Day Trading adalah pembelian dan penjualan saham yang sama di dalam perdagangan hari yang sama.Objective dari tesis ini adalah untuk menganalisis keberadaan day trading di pasar saham Indonesia dan dampak dari day trading terhadap return saham investor indonesia. Masa studi adalah periode tiga bulan dari 1 Januari 2015 untuk yang 31 Maret 2015 . Sampel saham untuk tesis adalah 20 saham yang memiliki Volume Transaksi rata-rata harian tertinggi dan yang diperdagangkan setiap hari selama periode evaluasi. Hasil penelitian menunjukkan bahwa day trading menyumbang 53,86% dari volume yang diperdagangkan untuk 20 saham yang dianggap dalam sampel dan day trading didominasi oleh investor dalam negeri and investor perorangan, karena investor domestik menyumbang 93,68% dari volume yang diperdagangkan dan investor perorangan menyumbang 87,13% dari volume yang diperdagangkan. Partisipasi investor asing and investor institusi dalam day trading minimum investor asing menyumbang 6,32% dan investor institusi 12,87% dari hari volume yang diperdagangkan. Dalam hal return dari day trading menunjukkan bahwa day trading memberikan return di angka 2,32% sebelum mempertimbangkan biaya transaksi dan 1,81% setelah biaya transaksi dan return investor individu dari day trading yang rendah di 0,94% sebelum biaya transaksi dan 0,43% setelah biaya transaksi. Di sisi lain investor institusi memperoleh return double digit dari day trading, pada 12,14% sebelum biaya transaksi dan 11,58% setelah biaya transaksi

Day trading is the buying and selling of the same stock within the same trading day. The objective of this thesis was to analyze the existence of day trading in the Indonesian stock market and the impact of day trading on investors stock returns. The study period was a three month period from the 1st of January 2015 to the 31st of March 2015 .The sample of stocks being considered for the thesis is 20 stocks that have the highest Average Daily Traded Volume and that are traded daily during the period of evaluation. The results of the study show that day trading accounted for 53.86% of traded volume for the 20 stocks that were considered in the sample and that day trading was dominated by individual domestic investors, since domestic investors accounted for 93.68% of day traded volume and individual investors accounted for 87.13% of day traded volume Foreign investor participation in day trading was minimum as was the case of institutional investors that accounted for 6.32% and 12.87% of day traded volume respectively. In terms of returns results showed that day trading returns were at 2.32% before considering transaction costs and 1.81% after transaction costs and that individual investors returns from day trading were low at 0.94% before transaction costs and 0.43% after transaction costs. On the other hand institutional investors gained double digit returns from day trading, at 12.14% before transaction costs and 11.58% after transaction costs.

Kata Kunci : day trading, saham, Volume Transaksi rata-rata harian, domestik, asing, individu, institusi, return day trading