IRCI Article ID: IRCI-AR-0000001614

Market Anomaly Analysis: Week Four Effect, Rogalsky Effect and Eid Effect on the IDX 30 Index

Journal: International Journal of Economics, Management and Accounting

Publication: 2025-11-30 · Vol. 3 No. 6 · pp. 441–447

DOI: 10.47353/ijema.v3i6.336

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Abstract

This study aims to empirically test abnormal returns on the phenomena of the Eid al-Fitr holiday effect, week four effect, rogalsky effect. The research method uses quantitative research. The sampling technique uses the purposive sampling method and daily data samples are obtained. The research sample uses the IDX 30 Stock Index price sourced from the Indonesia Stock Exchange. Data analysis uses the dummy regression method with Wilcoxon Rank. The results of the study show that the Eid al-Fitr Holiday Effect occurred on the IDX 30 IDX Index from 2023 to 2024, which means that the Eid al-Fitr Holiday Effect causes Abnormal Stock Returns on the ID30 IDX Index. The Week Four Effect from 2023 to 2024 did not occur on the IDX30 Index, which means that the Week Four Effect did not affect the ID30 IDX Index Stock Return. Rogalsky Effect from 2023 to 2024 did not occur in the IDX30 Index, which means that the Rogalsky Effect does not affect the IDX30 IDX Index Stock Return.

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Authors

Nur Ubed

Affiliation: , Universitas Pamulang, Indonesia Author Origin : Indonesia

Masno Marjohan

Affiliation: , Pamulang University, Indonesia Author Origin : Indonesia

Holiawati Holiawati

Affiliation: Universitas Pamulang, Indonesia

References

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Sutrisno. (2017). Manajemen Keuangan, Teori Konsep dan Aplikasi. Yogyakarta: Ekonosia.

Tutu, J., Maringka, T., & Mumu, S. (2024). Pengujian The Day of the week effect, Dan Four-Week Effect Di Bursa Efek Indonesia: Analisis Anomali PasaR. Jurnal Pemasaran Bisnis, 6(3). https://doi.org/10.29241/jpb.v6i3.229

Widodo, P. (2024). An investigation of the effect of Covid-19 on efficient market hypothesis (EMH) anomalies: Econometric approach. Jurnal Samudra Ekonomi dan Bisnis, 15(1), 130-143. https://doi.org/10.33059/jseb.v15i1.8093.

Budiman, I., & Tara, N. A. A. (2021). Pengaruh Seasonal Effect Terhadap Return Saham LQ-45 Di Bursa Efek Indonesia Tahun 2019–2020. Jurnal Magister Manajemen Unram Vol, 10(2). https://doi.org/10.29303/jmm.v10i2.654 DOI: https://doi.org/10.29303/jmm.v10i2.654

Hakim, L., & Zulfikar, F. (2024). Testing The Day of the week effect And Week Four Effect On Stock Returns Of Companies Included In The Compass 100 For The Period 2018-2022 Listed On The Indonesian Stock Exchange. Journal of International Business, Management and Finance Studies, 2(1), 219-227. https://doi.org/10.28565/jwop.v2i1.214 DOI: https://doi.org/10.57185/jibmfs.v2i1.37

Pramukti, A., & Basalamah, M. S. A. Bnormal Return With January effect In Lq45 Companies On Bursa Efek Indonesia. In The 1 St–2023 International Accounting Students Conference (IASC) (p. 11). https://doi.org/10.1007/0-387-26336-5_1137 DOI: https://doi.org/10.1007/0-387-26336-5_1137

Selvita, S. O., Desma, Z. D., Bayu, B. T. S. P., & Mutiara, M. A. (2024). Analisis Anomali Pasar Dan Pasar Modal Pada Bursa Efek, Bagi Para Investasi Di Lingkungan Pasar Keuangan. Jurnal Akuntansi, Keuangan, Perpajakan dan Tata Kelola Perusahaan, 2(1), 227-238.Siamat, Dahlan. (2014). Manajemen Lembaga Keuangan. Jakarta: LPFE. https://doi.org/10.70248/jakpt.v2i1.941 DOI: https://doi.org/10.70248/jakpt.v2i1.941

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Suprayetno, D., Kusmayadi, I., Nururly, S., & Singandaru, A. B. (2023). Monday effect, week-four effect dan January effect pada pasar modal Indonesia. Jurnal Sosial Ekonomi dan Humaniora, 9(4), 474-485. https://doi.org/10.29303/jseh.v9i4.440 DOI: https://doi.org/10.29303/jseh.v9i4.440

Widodo, P. (2024). An investigation of the effect of Covid-19 on efficient market hypothesis (EMH) anomalies: Econometric approach. Jurnal Samudra Ekonomi dan Bisnis, 15(1), 130-143. https://doi.org/10.33059/jseb.v15i1.8093. DOI: https://doi.org/10.33059/jseb.v15i1.8093

Apriani, E. S., Azizah, N. N., & Finanto, H. The Influence of Monday effect and Rogalsky Effect on Stock Return BUMN Banking. Jurnal Pendidikan Akuntansi & Keuangan, 13(1), 24-31. https://doi.org/10.17509/jpak.v13i1.73405

Budiman, I., & Tara, N. A. A. (2021). Pengaruh Seasonal Effect Terhadap Return Saham LQ-45 Di Bursa Efek Indonesia Tahun 2019–2020. Jurnal Magister Manajemen Unram Vol, 10(2). https://doi.org/10.29303/jmm.v10i2.654

Djarwanto. 1991. Statsitik Non Parametrik. Edisi 2. Yogyakarta: BPFE.

Hakim, L., & Zulfikar, F. (2024). Testing The Day of the week effect And Week Four Effect On Stock Returns Of Companies Included In The Compass 100 For The Period 2018-2022 Listed On The Indonesian Stock Exchange. Journal of International Business, Management and Finance Studies, 2(1), 219-227. https://doi.org/10.28565/jwop.v2i1.214

Handoko, T. Hani. (2016). Manajemen Personalia dan Sumberdaya Manusia. Yogyakarta: Penerbit BPFE

Hani, Syafrida. (2015). Teknik Analisa Laporan Keuangan. Medan: UMSU PRESS.

Hariyono, Jusup. (2017). Dasar-Dasar Akuntansi Keuangan. Yogyakarta:YKPN

Hartono,Jogiyanto.2016. Teori Portofolio dan Analisis Investasi. Edisi Kesepuluh.Yogyakarta.

Hasibuan, Malayu S.P, (2017). Manajemen Dasar, Pengertian, dan Masalah, Edisi Revisi, Bumi Aksara:Jakarta.

Heidjrachman Ranupandojo dan Suad Husnan, (2017), Manajemen Personalia, Yogyakarta, BPFE.

Joel G. Siegel & Shim, Jae K. (2016). Financial Management, Barron Education Series Inc. New York.

Kasmir. (2019). Analisis Laporan Keuangan. Jakarta: PT. Raja Grafindo Persada

Kariyoto. 2018. Manajemen Keuangan: Konsep dan Implementasi. Cetakan Pertama. UB Press. Malang

Munawir. (2017). Analisis Laporan Keuangan. Yogyakarta: YPKN

Mustofa. (2017). Manajemen Keuangan. Edisi 1. CV. Andi Offset. Yogyakarta

Nasution, S. 2006. Metode Research. Jakarta: Bumi Aksara.

Pramukti, A., & Basalamah, M. S. A. Bnormal Return With January effect In Lq45 Companies On Bursa Efek Indonesia. In The 1 St–2023 International Accounting Students Conference (IASC) (p. 11). https://doi.org/10.1007/0-387-26336-5_1137

Putri, N. W., Salim, M. A., & Hufron, M. (2021). The Day of the week effect, Week Four Effect, Dan Rogalsky Effect Pada Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia (BEI) Tahun 2016–2019. E-JRM: Elektronik Jurnal Riset Manajemen, 10(03). https://doi.org/10.12114/0-010-03_2021

Riyanto, Bambang. (2010). Dasar-Dasar Pembelanjaan Perusahaan. Edisi Keempat. BPFE-Yogyakarta. Yogyakarta.

Sartono, Agus, R.(2015). Manajemen Keuangan Teori dan Aplikasi. Edisi Keempat. Yogyakarta: BPFE.

Selvita, S. O., Desma, Z. D., Bayu, B. T. S. P., & Mutiara, M. A. (2024). Analisis Anomali Pasar Dan Pasar Modal Pada Bursa Efek, Bagi Para Investasi Di Lingkungan Pasar Keuangan. Jurnal Akuntansi, Keuangan, Perpajakan dan Tata Kelola Perusahaan, 2(1), 227-238.Siamat, Dahlan. (2014). Manajemen Lembaga Keuangan. Jakarta: LPFE. https://doi.org/10.70248/jakpt.v2i1.941

Tanjung, N. A. A. H., & Komariah, S. (2022). Rogalsky effect di Bursa Efek Indonesia, Bursa Efek Amerika Serikat, Bursa Efek Jerman sebelum, sesaat, dan sesudah Pandemi Covid-19. Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan, 4 (Spesial Issue 5). https://doi.org/10.32670/fairvalue.v4iSpesial%20Issue%205.2443

Siregar, Doli D. (2014). Manajemen Aset. Jakarta: Gramedia

Stoner A.F, Freeman, R.Edward, Gilbert JR, Daniel.R. (2017). Management. BIP p 161

Sugiyono. (2009). Metode Penelitian Pendidikan Pendekatan Kuantitatif, Kualitatif, dan R & D. Bandung : Alfabeta

Suprayetno, D., Kusmayadi, I., Nururly, S., & Singandaru, A. B. (2023). Monday effect, week-four effect dan January effect pada pasar modal Indonesia. Jurnal Sosial Ekonomi dan Humaniora, 9(4), 474-485. https://doi.org/10.29303/jseh.v9i4.440

Sutrisno. (2017). Manajemen Keuangan, Teori Konsep dan Aplikasi. Yogyakarta: Ekonosia.

Tutu, J., Maringka, T., & Mumu, S. (2024). Pengujian The Day of the week effect, Dan Four-Week Effect Di Bursa Efek Indonesia: Analisis Anomali PasaR. Jurnal Pemasaran Bisnis, 6(3). https://doi.org/10.29241/jpb.v6i3.229

Widodo, P. (2024). An investigation of the effect of Covid-19 on efficient market hypothesis (EMH) anomalies: Econometric approach. Jurnal Samudra Ekonomi dan Bisnis, 15(1), 130-143. https://doi.org/10.33059/jseb.v15i1.8093.

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