ANALISIS WEEKEND EFFECT TERHADAP RETURN SAHAM DI BURSA EFEK INDONESIA
ABSTRACT: This research
investigated the Weekend
Effect Phenomenon on
stock price which inclined on
Friday and declined
on Monday. Thus,
we analyzed differences
of stock return
at that day in Indonesian Stock Exchange. The population was Stock registered in
Indonesia Stock Exchange, and the sample was
IHSG and LQ45
Index in Jan
2009 to Des
2010. Dependent Variable
was Stock Return
and Independent Variable was
Weekend Effect which
traded on Friday
and Monday. Data
used in this study was secondary
data from ISX, that is IHSG and LQ45 Index.
This research shown
that there is
no differences between
stock return on
Friday and Monday in IHSG and
LQ45 index. This indicated by value of IHSG was 0.065 > 0.05 and LQ45 index
was 0.56 > 0.05.
Key word: Weekend Effect,
Stock Return, IHSG, LQ45 Index
Penulis: LUHGIATNO
Kode Jurnal: jpmanajemendd110140
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