Abstract :
The purpose of this research was to know the impact of the day of the week
effect to daily stock return. In this study, researcher tested Week-Four Effect and
Rogalski Effect in BEI. The sample is selected using purposive sampling
technique. The sample consist are thirty one active stock in the LQ-45 index listed
during 2010 period. The statistic methods which are used to test hypotheses are
One sample t-test, Independent sample t-test and ANOVA. The results show that
there wasn?t impact in the day of the week effect phenomenon with stock return in
Indonesia Stock Exchange.
Keywords: Stock return, The day of the week effect, Week-four effect, and
Rogalski effect.