ANALISIS PENGARUH HARI PERDAGANGAN TERHADAP RETURN SAHAM : PENGUJIAN WEEK-FOUR EFFECT DAN ROGALSKI EF FECT DI BURSA EFEK JAKARTA

Cahyanindyah, Dwi (Adv. Prof. Dr. E. Tandelilin, MBA), Prof. Dr. E. Tandelilin, MBA

2013 | Tesis | S2 Management

Penelitian ini menguji pengaruh hari perdagangan terhadap return saham di Bursa Efek Jakarta. Pengujian dilalrukan terhadap 73 saham yang aktif diperdagangkan di BEJ pada periode 2001-2003. Hasil pengujian menunjukkan adanya fenomena Monday effect dan weekend effict di Bursa Efek Jakarta. Lebih jauh dilalrukan pengujian terhadap fenome la Monday effect yang terjadi di BEJ. Pengujian fenomena week-four (flect tidak berhasil mengidentifikasi adanya fenomena ini di BEJ karena Me nday effect tidak hanya digerakkan oleh return Senin yang negatif di ming!~ keempat dan kelima tetapi juga digerakkan oleh adanya return Senin y mg negatif diminggu pertama sampai ketiga.

Hasil pengujian pengaruh bad Friday terhadap Monday effect m munjukkan bahwa tidak hanya return Jumat yang negatifyang menggerakkal1 terjadinya Monday effect tetapi Monday effect juga digerakkan oleh return Jumat yang non negatif. Pengujian Rogalski effect menemukan bahwa ROt alski effect terjadi di bulan April dimana return di bulan April cenderung lebih tinggi dibanding return di bulan non April dan Monday effect meng lilang pada bl/.lan April karena return Senin di bulan April adalah positif

The paper investigates the day of the week effect in Jakarta Stock Exchange by using 73 active stocks during 2001-2003 period The findings indicate that there is a day of the week effect in JSX, the highest ana the lowest return are observed on Friday and Monday. So this study identifyed Monday effect and weekend effect in JSX Analysis of week-four effect ill JSX found this phenomenon not exist in Jakarta stock Exchange. This study shows that well-known Monday effect occurs not only in the last two weeks (fourth and fifth weeks) but also in the first three weeks.

investigation about relationship between Monday effect and Friday\'s return found that the negative mean return observed on Monday is not only consequence of negative return occurring in earlier trading session, but non negative return on Friday also contribute to Monday effect. While analysis of Rogalski effect in JSX found that Rogalski effect presents in April. Monday\'s return being positive in April and negative for the 01 hers month, so Monday effect disappeared in April.

Kata Kunci : hari perdagangan, return saham, the weel effect, rogalski