This research aims at analyzing Rogalski effect in Indonesia, Japan, and
United States. To see the Rogalski effect to Indonesia, Japan, and United States
stock market will use abnormal return to see it. This paper will use Market model
to find the abnormal return. Normality test, Kruskal Wallis Test and Wilcoxon
were used to analyze the data.
The result showed that Monday effect and January effect not happen in
Japan, United States, and Indonesia capital market, because Monday effect and
January not happen in capital market, it means that Rogalski effect not happen in
Japan, United States, and Indonesia capital market, because average abnormal
return on Monday in January is not higher than average abnormal return on
Monday in other months (non January).