Analisis perilaku return intraday dan the day-end effect di Bursa Efek Jakarta

Pris,Rinaldo (Pembimbing:Prof.Dr.Eduardus Tandelilin,MBA), Prof.Dr.Eduardus Tandelilin.,MBA

2006 | Tesis | S1 Extention - Accounting

Penelitian ini menguji fenomena the day of the week dan the day-end} effect di bursa efek Jakarta dengan menggunakan data return intraday. Data yang digurakan adalah Indeks Harga. Saham Gabungan. Jwnlah sampel yang diambil seblmyak 30 saham yang yang paling aktif diperdagangkan di Bursa Efek Jakarta berdasarkan frekuensi perdagangan dengan periode pengamatan Januari - Juni 2004.

Hasil pengujian menunjukkan bahwa: (1) Fenomena the day of the weeek effect dan monday effect terjadi di Bursa Efek Jakarta sedangkan weekend effect lidak berbasil terdeteksi. (2) Rata-rata return tertinggi terjadi pada hari Rabu sedangkan rata-rata return terendah terjadi pada hari Senin dan signifikan pada level 1%. (3) Fenomena the day-end effect terjadi di Bursa Efek Jakarta dan signifikan pada level 1%. Hasil penelitian ini konsisten dengan hasil penelitian di Bursa Efek Amerika Serikat (Wood, Mdnis dan Ord, 1985); Haris (1986) ; serta basil penelitian Cheung (1995) di Bursa Efek Hongkong yang menemukan bahwa return saham secara sistematis meningkat mendekati ahir hari. (4) Untuk keseluruhan observasi (Januari-Juni 2004) ditemukan bahwa rala-rata return terendah dan negatif terjadi pada sesi pembukaan perdagangan pagi 09.30 sedangkan rata-rata return tertinggi dan positif terjadi pada periode akhir hari (day-end) dan signifikan pada level 1%, (5) Return akhir hari (day-end) signifikan memniliki hubungan negatif dengan pembukaan perdagangan pada hari berikutnya, mengindikasikan balwa return akhir hari positif dihubungkan dengan pembukaan yang negatif dari hari berikutnya

This research examined phenomena of the day of the week and the day• end effect in the Jakarta Stock Exchange using return intraday data. Data used was Composite Price Index (lHSG). Sample was 30 stocks most actively traded in the Jakarta Stock Exchange based on trading frequency in observation period of January to June 2004.

Result of examination indicated that (1) phenomena of the day of the week effect and Monday effect Occured in the Jakarta Stock Exchange while week:end effect was not detected. (2) The average highest return occured in Wednesday while average lowest return occurred in Monday and significant in 1% level. (3) Phenomena c.f the day-end effect occurred in the Jakarta Stock Exchange and significant in 1% level role result was consistent with result of research in the New York: Stock Exchange (Wood McInis and Ord, 1985; Haris, 1986) and study of Cheung (1995) in Hong Kong Stock Exchange that found out that return of stock systematically increase approaching day end. (4) For entire observation period (January-June 2004) it was found that average lowest and negative return occurred in opening session of morning trade at 09.30 while the: average highest and positive return occurred in day end and significant in 1 % level. (5) Day-end return was significant and have negative association with the next day's opening session, which indicated that positive day-end return related to next day's negative opening.

Kata Kunci : return intraday,the day of the week,the day end effect