MARKET ANOMAL TESTING REGARDING THE JANUARY EFFECT, ROGALSKI EFFECT AND MONDAY EFFECT IN BANKING SECTOR COMPANIES ON THE INDONESIA STOCK EXCHANGE

This study aims to look at market anomalies such as the January effect, Rogalski effect and Monday effect in the banking sub-sector companies in Indonesia. This study uses a quantitative method with an analysis of the Average Difference Test. negative. The Rogalski Effect shows no significant difference when Return is positive or negative. The Monday Effect shows that there is a significant difference in the Monday Effect when the Return is positive or negative.


INTRODUCTION
The capital market is a financial market for various long-term financial instruments that can be traded in the form of debt or equity. These financial instruments can be stocks, bonds, etc. The capital market in its activities carries out economic and financial functions, in carrying out its economic functions (Robert ang in Basalama, 2017) as an intermediary institution, where this function shows the important role of the capital market in supporting the economy because the capital market can connect parties who need funds with those who have surplus funds. Abnormal returns or abnormal return is the difference between the return or actual profit rate (actual return) with the expected profit rate (expected return). Abnormal returns are often used to evaluate the performance of securities, which can also be used as a basis for testing market efficiency. The market will be said to be efficient if there is no single market participant who enjoys abnormal returns in a long enough period of time. Abnormal returns usually occur around the announcement of an event. Events related to financial and non-financial. These events, for example, include mergers and acquisitions, dividend announcements, announcements of productive companies, lawsuits, increases in interest rates and also disasters, one of which is the Covid-19 pandemic. january effect is a phenomenon that is more closely related to financial statements. The January effect occurs when companies improve their financial statements at the end of the year. They released shares with bad conditions in December, so that the company's investments presented in the financial statements are investments with good value. In Indonesia, stock price data obtained in 2020 shows a tendency for the January effect, where stock prices in January are higher than in other months.
Based on Figure 1.1 above, it can be seen that the phenomenon of The January Effect in December, January and February experienced fluctuating conditions at the five banks above. It can be seen that in January the stock prices at the five banks above were higher than in December and February. This indicates that the effect on January in 2020 exists, because the price of shares owned in January is higher than December and February at the five banks above. Rogalski Effect is a phenomenon where the negative return that usually occurs on Monday disappears in April. And one of the studies that put forward this phenomenon said the Rogalski effect was found in April, not in January. effect) disappears in a given month. This is due to the tendency of higher returns in that month compared to other months. Based on Figure 1.2 above, it can be seen that the Rogalski Effect phenomenon in April experienced fluctuating conditions at the five banks above, PT Bank Central Asia Tbk in the third week had a stock price of 4,920, then PT Bank Rakyat Indonesia Tbk experienced an increase from the first week. until the second week, but in the third to fourth week it experienced a significant decrease, and PT Bank Negara Indonesia Tbk also

Journal of Accounting Research, Utility Finance and
Digital Assets experienced fluctuating conditions, in the first week to the second week it experienced an increase until the third week it experienced a decrease and again an increase in the fourth week,at PT Bank Mandiri Indonesia Tbk the first week to the third week it experienced a decreasing Rogalski Effect phenomenon but in the fourth week it experienced a significant increase to touch 4,460, and the last one on PT Bank Tabungan Negara Tbk experienced an increase from the first week to the second week and so on in the third to fourth week it actually experienced a significant decrease, compared to other banks, PT Bank Tabungan Negara Tbk had the smallest share price compared to other banks.PT Bank Tabungan Negara Tbk has the smallest share price compared to other banks.PT Bank Tabungan Negara Tbk has the smallest share price compared to other banks. Monday Effectis an example of a seasonal anomaly, which is when stock returns are significantly negative on Monday, and according toPrevious studies such as Iramani's research (2006) examined market anomalies associated with stock returns on the Jakarta Stock Exchange and the results of their research showed negative or lowest returns occurring on Mondays, meanwhile, according to Setyowati (2010) suggested an interesting relationship between Day of the week effect with the January effect. The average return in America on Monday in January tends to be positive while Monday's return in other months is negative. This shows that the Monday effect disappears in January as a result of the tendency for returns in January to be higher than returns in other months.

Research Objects and Locations
The location in this research is the Banking Sector which is listed on the Indonesia Stock Exchange for the 2018-2021 period.

Data Types and Sources
The main data type of this research uses secondary data because this research uses financial reports as the main research data. Secondary data is data that has been pre-processed and data obtained through financial reports published on the official website, thus this study uses panel data as a type of data. According to Basui and Prewoto (2017), panel data is a combination of time series data. and cross data (Cross Section). this is because the data in this study is data that is more than one object and several time periods (2018-2021) with research aids using SPSS.

Banking sector companies that publish financial reports in the year of observation during the Covid 19
period (2020-2021). This study used the t-test data analysis technique. The purpose of this test is to prove whether there are differences in abnormal returns on several market anomaly variables. Paired difference test (Paired Sample t-test) is the test used, where this test serves to prove whether or not there is a relationship between two samples that are not related to having a different average value (Ghozali, 2016)

RESULTS AND DISCUSSION Descriptive statistics
Based on the results obtained, the following are descriptive statistics of the Rogalsky Effect, January Effect, and Monday Effect.

Journal of Accounting Research, Utility Finance and Digital Assets
Based on Figure 4.2 the results of the average abnormal return Rogalsky effect in banking companies, where there are fluctuations every month, however, it can be seen that the lowest return in 2018 amounted to -0.04 percent in July, while the highest was in November of 0.08 percent.  Based on Table 4.4 of the Kruskal Willis test on the January Effect variable, a significance value of 0.139 > 0.05 is obtained, meaning that there is no significant difference between the January Effect when the Return is positive or negative.

Research Conclusion
Based on the results of the research and discussion that have been put forward, the conclusions of this study are: 1. There is no significant difference in the January Effect when the Return is positive or negative in Banking companies Listed on the Indonesia Stock Exchange.
2. There is no significant difference in the Rogalsky Effect when the return is positive or negative in banking companies listed on the Indonesia Stock Exchange.
3. There is a significant difference in the Monday Effect when the return is positive or negative for banking companies listed on the Indonesia Stock Exchange.