Analisis Pengaruh Hari Perdagangan Terhadap Return Saham LQ-45 Di Bursa Efek Indonesia Periode 2013: Pengujian Monday Effect, Week-Four Effect Dan Rogalski Effect

Jemadu, Hendrika Yunita (2015) Analisis Pengaruh Hari Perdagangan Terhadap Return Saham LQ-45 Di Bursa Efek Indonesia Periode 2013: Pengujian Monday Effect, Week-Four Effect Dan Rogalski Effect. S1 thesis, STIE Indonesia Banking School.

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Abstract

There is seasonal anomaly in financial markets called the Monday effect, which occurs when the return on stock markets is significantly negative on Monday. The presence of these anomalies violates the weak form of market efficiency because stock returns are not random, but are predictable based on certain calendar effects The objective of this research was conducted in order to examine and analyze the trading day (the day of week effect) and the Monday Effect on stock returns in Indonesia Stock Exchange. The sample used in this research is the thirty fivestocks whichare consistently listed in the LQ-45 Index for the year of 2013.The test used in this study includemultiple regression through originandsimple regression testing with stock returns he major conclusion of this study is that (1)M onday returns are significantly negative and are lower than returns duringthe rest of the week in Indonesia Stock Exchange.We also confirm the evidence that(2) Monday returns were not significantly driven by previous Friday returns,(3) Monday’s effect occurs in fourthand fifth weeks( week four effect), (4)Rogalski effect occursnot in April but December,because the mean return observed on Monday during Decemberis higher than that of the rest of the month Keywords: day of the week effect, monday effect, week-four effect, rogalski effect

Item Type: Thesis (S1)
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: KODEPRODI61201#Manajemen
Depositing User: Mrs. Deli Apsa
Date Deposited: 25 Sep 2020 03:30
Last Modified: 25 Sep 2020 03:30
URI: http://repository.ibs.ac.id/id/eprint/1252

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