MONDAY EFFECT, WEEK-FOUR EFFECT AND JANUARY EFFECT ININDONESIA

The research analyzed efficient market anomalies, Monday effect, week four effect, and January effect in Indonesia. Three hypotheses were tested through independent t test. The result discovered that Monday effect and week four effect were not present, but January effect indeed. It proved that the Indonesian economy situation during 2016 and 2017 tended to be stable, therefore Monday effect and Week-four effect did not occur. It presented January effect because there was an improvement of Indonesian economy at the end of the year after the election, thus this good news affected the purchase of shares in large numbers in the beginning of the year.