Indonesia Conference Directory

The study aims to examine and analyze the Day-of-the-Week-Effect (DOW) in the foreign exchange market. In his seminal paper, Cross (1973) founded that, on average, return are negative on Mondays and positive on Fridays, a phenomenon subsequently called DOW by several researchers. Until now, DOW has not been explained by conventional finance theories, so it is described as an anomaly. The existence of DOW also challenges the Efficient Market Hypothesis, so it becomes interesting to examine. The Generalized Autoregressive Conditional Heteroscedasticity method was used to test and analyze DOW in this study with the Bank Indonesia as the data source. The novelty in this study arise from DOW testing carried out over a long period of time (2000-2018) and testing conducted by forming sub-samples within that time period. The results of the study showed that there was a DOW in the foregin exchange market in Indonesia