Proceedings of the 3rd International Conference on Law, Social Science, Economics, and Education, ICLSSEE 2023, 6 May 2023, Salatiga, Central Java, Indonesia

Research Article

Testing of Lq45 Stock Return in The Interday Variations Model

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  • @INPROCEEDINGS{10.4108/eai.6-5-2023.2333549,
        author={Ernesth Cancerio Reynaldo and Achmad  Rodoni and Pudji  Astuty},
        title={Testing of Lq45 Stock Return in The Interday Variations Model},
        proceedings={Proceedings of the 3rd International Conference on Law, Social Science, Economics, and Education, ICLSSEE 2023, 6 May 2023, Salatiga, Central Java, Indonesia},
        publisher={EAI},
        proceedings_a={ICLSSEE},
        year={2023},
        month={7},
        keywords={stock returns the day of the week week four rogalsky},
        doi={10.4108/eai.6-5-2023.2333549}
    }
    
  • Ernesth Cancerio Reynaldo
    Achmad Rodoni
    Pudji Astuty
    Year: 2023
    Testing of Lq45 Stock Return in The Interday Variations Model
    ICLSSEE
    EAI
    DOI: 10.4108/eai.6-5-2023.2333549
Ernesth Cancerio Reynaldo1,*, Achmad Rodoni1, Pudji Astuty1
  • 1: Universitas Borobudur, Jakarta, Indonesia
*Contact email: ec.reynaldo@gmail.com

Abstract

The purpose of this study is to use a model derived from Kyle (1985) to illustrate the application of the theory of interday variability proposed by Foster and Viswanathan (2008), based on the phenomenon of the day of the week, the four week, and the Rogalsky of stock returns. This review expects to answer research issues by testing the interday variety model methodology through the peculiarity of the day of the week impact, the fourth week impact and the Rogalsky impact on stock returns for the LQ45 shutting file on the IDX in 2017-2021. Hypothesis testing uses the ANOVA statistical method and paired t test. Furthermore, on the off chance that the information isn't regularly dispersed, the Kruskal-Wallis and Wilcoxon tests are utilized. The results of the study prove that the day of the week and week four phenomena occur, while the Rogalsky phenomenon does not occur on the IDX in 2017-2021.