ANOMALI RETURN SAHAM PADA HARI-HARI PERDAGANGAN
DI BURSA EFEK INDONESIA
(PERIODE 2012-2014)
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Institusion
Universitas Pembangunan Nasional Veteran Yogyakarta
Author
NINGSIH, INDIARTI
Subject
HG Finance
Datestamp
2017-04-20 06:10:36
Abstract :
ABSTRACT This study aims to determine anomalies stock returns on the trading day, especially day of the week effect on stock return on Indonesian stock exchange period 2012-2014. Day of the week effect is part of the calendar anomaly/seaonal stating that the return is received in trading week is different. Population in this study is the closing price daily stock companies included in LQ45 on Indonesian stock exchange on period 2012-2014. Sample used in this study is a listed company on LQ45 since January 2012 until December 2014. The independent variable is the variable days (Monday, Tuesday, Wednesday, Thursday and Friday) at LQ45 period 2012-2014. While the dependent variable in this study is the daily stock return LQ45 period 2012-2014. Hypothesis testing methods using OLS (Ordinary Least Square). Where the result of this study show there is a day of the week effect on stock return were significantly negative on Monday, so that the research hypothesis is accepted. In this study was lowest return on Monday and the highest return on Wednesday. Keywords : Day of The Week Effect, Stock Return, LQ45, OLS
ABSTRACT This study aims to determine anomalies stock returns on the trading day, especially day of the week effect on stock return on Indonesian stock exchange period 2012-2014. Day of the week effect is part of the calendar anomaly/seaonal stating that the return is received in trading week is different. Population in this study is the closing price daily stock companies included in LQ45 on Indonesian stock exchange on period 2012-2014. Sample used in this study is a listed company on LQ45 since January 2012 until December 2014. The independent variable is the variable days (Monday, Tuesday, Wednesday, Thursday and Friday) at LQ45 period 2012-2014. While the dependent variable in this study is the daily stock return LQ45 period 2012-2014. Hypothesis testing methods using OLS (Ordinary Least Square). Where the result of this study show there is a day of the week effect on stock return were significantly negative on Monday, so that the research hypothesis is accepted. In this study was lowest return on Monday and the highest return on Wednesday. Keywords : Day of The Week Effect, Stock Return, LQ45, OLS
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