Stock Market Reactions before and during the COVID-19 Pandemic:

Evidence from Indonesia

YANI RIYANI1, SUSAN ANDRIANA1, KARTAWATI MARDIAH1, LINDA SUHERMA1,

BAIDHILLAH RIYADHI1, ARIANTO ARIANTO1, KHAMIM KHAMIM1, JAKFAR JAKFAR2,

ENDRI ENDRI3*

1Accounting Department, Politeknik Negeri Pontianak

Jl. Jenderal Ahmad Yani, Bansir Laut, Kota Pontianak, Kalimantan Barat 78124

INDONESIA

2Faculty of Economics and Business, Universitas Jayabaya

Jl. Pulomas Selatan Kav. No.23, Kota Jakarta Timur, Daerah Khusus Ibukota Jakarta 13210

INDONESIA

3*Faculty of Economics and Business, Universitas Mercu Buana

Jl. Meruya Selatan No. 1, Kembangan, Jakarta Selatan 11650

INDONESIA

Key-Words: - market anomaly, the day of the week effect, week four effect, Rogalski effect, January

effect.

Received: September 6, 2021. Revised: May 11, 2022. Accepted: June 3, 2022. Published: July 22, 2022.

1 Introduction

The COVID-19 pandemic has had a major impact

on the World Capital Markets, including Indonesia

[1]. The movement of stock prices in the Indonesian

Capital Market declined sharply [2]. Before the

Covid-19 pandemic, namely 2018, the Composite

Stock Price Index (JCI) was at 6,098.58, in 2019 it

increased by 3.71% to 6,324.66 but when the Covid-

19 Pandemic broke out in Indonesia, the JCI

decreased 17.93% which is 5,190.41. The decline in

the JCI was caused by the market reacting to

information about the Covid-19 pandemic which

was considered bad news. When viewed from the

monthly JCI movement, the movement in 2018 and

2019 was relatively stable in 2018 the lowest JCI

occurred in June of 5,799, the highest occurred in

January of 6,605. For 2019, the lowest JCI occurred

in November at 6,011, the highest occurred in

January at 6,532. Meanwhile, the movement in 2020

was more volatile, with the lowest JCI occurring in

March at 4,538, and the highest occurring in

December at 5,979. By looking at the monthly JCI

movement, researchers are interested in researching

on: Did the phenomenon of the day of the week,

week four, Rogalski, and January effect occur on the

Indonesia Stock Exchange before and during the

Covid-19 pandemic in Indonesia.

Market reaction to information can be considered

good news or bad news depending on the economic

value contained by the information [3] [4]. Good

news increases the JCI, while bad news causes the

JCI to fall. In addition to good and bad news that

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DOI: 10.37394/23207.2022.19.104

Yani Riyani, Susan Andriana, Kartawati Mardiah,

Linda Suherma, Baidhillah Riyadhi,

Arianto Arianto, Khamim Khamim,

Jakfar Jakfar, Endri Endri

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Abstract: Research on market reactions to the phenomenon of The Day of Week Effect, Week Four Effect,

Rogalsky Effect, and January Effect in several world capital markets finds different results. This study aims to

determine the reaction of the Indonesian capital market before and during the Covid-19 pandemic which is

associated with the phenomenon of the day of the week effect, week four effect, Rogalski effect, and January

effect. By conducting a study of previous theoretical research, after that a survey was carried out to obtain data

phenomena, classifying the closing daily JCI before and during the Covid-19 pandemic, calculating actual

returns, calculating expected returns and abnormal returns, then classifying return or abnormal return data into

4 phenomena namely The Day of The Week Effect, Week Four Effect, Rogalsky Effect, and January Effect.

For The Day of The Week Effect, return data is classified into Monday and non-Monday returns. For Week

Four Effect, return data is classified into Monday week 1, 2, 3, and Monday week 4.5. For the Rogalsky Effect,

returned data are classified into Monday, April, and Monday non-April. For the January Effect, returned data

are classified into January 1st week and January 2nd week. Then do the Data Normality Test and Hypothesis

Testing. This study produces empirical evidence that there is no phenomenon of the day of the week, week four

effect, Rogalski effect, and January effect before and during the Covid-19 pandemic outbreak on the Indonesia

Stock Exchange.

causes the market to react, several researchers have

found that there is a market anomaly phenomenon,

namely deviations from the efficient market

hypothesis so that the Indonesian capital market is

classified as a semi-strong form which also affects

stock prices [5]. The phenomena are The Day of

Week, Week Four, Rogalsky, and the January

Effect. The Day of Week is a phenomenon where

there is a significant difference in returns between

Monday and other days of the week, Monday

produces a negative return while the other day

returns a positive one [6]. Meanwhile, Week Four is

a phenomenon where the Monday Effect occurs on

the 4th week of each month, while the 1st, 2nd and

3rd weeks do not. The Rogalsky Effect is a

phenomenon where the average return is negative

on Mondays and disappears during certain months.

While the January Effect is the phenomenon of

rising stock prices in January in the first week [7].

2 Literature Review

State of the art is assessed from several studies

conducted in global capital markets, namely; NYSE

Stock Exchange, Tadawul, Canada and

Johannesburg, and Indonesia Stock Exchange.

Bishal et al. [8] examined the effect of individual

investors' trading patterns on the day of the week

and the January effect on companies listed on the

NYSE. Empirical findings show that the trading

activity of individual investors on Monday is lower

than any other day. Chowdhury et al. [9] examined

the autocorrelation of stock returns of 159

companies listed on Tadawul (Saudi Arabian

Capital Market) for the period 2004 - 2015 and

found that returns are related to the effect of the day

of the week where on Tuesdays, Wednesdays, and

Thursdays have higher returns. larger than Mondays

and Fridays. Washer et al. [10], identified the

impact of the day of the week using three financial

instruments in Canada for the period 1980 – 2009,

resulting in that the Monday Effect occurred in 1980

for treasury bills (TB) and corporate papers, in

contrast to banker acceptances (BA) not impact. In

1990 the Monday Effect disappeared, but in 2000

reappeared but was positively correlated with

corporate paper and banker acceptances.

Researchers also found that Wednesday is the day

that produces the highest return. du Toit et al. [11]

by using the GARCH model to test the effect of the

day of the week on the Johannesburg Stock

Exchange for the period March 1995 – March 2016.

The empirical findings conclude that the results are

contrary to the effect of the day of the week as

indicated by return volatility with the highest return

occurring on the day of the week. Monday and the

lowest occurred on Friday.

Ardila et al. [12] examined how the effect of

stock trading days, Week Four, Rogalsky Effect,

and The Day of the Week on stock returns in LQ 45

for the 2016 period. where there is a difference

between 1-3 weeks of the 4th week of each month

on trading days with the Rogalsky Securities

occurring on the IDX. Then, Saraswati et al. [13]

tested the phenomenon of Week Four, Rogalsky

Effect, and The Day of The Week on stock returns

of LQ 45 in 2013. The results showed that The Day

of The Week in the Indonesian capital market

experienced an anomaly, namely, there was a

difference in the average daily stock return. in one

year in a week and the Week, Four phenomena

occur because of negative returns on Monday, the

4th and 5th week of each month, while the Rogalsky

Effect phenomenon does not occur on the IDX.

The results of the study that tested the anomaly

of The Day of The Week in the capital market,

namely the NYSE, Tadawul, Johannesburg Stock

Exchange, Canadian money market, and BEI,

showed different evidence. This study also

examines the anomalies of The Day of The Week,

Week Four, and the Rogalsky Effect in the

Indonesian stock market, which is expanded by

examining the market reaction due to the Covid-19

pandemic and whether the anomalies of The Day of

The Week, Week Four and the Rogalsky Effect this

also happened when the market received bad news

about the Covid-19 pandemic.

The phenomenon of The Day of The Week is a

phenomenon that is contrary to the concept of an

efficient market which states that there are

differences in returns on Mondays with other days.

Monday returns tend to be negative while other days

are positive. Returns tend to be negative because of

the individual's desire to transact on Mondays by

selling shares at a higher price than the individual's

desire to buy shares which affects lower stock prices

[14]. The Monday Effect phenomenon occurs on the

4th week of every month. Negative returns occurred

on Mondays in the last two weeks, although they

were still negative but not significant [12]. The

phenomenon of the Rogalsky Effect states that the

average return will be negative on Monday and will

disappear in certain months. Research on the

Rogalsky Effect on the IDX produces inconsistent

results. Saraswati et al. [13] researched LQ 45

companies in 2013 with a sample of 41 companies

found that there was no Rogalsky Effect on the IDX

while Ardila et al. [12] who also researched on LQ

45 in 2016 found that there was a Rogalsky Effect

on the IDX. Meanwhile, the January Effect is a

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Yani Riyani, Susan Andriana, Kartawati Mardiah,

Linda Suherma, Baidhillah Riyadhi,

Arianto Arianto, Khamim Khamim,

Jakfar Jakfar, Endri Endri

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phenomenon where stock prices increase during the

first week of January. The results of research from

Fitriyani and Sari [15] found that when viewed from

stock returns and abnormal returns there is a January

Effect on the IDX because companies have a

strategy to improve their financial statements by

marketing low-value stocks at the close of the year,

and marketing profitable stocks entering the market.

early next year to increase profits attract investors.

The hypotheses in this study consist of: first, JCI

stock returns due to The Day of The Week on the

IDX are different before and after the Covid-19

pandemic, second, JCI stock returns due to The Day

of The Week on the IDX are also different during

the Covid-19 pandemic. Third, there are differences

in the stock returns of the JCI due to the fourth-

week effect on the IDX before the Covid-19

pandemic outbreak, fourth, there are differences in

stock returns on the JCI caused by the fourth week

of effects on the IDX during the Covid-19

pandemic, fifth, the stock returns of the JCI are

different due to The Rogalsky Effect on the IDX

before the Covid-19 pandemic, sixth, there was a

difference in JCI stock returns due to the Rogalsky

Effect on the IDX during the Covid-19 pandemic,

and seventh, there was a difference in JCI stock

returns on the January Effect on the IDX before the

COVID-19 pandemic. On the eighth day, there was

a difference in JCI stock returns on the January

Effect on the IDX throughout Covid-19.

3 Research Methods

This research is an empirical study conducted on

Indonesia's capital expenditures related to market

reactions, trading days, and JCI stock returns [16].

The research procedure is as follows:

1. The research begins with a study of previous

research and a study of theory

2. Then conduct a data survey on the IDX

website, namely the JCI to obtain data

phenomena to produce titles and design

research proposals.

3. Collecting daily Composite Stock Price Index

(IHSG) data from 2018 – 2020.

4. Classify daily JCI data before and during the

Covid-19 pandemic.

5. Calculate actual returns before and during the

Covid-19 pandemic.

6. Calculate the expected return before and

during the covid-19 pandemic.

7. Classify the return or abnormal return data

into 4 phenomena, namely The Day of The

Week, Week Four, Rogalsky, and the

January Effect.

8. For The Day of The Week, return data is

classified into Monday and non-Monday

returns.

9. For Week Four Effect, return data is classified

into two, namely Monday week 1,2,3, and

Monday week 4.5.

10. For the Rogalsky Effect, the return data is

also classified into two, namely Monday,

April, and Monday non-April.

11. For the January Effect, the return data are

classified into two, namely January 1st week

and January 2nd week of 2,3,4,5.

12. Perform Data Normality Test.

13. Test the hypothesis, namely the paired sample

t-test or the Wilcoxon test.

Testing data that are normally distributed using

paired sample t-test and if the data is not normally

distributed, the Wilcoxon test is used. The

difference test hypothesis is accepted if the p-value

is 5%.

4 Results and Discussion

This study was conducted to examine the response

of the Indonesian capital market caused by the

COVID-19 pandemic and the anomalies of the day

of the week, week four, Rogalski and January effect

that occurred in the Indonesian capital market

before and during the Covid-19 pandemic. The

reaction of the Indonesian capital market is shown

by changes in stock prices in the period before and

during the COVID-19 pandemic as measured by

abnormal returns [17]. Meanwhile, to see the

anomaly of the day of the week, week four,

Rogalski, and January effect before and during the

Covid-19 pandemic, stock returns are used.

Hypothesis testing using the Paired Sample t-test

if the data is normally distributed, on the contrary,

the Wilcoxon test is used. The One-Sample

Kolmogorov-Smirnov test was used to test the

normality for the data to answer hypotheses 5 to 8

guided by statistical analysis by looking at the value

of kurtosis and skewness. This is done because the

One-Sample Kolmogorov-Smirnov Test cannot

detect normality with small data consisting of only 3

to 4 data. The results of the normality test using the

Kolmogorov-Smirnov Test are as follows:

Table 1. Normality KS Test Results

No.

Data

Sign.

Value

Description

Hypothesis

0,200

Normal Data

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Hypothesis

0,026

Abnormal Data

Hypothesis

0,200

Normal Data

Hypothesis

0,200

Normal Data

The results of Hypothesis 1, 3, and 4 tests are shown

in table 1 which shows that the KS value is 0.200

which is greater than 0.05, so the data is normal,

while for hypothesis 2, the KS value is 0.026 which

is smaller than 0.05, the data abnormal. While the

results of the Normality Test for data answering

hypotheses 5 to 8 using statistical analysis using

Kurtosis and Skewness gave the results shown in

table 2.

Table 2. Test Results of Normality, Kurtosis, and

Skewness

Data

Kurtosi

Skewnes

Descriptio

Hypothesi

s 5

1,05

1,30

Normal

Data

Hypothesi

s 6

1,22

Normal

Data

Hypothesi

s 7

0,90

-0,91

Normal

Data

Hypothesi

s 8

0,81

0,76

Normal

Data

Based on table 2 above, it appears that the Z value

of Kurtosis and Z Skewness has a value less than

1.96, so all data for hypothesis testing 5, 6, 7, and 8

are normal. Furthermore, hypothesis testing is

carried out with the following results:

Table 3. Hypothesis Test Results

No.

Hypothesis

Sign.

Value

Description

Hypothesis

0,487

Hypothesis

Rejected

Hypothesis

0,682

Hypothesis

Rejected

Hypothesis

0,865

Hypothesis

Rejected

Hypothesis

0,399

Hypothesis

Rejected

Hypothesis

0,678

Hypothesis

Rejected

Hypothesis

0,382

Hypothesis

Rejected

Hypothesis

0,395

Hypothesis

Rejected

Hypothesis

0,320

Hypothesis

Rejected

The results of testing the significance of hypothesis

1 shown in table 3 have a value of 0.487 which is

greater than 0.05, with the decision of the

hypothesis being rejected. In conclusion, there is no

difference in JCI stock returns caused by The Day

of The Week on the IDX before the Covid-19

pandemic outbreak. The significance test of

hypothesis 2 produces a value of 0.682 which is

greater than 0.05 with the decision of the hypothesis

being rejected, it can be said that there is no

difference in the stock returns of the JCI due to The

Day of The Week on the IDX during the Covid-19

pandemic. The significance test of hypothesis 3

produces a value of 0.865 which is greater than 0.05

with the decision of the hypothesis being rejected, it

can be said that there is no difference in the stock

returns of the JCI because of the Week four effect

on the IDX before the outbreak of the Covid-19

pandemic. The significance test of hypothesis 4

produces a value of 0.399 which is greater than 0.05

with the decision of the hypothesis being rejected, it

can be said that there is no difference in the stock

returns of the JCI due to the Week four effect on the

IDX during the Covid-19 pandemic. The

significance test of hypothesis 5 produces a value of

0.678 which is greater than 0.05 with the decision of

the hypothesis being rejected, it can be said that

there is no difference in the stock returns of the JCI

caused by the Rogalsky Effect on the IDX before

the outbreak of the Covid-19 pandemic. The

significance test of Hypothesis 6 resulted in a value

of 0.382 which is greater than 0.05 with the decision

of the hypothesis being rejected, so it can be said

that there is no difference in the JCI stock returns

due to the Rogalsky Effect on the IDX during the

Covid-19 pandemic. The significance test of

hypothesis 7 produces a value of 0.395 which is

greater than 0.05 with the decision of the hypothesis

being rejected, it can be said that there is no

difference in the stock returns of the JCI on the

January Effect on the IDX before the outbreak of

the Covid-19 pandemic. Finally, the significance

test of hypothesis 8 produces a value of 0.320 which

is greater than 0.05 with the decision of the

hypothesis being rejected, so it can be said that there

is no difference in the stock returns of the JCI on the

January Effect on the IDX during the Covid-19

pandemic.

Testing for hypotheses 1 and 2 found that there

was no difference in JCI stock returns caused by

The Day of The Week on the IDX before and during

the Covid-19 pandemic. This shows the anomaly of

weekend holidays on the IDX both before and

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Yani Riyani, Susan Andriana, Kartawati Mardiah,

Linda Suherma, Baidhillah Riyadhi,

Arianto Arianto, Khamim Khamim,

Jakfar Jakfar, Endri Endri

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during the COVID-19 pandemic, which means stock

returns for Mondays and non-Mondays are

homogeneous. The results of this study are in line

with Ardila et al. [12] who found that the day of the

week phenomenon did not occur in LQ 45 stocks.

This result does not support the efficient market

anomaly theory (days of the week) which states that

trading days on the exchange affect stock returns.

The results of testing hypotheses 3 and 4 found

that the IHSG stock returns due to the Week four

effect on the IDX before and during the Covid-19

pandemic were no different. In other words, on the

IDX there is no Week four effect phenomenon. This

means that stock returns for Mondays 1, 2, and 3 are

homogeneous with Mondays 4 and 5. Other findings

also prove that there is no difference in JCI stock

returns due to the Rogalsky Effect on the IDX

before and during the Covid-19 pandemic. In other

words, on the IDX there was no Rogalsky Effect

phenomenon either before or during the Covid-19

pandemic. Stock returns for Mondays in April and

Mondays in months other than April are

homogeneous. Empirical research evidence supports

the study of Saraswati et al. [13] who found that the

Rogalsky Effect anomaly did not occur on the IDX.

The January Effect phenomenon also gave the

same result, where the JCI stock returns on the

January Effect on the IDX before and during the

Covid-19 pandemic there were no differences. This

can be seen from the stock returns in January the 1st

week with the 2nd to 5th weeks being

homogeneous. The results of this study found that

there were no anomalies in The Day of The Week,

Week four effect, Rogalsky Effect, and January

Effect on the IDX before and during the Covid-19

pandemic outbreak. This identifies that stock returns

on the Indonesia Stock Exchange are homogeneous

and not influenced by trading day [18]. Stock

returns are more influenced by macroeconomic

variables [19], and financial performance [20].

5 Conclusion

In line with the research objectives, the empirical

findings of the study can be concluded: first, there

was no day of the week anomaly before and during

the Covid-19 pandemic outbreak on the IDX,

second, there was no week four effect phenomenon

before and during the Covid-19 pandemic outbreak

on the IDX. , third, there is no Rogalski effect

phenomenon before and during the Covid-19

pandemic outbreak on the IDX, fourth, there is no

January effect phenomenon before and during the

Covid-19 pandemic outbreak on the IDX. With the

results of these studies, it is recommended for

further research to increase the observation time to

be longer so that the data used to meet the

application requirements used in data processing, as

well as add other phenomena or company actions to

see the market reaction to the event.

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Yani Riyani, Susan Andriana, Kartawati Mardiah,

Linda Suherma, Baidhillah Riyadhi,

Arianto Arianto, Khamim Khamim,

Jakfar Jakfar, Endri Endri

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Contribution of Individual Authors to the

Creation of a Scientific Article (Ghostwriting

Policy)

Conceptualization: Yani Riyani, Kartawati

Mardiah, Linda Suherma. Data curation: Linda

Suherma, Susan Andriana, Jakfar Jakfar. Formal

analysis: Endri Endri, Yani Riyani, Jakfar Jakfar.

Funding acquisition: Arianto Arianto, Khanim

Khanim. Investigation: Baidhilah Riyadhi,

Kartawati Mardiah. Methodology: Endri Endri,

Linda Suherma. Project administration: Kartawati

Mardiah, Khanim Khanim. Resources: Yani Riyani,

Arianto Arianto. Software: Endri Endri, Linda

Suherma, Jakfar Jakfar. Supervision: Endri Endri,

Yani Riyani, Kartawati Mardiah. Validation:

Kartawati Mardiah, Linda Suherma, Arianto

Arianto. Visualization: Susan Andriana, Khanim

Khanim. Writing – original draft: Yani Riyani,

Kartawati Mardiah, Linda Suherma. Writing –

review & editing: Endri Endri, Khanim Khanim,

Jakfar Jakfar

Creative Commons Attribution License 4.0

(Attribution 4.0 International, CC BY 4.0)

This article is published under the terms of the

Creative Commons Attribution License 4.0

https://creativecommons.org/licenses/by/4.0/deed.en

_US

WSEAS TRANSACTIONS on BUSINESS and ECONOMICS

DOI: 10.37394/23207.2022.19.104

Yani Riyani, Susan Andriana, Kartawati Mardiah,

Linda Suherma, Baidhillah Riyadhi,

Arianto Arianto, Khamim Khamim,

Jakfar Jakfar, Endri Endri

E-ISSN: 2224-2899

1194

Volume 19, 2022