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"Penelitian ini meneliti keberadaan turn of the month effect di Bursa Efek Indonesia. Pengujian pertama dilakukan dengan uji beda rata-rata (uji-t) dan regresi variabel dummy terhadap return saham. Dengan melakukan uji-t, ditemukan bahwa terdapat perbedaan return yang signifikan antara periode pergantian bulan dengan hari lainnya. Sedangkan dengan menggunakan regresi variabel dummy, ditemukan bahwa periode pergantian bulan memiliki pengaruh positif terhadap return saham kecuali untuk tahun 2007. Pengujian kedua dilakukan untuk melihat apakah terdapat abnormal return positif pada masingmasing hari disekitar pergantian bulan. Dari pengujian ini ditemukan bahwa terdapat abnormal return positif yang signifikan pada t-2 sampai t+2. Pengujian ketiga dilakukan untuk melihat apakah terjadinya anomali pergantian bulan berhubungan dengan kenaikan likuiditas. Dengan menggunakan variabel likuiditas jenis trade based measures dan order based measures, ditemukan bahwa terdapat pengaruh positif dari likuiditas terhadap abnormal return saham.

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This study examines the existence of turn of the month effect in Indonesian Stock Exchange. The first test uses mean difference test (t-test) and regression with dummy variable. With mean difference t-test, it is found that there are significant difference in returns between the turn of month period with the rest of month. Meanwhile, by using dummy variable regression, it is found that the turn of month period has a positive effect on stock return except for the year 2007. The second test is done to see whether there is a significant positive abnormal return on each day around the turn of the month.

It is found that there are significant positive abnormal returns from t-2 to t+2. The third test is done to see whether turn of the month effect is associated with increase in liquidity. By using trade-based measures and order-based measures liquidity variable, it is found that liquidity has positive effect to stocks abnormal return."

"Pandemi Covid-19 memberikan dampak negatif signifikan pada perekonomian dan pasar saham secara global. Pandemi tersebut juga memengaruhi sentimen investor, dengan demikian pasar saham diduga menjadi tidak efisien, yang pada akhirnya membuat anomali pasar, seperti anomali kalender menjadi fenomena yang tidak dapat terhindarkan. Anomali kalender merupakan fenomena yang menarik untuk dipelajari lebih lanjut, khususnya pada saat krisis karena investor memiliki kecenderungan yang lebih tinggi untuk bersikap tidak rasional. Penelitian ini akan mengamati apakah anomali kalender terjadi di Indonesia pada saat sebelum dan saat terjadinya pandemi Covid-19. Dengan menggunakan metode OLS regression, peneliti menemukan bahwa anomali kalender yang diproksikan dengan menggunakan day-of-the-week effect (DOW) dan turn-of-the-month effect (TOM) memiliki pengaruh signifikan terhadap return saham beberapa indeks sektoral dengan hasil yang berbeda. Pada penelitian ini juga ditemukan bahwa terdapat perbedaan fenomena anomali kalender yang terjadi pada saat sebelum dan saat terjadinya pandemi Covid-19. Harapannya, penelitian ini dapat memberikan pencerahan kepada investor atau manajer investasi dalam memaksimalkan profit dengan memanfaatkan anomali kalender pada saat sebelum dan saat terjadinya krisis seperti Covid-19 atau krisis lainnya yang terjadi di masa depan.

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The Covid-19 pandemic had a significant negative impact on the global economy and stock market. It also affected investors’ sentiments, so the stock market was expected to become inefficient, resulting in market anomalies such as calendar anomalies, could not be avoided. The calendar anomalies are interesting phenomena to be studied further, especially in the crisis period because the investors’ irrationality tends to be higher. This study examines whether the calendar anomalies occurred in Indonesia before and during the Covid-19 pandemic. Using OLS regression, we find that the calendar anomalies proxied by the day-of-the-week effect (DOW) and turn-of-the-month effect (TOM) significantly influence several sectoral indices’ stock returns differently. The findings also show the difference in calendar anomalies that happened before and during the Covid-19 pandemic. This study could shed light on investors or investment managers' maximizing their profits by utilizing calendar anomalies before and during a crisis such as Covid-19 and other crises in the future. "

"Effecient market hypothesis stated returns should be unpredictable and has no clear pattern because tock returns should be unpredictable and has no clear pattern because stock price at any date has reflect all available information..."

"Efficient Market Hypothesis stated stock returns should be unpredictable and has no clear pattern because stock price at any date has reflect all available information. This hypothesis is very rational because predictable stock return give investor chances to reap high abnormal return without risk through arbitrage activity. In spite of its rationality, this hypothesis has been rejected by many empirical researches in many countries. This paper empirically tested calender anomaly in Jakarta Stock Exchanges. It investigated 3 types calender anomaly; turn of the month effect, month-of-the year effect and holidays effect. The result is that Calender Anomaly is statistically significant occurred. Meanwhile January effect is not statistically significant occurred."