STUDI TENTANG PENGARUH HARI PERDAGANGAN TERHADAP RETURN SAHAM PADA BEJ release_un34sg4vavh23krlveg4p5jafu

Abstract

The purpose of this research is to examine the day of the week effect on the stock return and Monday Effect Test in the Jakarta Stock Exchange. The sample is selected using Purposive Sampling Technique. The sample consist are thirty eight active stock in the LQ-45 Index during January trough December 2005. The statistic methods which are used to test hypotheses are ANOVA, One Sample t-test and independent sample t-test. The results show that there is a day of the week effect in the JSX. Furthermore, week four effect phenomenon exist but Rogalski effect doesn't exist in the JSX. Abstract in Bahasa Indonesia : Tujuan dari penelitian ini adalah untuk menguji pengaruh hari perdagangan dan Monday Effect di Bursa Efek Jakarta. Sampel dipilih dengan menggunakan Purposive Sampling. Sampel terdiri dari 38 saham yang masuk dalam LQ45 selama Januari-Desember 2005. Metode Statistik yang digunakan untuk menguji hipotesis meliputi ANOVA, Uji Satu Rata-rata dan Uji Dua Rata-rata Sampel Bebas. Hasil penelitian menunjukkan bahwa terjadi day of the week effect serta fenomena week four effect, namun penelitian tidak berhasil membuktikan adanya Rogalski effect di BEJ. Kata kunci: stock return, monday effect, week four effect, rogalski effect
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