The Day of The Week Effect, Month of The Year Effect, and Turn of Month Effect Using GARCH Model from Indonesian Stock Market Indices LQ45 And SRI-Kehati Data 2019-2023

Raisa, Kharisma The Day of The Week Effect, Month of The Year Effect, and Turn of Month Effect Using GARCH Model from Indonesian Stock Market Indices LQ45 And SRI-Kehati Data 2019-2023. Diploma thesis, UNSPECIFIED.

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Abstract

The purpose of this study was to examine the day of the week effect, , the effect of month of the year, and the effect of the turn of the month on two different stock index returns. LQ45 and SRI-Kehati for the period 2019–2023. LQ45 is liquidity based index. SRI-Kehati index is the index based on the environmental, social, and governance practices. The data for this research is using secondary data from www.yahoofinance.com and www.investing.com. The sample in this study is the daily return of two stock indexes during the period 2019 – 2023. This study used the GARCH model. One form of GARCH is GARCH (1,1) (Generalized Autoregressive Conditional Heteroscedasticity). The results show the existence of the effect of trading days on stock returns. Specifically, there was a positive and significant return on Thursday on the LQ45 index. In this study, there was no effect of the month of the year effect from both indices. Furthermore, there is no significant effect is determined in the turn of the month effect on trading on the two indices stock returns during the study period. The difference in the two indices is found in the effect of the day of the week.

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