Day-of-The-Week Anomaly on Different Stock Capitalization: Evidence from Indonesian Stock Market

Dadang Wahyu Juniarwoko; T. Irawan; L. Anggraeni

DOI:10.47312/AEFR.V2I01.47

Corpus ID: 168896685

Day-of-The-Week Anomaly on Different Stock Capitalization: Evidence from Indonesian Stock Market

@inproceedings{Juniarwoko2017DayofTheWeekAO,
  title={Day-of-The-Week Anomaly on Different Stock Capitalization: Evidence from Indonesian Stock Market},
  author={Dadang Wahyu Juniarwoko and T. Irawan and L. Anggraeni},
  year={2017}
}

Dadang Wahyu Juniarwoko, T. Irawan, L. Anggraeni
Published 2017
Business

The aim of this study is to determine whether the “Day-of-The-Week Anomaly” (DOWA) exists on different stock capitalization in Indonesian stock market. A total of 58 stocks listed in both LQ45 index and Pefindo25 index used to represent large cap stocks and small and medium cap stocks respectively. The Ordinary Least Squares (OLS) method and ARCH/GARCH model were employed to capture the DOWA and the daily volatility behavior for the period between January 2010 and December 2015. The result… Expand

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