CALENDAR ANOMALIES AND WEAK-FORM MARKET EFFICIENCY ACROSS INDONESIAN ESG INDICES
DOI:
https://doi.org/10.70248/jakpt.v4i1.4648Abstract
This study examines whether calendar anomalies provide predictable return patterns in two Indonesian ESG-based stock indices, SRI-KEHATI and IDX ESG Leaders, during 2023–2024. The sample comprises 23 SRI-KEHATI constituents and 29 IDX ESG Leaders constituents observed over 475 trading days, yielding 10,925 and 13,775 firm-day observations, respectively. Random-effects panel regressions are used to test Turn of the Month (TOM) and Turn of the Year (TOY) effects, while Wilcoxon–Mann–Whitney tests compare return distributions between the two indices. TOM at the beginning and end of the month is not statistically significant in either index. The beginning-of-year TOY effect is also not significant, whereas the final seven trading days of the year show a positive and statistically significant association with returns in both indices. The cross-index comparisons do not indicate statistically significant differences in TOM or TOY return distributions. The findings therefore provide broad, but conditional, consistency with weak-form market efficiency: predictable calendar patterns are largely absent, while a localized year-end effect remains. The study contributes by comparing two ESG-based indices in an emerging market and by identifying whether calendar predictability is common or index-specific within a clearly defined period.
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