Market Anomalies in LQ45 Stock Returns with Volatility as a Moderating Variable

This study examines January and Monday return measures in relation to LQ45 stock returns and tests stock price volatility as a moderator. Secondary data cover 29 companies during 2022–2024, yielding 87 observations. Multiple regression and moderated regression analysis were conducted using SPSS. Both calendar-related return measures show positive associations with stock returns: January B = 0.113 (p < 0.001) and Monday B = 0.093 (p = 0.014). Neither interaction with volatility is significant. The findings concern associations among continuous return measures; they do not directly establish calendar-day premiums or demonstrate that volatility is irrelevant.