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

Abstract

The purpose of this study is to obtain empirical evidence about testing trading day, whether there are differences in stock returns on Monday and other days, and whether testing negative returns on Monday 1,2,3 week and 4.5 weeks whether significant or not in the index KOMPAS 100 on the Indonesia Stock Exchange. The sampling method in this study uses a purposive sampling technique. The study sample consisted of 65 companies listed in the index KOMPAS 100 during January 2018 - December 2022 respectively. The analysis method used is descriptive analysis, paired sample t-test, and one sample t-test. The results of the study indicate there are differences in stock returns on Monday and other days or the day-week effect but the study failed to prove the anomaly Weekfour effect because negative returns on Monday 1,2,3 week and 4,5 weeks are significant in the index KOMPAS 100 on the Indonesia Stock Exchange.