The Weekend Effect Testing in Capital Market of Indonesia

This study intends to prove the weekend effect in the capital market of Indonesia. To execute it, this study uses the market index return based on the name of the days in the week started from January 2015 to December 2019 as the proxy and the analysis of variance (ANOVA) as the model. A test of between-subjects’ effects and the Tukey HSD become the tools to prove the impact of the trading days on the daily composite stock market index and their difference based on the name of the days, respectively. The test result of between-subjects’ effects shows that the name of days has no impact on market return. In line with this result, the Tukey HSD test result indicates the market return among weekdays is similar. Therefore, this study summarizes that the weekend effect is unavailable.