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.
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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.
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