Analysis of calendar anomalies in Indonesian stock market using stochastic dominance approach Available to Purchase

Stocks are the most popular instruments and the most chosen by investors because they provide an attractive level of profit for investors. In investing, investor must consider return and risk. The place where investors transact is called the capital market. The capital market must be efficient, because an efficient capital market is a market where the prices of all traded securities reflect all available information quickly and accurately. In an efficient capital market, trading in the capital market is sensitive and many parties are involved, allowing for deviations or anomalies to appear. The occurrence of anomalies in a capital market allows investors to get abnormal returns, which should not be possible if the market is efficient. Anomalies that often occur are calendar anomalies. Calendar anomalies are events that are not anticipated and can provide an opportunity for investors to obtain abnormal returns that occur at calendar intervals, such as the day effect. The purpose of this study is to analyze calendar anomalies on the Indonesian stock market to see if there are day effects, week effects and January effects using stochastic dominance method. Stochastic dominance is a technique for choosing risky investments without having to pay attention to the return distribution by comparing the cumulative probability of returns. The results of this study indicate that returns on Tuesday tend to be higher than other days, returns on 2^nd and 4^th week higher than prior weeks in general, and the January effect is not found in this study.