Analisis Monday Effect Pada Bursa Efek Indonesia Tahun 2008 : Pendekatan Indeks LQ-45
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Institusion

STIE Indonesia Banking School

Author

Siregar, Syarifah

Subject

HD28 Management. Industrial Management 

Datestamp

2024-07-19 07:26:42 

Abstract :
The objective of this research is to empirically re-examine the presence of a seasonal anomaly in financial markets called the Monday Effect, which occurs when the stock return on Monday is significantly lower than the returns for the rest of the week. The sample used in this research is the thirty four stocks which are consistently listed in the LQ-45 Index for the year of 2008. The main conclusion of this research is that the Monday?s return at the Indonesia Stock Exchange (ISE), in 2008,on average is negative and lower than the returns for the rest of the week. However, statistically there is no significant proven evidence. This research also concludes that (1) the negative Monday?s returns are significantly driven by the previous negative Friday?s returns and (2) the negative Monday?s returns occur primarily in the fourth and fifth week of the month. Keywords: Market anomaly; Monday Effect; Efficient Market Hypothesis; stock return. 

File :
Syarifah Siregar (200511063).pdf