The Weekend Effect Investigation: Evidence from Indonesia Capital Market

In the weak-form market efficiency, investors cannot obtain profits by trading stocks through a positive price difference. Unfortunately, this perspective is doubtful because of the weekend effect theory. The highest and lowest return exists on Friday and Monday, respectively, based on this theory. For that reason, this study is presented to prove the weekend effect by statistically checking the return based on the trading days with the variance analysis model and the Tukey Honestly Significant Difference Testing. Unlike the other research, this study utilizes the shares' return to prove this effect in the bullish and bearish markets. Data are collected by archival method from the Yahoo Finance website based on the names of shares chosen as the LQ45 members. The workdays and holidays are obtained based on the information from the Indonesian stock exchange. This finding shows that the lowermost return exists on Tuesday for two markets. Separately, the reverse Monday and the middle-week effects exist in the bearish and the bullish. The return change in the bullish period is more significant than that in the bearish. Therefore, this study is helpful for public investors to transact their shares to gain a positive return by utilizing these daily patterns in these two markets.