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Market Anomalies in Stock Returns: A Comparative Analysis of Kompas 100 Index Companies and Investor33 Index

Dayanti Dayanti et al.

Journal of Accounting, Auditing and Business2025https://doi.org/10.24198/jaab.v8i2.62699article
ABDC C
Weight
0.50

What the paper says

This research aims to analyse the impact of the week-four effect and the January effect on stock returns, focusing on companies listed in the Kompas 100 and Investor33 indices, with respective sample sizes of 150 and 125, spanning the period from 2018 to 2022. Hypothesis testing was performed using panel data regression analysis, revealing that neither the week-four effect nor the January effect significantly influences stock returns within the Kompas 100 index. In contrast, both effects have a notable impact on stock returns in the Investor33 index, which is also projected to yield better stock returns in the future compared to the Kompas 100. These findings underscore that stock returns serve as an indicator of a company’s appeal to investors, with companies demonstrating strong future prospects typically attracting greater investor interest.

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https://doi.org/https://doi.org/10.24198/jaab.v8i2.62699

Or copy a formatted citation

@article{dayanti2025,
  title        = {{Market Anomalies in Stock Returns: A Comparative Analysis of Kompas 100 Index Companies and Investor33 Index}},
  author       = {Dayanti Dayanti et al.},
  journal      = {Journal of Accounting, Auditing and Business},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.24198/jaab.v8i2.62699},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.