Market Anomalies and Intraday Return Indonesia Stock Exchange
This research examined the anomalous Day of The Week Effect which are found in many developed and developing capital markets around the world, occurred in Indonesian capital market. Day of The Week Effect is a phenomenon on stock returns value that are influenced by the trading day. One example of Day of The Week Effect is Monday Effect, which is the stock return value declined or low value on Monday. The data population were Equity Indices which are listed in Indonesia Stock Exchange (IDX ) during October 2012 to March 2013. The data which is primary data that obtained from the IDX, such as Jakarta Composite Index (JCI), BISNIS27, IDX30, and Srikehati. This research split the population data into two balanced data panel that are Q4 2012 (before trading hours regulation changed) and Q1 2013 (after trading hours regulation changed). The results indicate the occurrence of partially Monday Effect in Q4 2012 and partially Weekend Effect in Q1 2013 on the BEI. Test results proved that there is Day of the Week Effect and the day that influence the returns is not always the same and consistent. Monday, Tuesday, Wednesday, Thursday and Friday is alternately affect the return. In addition, the comparisons of return on Monday with another days are not always have large negative return differences and Monday is not always affect the return on each trading interval.