Analisis Monday Effect dan Rogalski Effect di Bursa Efek Jakarta
(1) Gedung C6 FE Unnes Kampus Sekaran, Gunungpati, Semarang, 50229
(2) Gedung C6 FE Unnes Kampus Sekaran, Gunungpati, Semarang, 50229
Abstract
Penelitian ini bertujuan untuk menguji pengaruh hari perdagangan di Bursa Efek Indonesia dengan menggunakan 70 saham yang aktif di perdagangkan selama periode penelitian 2004-2006. Teknik sampling menggunakan purposive sampling dengan kriteria sampel adalah saham-saham yang aktif diperdagangkan selama periode penelitian. Pengujian hipotesis menggunakan regresi dengan variable dummy. Hasil penelitian mengindikasikan bahwa ada pengaruh hari perdagangan terhadap return saham di Bursa Efek Indonesia. Return tertinggi terjadi pada hari Jumat dan return terendah pada hari Senin. Dengan hasil tersebut, dapat dikatakan penelitian ini berhasil mengidentifikasi adanya Monday effect dan weekend effect. Pengujian Rogalski effect menunjukkan bahwa Rogalski effect terjadi pada bulan April.
Â
The paper investigates the day of the week effect in Indonesia Stock Exchange by using 70 active stocks during the period of 2004-2006. Sampling technique uses purposive sampling and the criteria of the sample is stocks which are trading actively during the period of study. Regression with dummy variables are use to test the hypothesis.  The findings indicate that there is a day of the week effect in Indonesia  Stock exchange, the highest returns are observed on Friday and the lowest returns are observed on Monday. It can be said that this study can identify Monday effect and weekend effect in Jakarta Stock Exchange. The Investigation about Rogalski effect  in JSX find that Rogalski effect presents in April.  Monday’s return being positive in April and remain negative in the other months, so Monday effect disappeared in April.
Keywords
Full Text:
PDFReferences
Aly, H., Mehdian, S & Perry, M. J. 2004. An Analysis of Day-of-the-Week Effects in the Egyptian Stock Market. International Journal Of Business. Vol. 9, No. 3, pp: 301-308.
Basher, S. A & P. Sadorsky. 2006. Day of The Week Effect in Emerging Stock Markets. Applied Economics Letters. Vol. 13, No. 10, pp: 621-628.
Cahyaningdyah, D. 2005. Analisis Pengaruh Hari Perdagangan Terhadap Return Saham : Pengujian Week-Four Effect dan Rogalski effect di Bursa Efek Jakarta. Jurnal Ekonomi dan Bisnis. Vol. 20, No. 2, pp: 1-8.
Cai, J., Li, Y & Qi, Y. 2006. The Day of The Week Effect : New Evidence From The Chinese Stock Markets. Chinese Economy. Vol. 39, No. 2, pp: 71-88.
Carpenter, R. E & Petersen, B. C. 2002. Capital Market Imperfections, High-Tech Investment, And New Equity Financing. Vol. 112, pp: F54-F72.
Hui, T. 2005. Day of The Week Effect in US and Asia-Pasific Stock Markets During The Asia Financial Crisis : A Non Parametric Approach. Omega. Vol. 33, No. 3, pp: 277-282.
Iramani, R. 2006. Studi Tentang Pengaruh Hari Perdagangan Terhadap Return Saham Pada BEJ. Jurnal Akuntansi dan Keuangan. Vol. 32, pp:1-8.
Keef, S & Roush, M. L. 2005. Day of The Week Effect in The Pre-Holiday Return of The Standard & Poor’s 500 Stock Index. Applied Financial Economics. Vol. 15, No. 2, pp: 107-119.
Kiymaz, H & Berument, H. 2003. The Day of The Week Effect on Stock Market Volatility And Volume: International Evidence. Review of Financial Economics. Vol. 12, pp: 363-380
Rogalski, R. 1984. New Finding Regarding Day of Week Returns Over Trading and Non Trading Periods : A Note Journal of Finance. Vol. 39, No. 5, pp: 1603-1614.
Setiawati, L & Naim, A. 2005. Manajemen Laba. Journal of Indonesian Economy and Business. Vol. 15, No. 4, pp: 1-8.
Refbacks
- There are currently no refbacks.