ANALISA PENGARUH HARI PERDAGANGAN TERHADAP IMBAL HASIL SAHAM DI BURSA EFEK INDONESIA

JUANDA, MUHAMMAD and Ali, Hartati and Adam, Mohamad (2008) ANALISA PENGARUH HARI PERDAGANGAN TERHADAP IMBAL HASIL SAHAM DI BURSA EFEK INDONESIA. Undergraduate thesis, Sriwijaya University.

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Abstract

Day of the week is anomaly of efficient money market which is showed that daily stock return unequal for all day in a week. Monday effect is a part of day of the week effect. Monday effect is negatively Monday effect stock return. Week-four effect is a phenomenon which is expressed that Monday effect only happen on fourth week of each months. Rogalski effect is a phenomenon where negatively stock return which has happened on Monday disappear on certain month. The objectives of the study were: (1) to analyze how significant the influence of trading day toward stock return. (2) to find out whether or not week-four effect has took place on Monday of fourth and flfth week. (3) to find out whether or not Rogalski effect has took place on April. The population of the study was all the companies which have registered at Indonesia Stock Exchange along 2004-2006 periods. In this study, the sample was taken using purposive sampling. The writer took 184 company as the sample. There were 3 hypothesis in this study. To answer the hypothesis, the data were analyzed using single regression analysis (dummy method). It was regression method where independent variable had a qualitative. The result of the study proved that Monday effect phenomenon has took place at Indonesia stock exchange on 2004 until 2006 period. Where the lowest stock return value has took place on Monday and the highest stock return value has took place on Wednesday. This study did not find out that there were week-four effect and Rogalski effect at Indonesia Stock Exchange on 2004-2006 periods.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Stock return, Monday Effect, Week-four Effect, Rogalski Effect
Subjects:	H Social Sciences > HG Finance > HG4551-4598 Stock exchanges
Divisions:	01-Faculty of Economics > 61201-Management (S1)
Depositing User:	Mr Halim Sobri
Date Deposited:	26 Mar 2021 02:16
Last Modified:	26 Mar 2021 02:16
URI:	http://repository.unsri.ac.id/id/eprint/44229

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