PENGUJIAN ANOMALI PASAR : DAY OF THE WEEK EFFECT PADA SAHAM LQ-45 DI BURSA EFEK INDONESIA
One of market anomaly that againsts the concept of efficient market is Day of The Week Effect, which is an anomaly where there are differences between stock returns on trading day. The purpose of this study is to determine the existence of the anomaly on LQ-45 index on Indonesia Stock Exchange. The...
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| Format: | Article |
| Language: | English |
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Universitas Udayana
2016-06-01
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| Series: | E-Jurnal Manajemen |
| Subjects: | |
| Online Access: | https://ojs.unud.ac.id/index.php/Manajemen/article/view/19537 |
| _version_ | 1811281539075407872 |
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| author | Margareta Maria Trisnadi Ida Bagus Panji Sedana |
| author_facet | Margareta Maria Trisnadi Ida Bagus Panji Sedana |
| author_sort | Margareta Maria Trisnadi |
| collection | DOAJ |
| description | One of market anomaly that againsts the concept of efficient market is Day of The Week Effect, which is an anomaly where there are differences between stock returns on trading day. The purpose of this study is to determine the existence of the anomaly on LQ-45 index on Indonesia Stock Exchange. The test was conducted using multiple linear regression with dummy variables and partial test. Based on test results, Tuesday had a negative effect, while Wednesday and Friday had positive effects, but all insignificant. Only Thursday that provides a significantly positive effect on stock returns. From these results the phenomenon of Day of the Week Effect was found, with the highest average returns on Thursday, commonly known as Thursday Effect. Investors need to pay attention to the existence of Day of the Week Effect as part of the plan and investment strategy to optimize return. |
| first_indexed | 2024-04-13T01:35:26Z |
| format | Article |
| id | doaj.art-7fe2971882314e029bf1270c95a355e2 |
| institution | Directory Open Access Journal |
| issn | 2302-8912 |
| language | English |
| last_indexed | 2024-04-13T01:35:26Z |
| publishDate | 2016-06-01 |
| publisher | Universitas Udayana |
| record_format | Article |
| series | E-Jurnal Manajemen |
| spelling | doaj.art-7fe2971882314e029bf1270c95a355e22022-12-22T03:08:23ZengUniversitas UdayanaE-Jurnal Manajemen2302-89122016-06-015619537PENGUJIAN ANOMALI PASAR : DAY OF THE WEEK EFFECT PADA SAHAM LQ-45 DI BURSA EFEK INDONESIAMargareta Maria Trisnadi0Ida Bagus Panji Sedana1Fakultas Ekonomi dan Bisnis Universitas UdayanaFakultas Ekonomi dan Bisnis Universitas UdayanaOne of market anomaly that againsts the concept of efficient market is Day of The Week Effect, which is an anomaly where there are differences between stock returns on trading day. The purpose of this study is to determine the existence of the anomaly on LQ-45 index on Indonesia Stock Exchange. The test was conducted using multiple linear regression with dummy variables and partial test. Based on test results, Tuesday had a negative effect, while Wednesday and Friday had positive effects, but all insignificant. Only Thursday that provides a significantly positive effect on stock returns. From these results the phenomenon of Day of the Week Effect was found, with the highest average returns on Thursday, commonly known as Thursday Effect. Investors need to pay attention to the existence of Day of the Week Effect as part of the plan and investment strategy to optimize return.https://ojs.unud.ac.id/index.php/Manajemen/article/view/19537efficient marketday of the week effectstocks return |
| spellingShingle | Margareta Maria Trisnadi Ida Bagus Panji Sedana PENGUJIAN ANOMALI PASAR : DAY OF THE WEEK EFFECT PADA SAHAM LQ-45 DI BURSA EFEK INDONESIA E-Jurnal Manajemen efficient market day of the week effect stocks return |
| title | PENGUJIAN ANOMALI PASAR : DAY OF THE WEEK EFFECT PADA SAHAM LQ-45 DI BURSA EFEK INDONESIA |
| title_full | PENGUJIAN ANOMALI PASAR : DAY OF THE WEEK EFFECT PADA SAHAM LQ-45 DI BURSA EFEK INDONESIA |
| title_fullStr | PENGUJIAN ANOMALI PASAR : DAY OF THE WEEK EFFECT PADA SAHAM LQ-45 DI BURSA EFEK INDONESIA |
| title_full_unstemmed | PENGUJIAN ANOMALI PASAR : DAY OF THE WEEK EFFECT PADA SAHAM LQ-45 DI BURSA EFEK INDONESIA |
| title_short | PENGUJIAN ANOMALI PASAR : DAY OF THE WEEK EFFECT PADA SAHAM LQ-45 DI BURSA EFEK INDONESIA |
| title_sort | pengujian anomali pasar day of the week effect pada saham lq 45 di bursa efek indonesia |
| topic | efficient market day of the week effect stocks return |
| url | https://ojs.unud.ac.id/index.php/Manajemen/article/view/19537 |
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