Re-Examination of Calendar Anomalies in the Indonesian Stock Market
Re-Examination of Calendar Anomalies in the Indonesian Stock Market

Summary/Abstract: This study re- examines three well- known calendar anomalies of stock returns, including the effects of month- of- year, the turn- of- month, and the weekend in the Indonesian stock market during the period 2001 to 2014. The multiple regression analysis with dummy variables is employed to empirically re- examine differences of the stock returns in each calendar anomalies period. Out of the three calendar effects re- examined, the study only found the existence of two calendar effects, i.e., the turn- of- month and the weekend effects. Two major findings are documented. Firstly, the returns were abnormally high on the last trading days of the month and on the first four- trading day of the subsequent month, respectively. Secondly, the returns were abnormally high on the Friday, but it was abnormally low on the Monday. The existence of these anomalies has imperative implications for the hypothesis of efficient market and the investors’ trading behavior. These findings shed some lights for the investors in determining the right timing for investing their monies as well as for gaining abnormal returns.

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