Article Per Year (5 Year)
p-Index From 2019 - 2024
0.751
P-Index
This Author published in this journals
All Journal Journal of Indonesian Economy and Business Jurnal Manajemen dan Usahawan Indonesia Indonesian Capital Market Review JMUI
Rizky Luxianto
Faculty Of Economics And Business, Universitas Indonesia
Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Industrial & Manufacturing Engineering Social Sciences

Published : 5 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search
Journal : Journal of Indonesian Economy and Business

 1 
Day-of-the-Week Effect and Investors’ Psychological Mood Testing in a Highly Mispriced Capital Market Rizky Luxianto; Usman Arief; Muhammad Budi Prasetyo
Journal of Indonesian Economy and Business (JIEB) Vol 35, No 3 (2020): September
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22146/jieb.54377

Abstract

Research Aims: This research examines investors’ psychological moods which cause day-of-the-week anomalies in highly mispriced stock markets. Design/methodology/approach: We use a sample from the Indonesian capital market as, in the Asian region, this country is considered to have a highly mispriced capital market. We decompose the stock price index in Indonesia into speculative, less speculative, and non-speculative indexes. We employ the mean and variance regressions to control the heteroscedasticity and serial correlation. Novelties: Our novelties are two fold. We postulate a method to decompose stock price indexes in Indonesia (the JKSE, LQ 45, and Kompas 100) into speculative, less speculative, and non-speculative indexes. Secondly, we estimate the mean and variance levels simultaneously to get a robust estimation result of the anomaly. Research Findings: We empirically find that the behavior mood hypothesis is supported only during normal periods, when investors tend to be irrational and use their good mood to trade on speculative stocks on a Wednesday and sell them on Monday. In other periods, rationality and psychological effects play a role with Indonesian investors, when their mood is good they are more active in trading less speculative stocks, to avoid higher risks and earn higher returns from those less speculative and non-speculative stocks.
Co-Authors Imam Wahyudi Indrawan, Imam Wahyudi Muhammad Budi Prasetyo Muhammad Budi Prasetyo Niken Iwani S. Putri Priyambodo, Raka Respati Rahmat Aryo Baskoro Raka Respati Respati Priyambodo Sulung, Liyu Adhika Sari Suryaputri, Niken Iwani Usman Arief Wardatul Adawiyah