Short Term Seasonalities on the Jakarta Stock Exchange

Publication Type

Journal Article

Publication Date

1999

Abstract

This research attempts to uncover the presence of various stock market seasonalities on the Jakarta Stock Exchange (JSX). We find that most of the seasonal effects exist on the JSX, except for the January effect. There is a day-of-the-week effect with low Tuesday and high Friday returns. The "twist" effect is confirmed with a negative Tuesday return following a market decline in the previous week. The Tuesday "Rogalski" effect is present, with Tuesday return being positive in the month of January and negative for the other months. The monthly, turn-of-the-month, turn-of-the-year and pre-holiday effects are also confirmed in recent sub-periods after the reforms of the JSX in 1988.

Discipline

Accounting | Finance and Financial Management

Research Areas

Financial Performance Analysis

Publication

Review of Pacific Basin Financial Markets and Policies

Volume

2

Issue

3

First Page

375

Last Page

398

ISSN

0219-0915

Identifier

10.1142/S0219091599000205

Publisher

World Scientific Publishing

Link to Full Text

Share

COinS