journal of Academic Research in Accounting, Finance and Management Sciences, 7(1), 144-150.
Guler, S. (2013). January Effect in Stock Returns: Evidence from Emerging Markets. Interdisciplinary Journal of Contemporary Research in Business, 5(4), 641-648.
Haug, M., & Hirschey, M. (2006). The January Effect. Financial Analysts Journal, 62(5), 78-88.
Islam, R., & Sultana, N. (2015). Day of the Week Effect on Stock Return and Volatility: Evidence from Chittagong Stock Exchange. European Journal of Business and Management, 7(3), 165-172.
Keim, D. B. (1983). Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence. Journal of Financial Economics, 12(1), 13-32.
Kim, C. W., & Park, J. (1994). Holiday Effects and Stock Returns: Further Evidence. Journal of Financial and Quantitative Analysis, 29(1), 145-157.
Lakonishok, J., & Maberly, E. (1990). The Weekend Effect: Trading Patterns of Individual and Institutional Investors. The Journal of Finance, 45(1), 231-243.
Li, J., & Gong, J. (2015). Volatility Risk and January Effect: Evidence from Japan. International Journal of Economics and Finance, 7(6), 1-30.
Malkiel, B. G., & Fama, E. F. (1970). Efficient Capital Markets: a Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
Mazviona, B. W., & Nyangara, D. (2014). Does Firm Size Affect Stock Returns? Evidence from the Zimbabwe Stock Exchange. International Journal of Business and Economic Development (IJBED), 2(3), 13-17.
Mehdian, S., & Perry, M. J. (2002). Anomalies in US Equity Markets: a Re-Examination of the January Effect. Applied Financial Economics, 12(2), 141-145.
Moller, N., & Zilca, S. (2008). The Evolution of the January Effect. Journal of Banking & Finance, 32(3), 447-457.
Muhammad, N. M. N., & Rahman, N. M. N. A. (2010). Efficient Market Hypothesis and Market Anomaly: Evidence from Day-of-the-Week Effect of Malaysian Exchange. International Journal of Economics and Finance, 2(2), 35-42.
Perez, G. (2018). Does the January Effect Still Exists?. International Journal of Financial Research, 9(1), 50-73.
Rathinasamy, R. S., & Mantripragada, K. G. (1996). The January Size Effect Revisited: Is it a Case of Risk Mismeasurement?. Journal of Financial and Strategic Decisions, 9(3), 9-14.
Reinganum, M. R. (1983). The Anomalous Stock Market Behavior of Small Firms in January: Empirical Tests for tax-loss Selling Effects. Journal of Financial Economics, 12(1), 89-104.
Rita, M. R., Wahyudi, S., & Muharam, H. (2018). Bad Friday, Monday Effect and Political Issue: Application of ARCH-GARCH Model to Analyze Seasonal Pattern of Stock Return. International Journal of Engineering & Technology, 7(3.30), 38-47.
Rogalski, R. J., & Tinic, S. M. (1986). The January Size Effect: Anomaly or Risk Mismeasurement?. Financial Analysts Journal, 42(6), 63-70.
Schwert, G. W. (2003). Anomalies and Market Efficiency. In G.M. Constantinides, M. Harris and R.M. Stulz, Handbook of the Economics of Finance, 939-974.
Seyhun, H. N. (1988). The January Effect and Aggregate Insider Trading. The Journal of Finance, 43(1), 129-141.
Starks, L. T., Yong, L., & Zheng, L. (2006). Taxâ€loss Selling and the January Effect: Evidence from Municipal Bond Closedâ€End Funds. The Journal of Finance, 61(6), 3049-3067.
Sun, Q., & Tong, W. H. (2010). Risk and the January Effect. Journal of Banking & Finance, 34(5), 965-974.
Tang, G. Y., & Kwok, K. H. (1997). Day of the Week Effect in International Portfolio Diversification: January vs non-January. Japan and the World Economy, 9(3), 335-352.
Thaler, R. H. (1987). Anomalies: The January Effect. Journal of Economic Perspectives, 1(1), 197-201.
Van Dijk, M. A. (2011). Is Size Dead? a Review of the Size Effect in Equity Returns. Journal of Banking & Finance, 35(12), 3263-3274.
Zhang, J., Lai, Y., & Lin, J. (2017). The Day-of-the-Week Effects of Stock Markets in Different Countries. Finance Research Letters, 20(1), 47-62.
Refbacks
- There are currently no refbacks.