Day of the Week Effect, Initial Returns, and Long-term Market Performance of Initial Public Offerings in the Indonesian Capital Market

Nugroho Sasikirono, Sumiati Sumiati, Nur Khusniyah Indrawati

Abstract


This study aims to find the seasonality on initial returns and the long-term market performance of IPOs with different first trading day in Indonesia. There is no difference in initial returns of IPOs with the different first trading day. This study identifies differences in long-term market performance of IPOs with the different first trading day. Long-term market performance of IPO with Tuesday as the first trading day tends to be positive and Wednesday as the first trading day negative. The results of this study show important implications regarding market efficiency in emerging capital market.


Keywords


Market anomaly; initial returns; long-term market performance; IPOs.

Full Text:

PDF

References


J. Lakonishok, and S. Smidt. (1988). "Are Seasonal Anomalies Real? A Ninety-Year Perspective" The Review of Financial Studies, 1(4), pp. 403–425. doi.org/10.1093/rfs/1.4.403.

R.A. Ariel. (1987). "A Monthly Effect in Stock Returns" Journal of Financial Economics, 18 (1), pp 161 -174. doi.org/10.1016/0304-405X(87)90066-3

R.A. Ariel. (1990). "High Stock Returns before Holidays: Existence and Evidence on Possible Causes" The Journal of Finance, 45(5), pp. 1611-1626. doi.org/10.1111/j.1540-6261.1990.tb03731.x

M.W.L. Chan, A. Khanthavit, and H. Thomas. (1996). "Seasonality and Cultural Influences on Four Asian Stock Markets" Asia Pacific Journal of Management, 13 (2), pp. 1-24. doi.org/10.1007/BF01733814

K.R. French. (1980). "Stock Returns and the Weekend Effect" Journal of Financial Economics, 8, pp. 55-70. doi.org/10.1016/0304-405X(80)90021-5

J. Jaffe, and R. Westerfield. (1985). "The Week-End Effect in Common Stock Returns: The International Evidence" The Journal of Finance, 40(2), pp. 433-455. doi.org/10.1111/j.1540-6261.1985.tb04966.x

A. Agrawal, and K. Tandon. (1994). "Anomalies or Illusions? Evidence from stock markets in eighteen countries" Journal of International Money and Finance, 13, pp. 83-106. doi.org/10.1016/0261-5606(94)90026-4

J.R. Doyle, and C.H. Chen. (2009), "The Wandering Weekday Effect in Major Stock Markets" Journal of Banking & Finance, 33, pp. 1388–1399. doi.org/10.1016/j.jbankfin.2009.02.002

T.L. Jones, and J.A. Ligon. (2009). "The Day of the Week effect in IPO Initial Returns" The Quarterly Review of Economics and Finance, 49, pp. 110–127. doi.org/10.1016/j.qref.2007.03.004

R.G. Ibbotson. (1975), "Price Performance of Common Stock New Issue" Journal of Financial Economics, 2, pp. 235 – 272. doi.org/10.1016/0304-405X(75)90015-X

J.R, Ritter. (1984). "The "hot issue" market of 1980" Journal of Business, 57, pp. 215-240. Available: http://www.jstor.org/stable/2352736

R. Carter, and S. Manaster. (1990). "Initial Public Offerings and Underwriter Reputation" The Journal of Finance, 45(4), pp. 1045-1067. doi.org/10.1111/j.1540-6261.1990.tb02426.x

R. Aggarwal, R. Leal, and L. Hernández. (1993). "The aftermarket performance of initial public offerings in Latin America" Financial Management, 22(1), pp. 42-53. doi: 10.2307/3665964

M. Levis. (1993). "The Long-Run Performance of Initial Public Offerings: The UK Experience 1980 – 1988" Financial Management, 22, pp. 22-41. doi: 10.2307/3665963

B.M. Durukan. (2002). "The Relationship Between IPO Returns and Factors Influencing IPO Performance: Case of Istanbul Stock Exchange" Managerial Finance, 28 (2), pp. 18-38. doi.org/10.1108/03074350210767672

R.M. Kunz, R. Aggarwal. (1994). "Why initial public offerings are underpriced: Evidence from Switzerland" Journal of Banking and Finance, 18, pp. 705-723. doi.org/10.1016/0378-4266(93)00016-I

J.R. Ritter. (1991). "The Long Run Performance of initial Public Offerings" Journal of Finance, 46, pp. 3-27. doi.org/10.1111/j.1540-6261.1991.tb03743.x

R. Stehle, O. Ehrhardt, and R. Przyborowsky. (2000). "Long Run Stock Performance of German Initial Public Offerings and Seasoned Equity Issues" European Financial Management, 6(2), pp. 173-196. doi.org/10.1111/1468-036X.00119

B. Jakobsen, and O. Sorensen. (2001). "Decomposing and Testing Long Term Returns: An Application on Danish IPOs" European Financial Management, 7(3), pp. 393-417. doi.org/10.1111/1468-036X.00162

N.A. Ahmad-Zaluki, A. Campbell, A. Goodacre. (2007). "The Long Run Share Price Performance of Malaysian Initial Public Offerings (IPOs)" Journal of Business Finance & Accounting, 34 (1-2), pp.78-110. doi.org /10.1111/j.1468-5957.2006.00655.x

Y. Ho. (1990). "Stock Return Seasonalities in Asia Pacific Markets" Journal of International Financial Management and Accounting, 2 (1), pp. 47-77. doi.org/10.1111/j.1467-646X.1990.tb00017.x

M. Dubois, and P. Louvet. (1996). "The Day-of-the-Week Effect: The International Evidence" Journal of Banking & Finance, 20, pp. 1463-1484. doi.org/10.1016/0378-4266(95)00054-2

W. Kristanto, and J.S. Sukamluja. (2014). "The Day of The Week Effect pada Pasar Modal Asean (Indonesia, Malaysia, dan Singapura) Periode 2003-2013" Jurnal Manajemen UAJY, 1, pp. 1-5. Available: http://e-journal.uajy.ac.id/6080/1/JURNAL%20EM18402.pdf

J. Zhang, Y. Lai, and J. Lin. (2017). "The day-of-the-Week effects of stock markets in different countries" Finance Research Letters, 20, pp. 47–62. doi.org/10.1016/j.frl.2016.09.006

Hussain, F., Hamid, K., Akash, R.S.I. and Khan, M.I. 2011. Day of the Week Effect and Stock Returns: (Evidence from Karachi Stock Exchange-Pakistan), Far East Journal of Psychology and Business, 3 (1), pp. 25 – 31. Available: https://ssrn.com/abstract=2899426

T. Ulussever, I. Guranyumusak, and M. Kar. (2011). "The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysis" Journal of Economic and Social Studies, 1(1), pp. 9-23. Available: http://eprints.ibu.edu.ba/id/document/4494

Windijarto, and N. Sasikirono. Pengaruh Hari Dalam Satu Minggu (Day of the Week Effect) Terhadap Pendapatan Saham Investor, Laporan Penelitian Dosen Muda, Lembaga Penelitian Universitas Airlangga, 2004, pp. 36.

E.C. Chang, J.M. Pinegar, and R. Ravicha. (1993). "International Evidence on the Robustness of the Day-of-the-Week Effect" The Journal of Financial and Quantitative Analysis, 28 (4), pp. 497-513. doi: 10.2307/2331162

K. Rock. (1986). "Why New Issues are Underpriced" Journal of Financial Economics, 15, pp. 187-212. doi.org/10.1016/0304-405X(86)90054-1

H. Meidiaswati. "Kinerja Jangka Panjang pada IPO di Indonesia periode 1991-1993" Majalah Ekonomi, 18(2), pp. 184-196, Agustus 2008.

T. Loughran, J.R. Ritter, and K. Rydqvist. (1994). "Initial Public Offerings: International Insight" Pacific-Basin Finance Journal, 2, pp. 165-199. doi.org/10.1016/0927-538X(94)90016-7

R. Sullivan, A. Timmermann, and H. White. (2001). "Dangers of data mining: The case of calendar effects in stock returns" Journal of Econometrics, 105, pp. 249–286. doi.org/10.1016/S0304-4076(01)00077-X

T. Loughran, and J.R. Ritter. (2004). "Why Has IPO Underpricing Changed Over Time?" Financial Management, 33(3), pp. 5 – 37. Available: http://www.jstor.org/stable/3666262

A.W. Butler, M.O. Keefe, and R. Kieschnick. (2014). "Robust determinants of IPO underpricing and their implications for IPO research" Journal of Corporate Finance, 27, pp. 367–38. doi.org/10.1016 /j.jcorpfin.2014.06.002

T.L. Jones, and M. Swaleheen. (2010). "Endogenous examination of underwriter reputation and IPO returns" Managerial Finance, 36(4), pp. 284-293. doi.org/10.1108/03074351011027501

L. Tian. (2011). "Regulatory underpricing: Determinants of Chinese extreme IPO returns" Journal of Empirical Finance, 18, pp. 78–90. doi.org/10.1016/j.jempfin.2010.10.004

R. Guo, B. Lev, and C. Shi. (2006). "Explaining the Short- and Long-Term IPO Anomalies in the US by R&D" Journal of Business Finance and Accounting, 33 (3-4), pp. 550–579. doi.org/10.1111/j.1468-5957.2006.00610.x

D.F. Kenourgios, S. Papathanasiou, and E.R. Melas. (2007). "Initial performance of Greek IPOs, underwriter’s reputation and oversubscription" Managerial Finance, 33(5), pp. 332-343. doi.org /10.1108/ 03074350710739614

R.B. Carter, F.H. Dark, and T.R.A. Sapp. (2010). "Underwriter reputation and IPO issuer alignment 1981–2005" The Quarterly Review of Economics and Finance, 50, pp. 443–455. doi: 10.1016/j.qref.2010.07.001

H. Meidiaswati, H. 2017. "Asymmetric Information at First Seasoned Equity Offering in the Indonesian Capital Market" Dissertation, Faculty of Economic and Business, Universitas Airlangga, 2017


Refbacks

  • There are currently no refbacks.


 

 
  
 

 

  


About IJSBAR | Privacy PolicyTerms & Conditions | Contact Us | DisclaimerFAQs 

IJSBAR is published by (GSSRR).