Analisis day of week effect terhadap return saham di Bursa Efek Jakarta

MUHAMMAD, Adi Jauhar, Eduardus Tandelilin, Prof., Dr. ,MBA

2009 | Tesis | S2 Magister Manajemen

Dalam beberapa tahun terakhir banyak penelitian memberikan perhatian pada pengaruh hari perdagangan terhadap return saham (day-of-the week effect). Return saham muncul secara berlainan pada hari-hari yang berbeda selama satu minggu. Hasil penelitian terdahulu mengungkapkan bahwa return hari Senin lebih rendah dibanding hari lainnya karena tingginya hasrat individual dalam melakukan transaksi. Informasi yang masuk ke pasar modal (unfavorable news dan favorable news) terdistribusi secara tidak seragam, perbedaan psikologis investor pada hari perdagangan yang satu dengan hari perdagangan lain, memungkinkan adanya pengaruh (efek) hari perdagangan terhadap return saham di BEJ. Berdasarkan berbagai kemungkinan tersebut, maka tujuan penelitian ini adalah untuk mengetahui apakah terjadi gejala day of week effect pada return sahamsaham di BEJ

In the few years, there was many riset about the day of week effect. The riset was calculated the return of stock during the days of week. Stock return appear differently in the business week days. The Riset conclusion was return on Monday on average below than any days in a week. Because the investor more comfortable to make a trancasction not in Monday. In the capital market, unfavorable news and favorable news distributed asymetricly, which make a different point of view of the investor. The different investor point of view to the day of week, make an effect to the return on stock in BEJ (Bursa Efek Jakarta). Base on that possibility, the purposes of the riset was to find there were day of week effects to stock return in BEJ

Kata Kunci : Day of week effect,BEJ,Saham, Day of week effect, BEJ, Stock