ANALISIS THE DAY OF THE WEEK EFFECT, WEEK FOUR EFFECT, DAN ROGALSKY EFFECT TERHADAP RETURN SAHAM LQ 45 DI BURSA EFEK INDONESIA (BEI)

Abstract

ABSTRACT
The research aims to test and analyze ‘the day of the week effect’, ‘week four
effect’ and ‘Rogalsky effect’. The samples of the study are companies continuously
registered as LQ-45 Indonesia Stock Exchange in 2016, with 45 stocks as the
samples. After being analyzed with Kolmogorov-Smirnov Normality Test, it is
settled that non-parametric test will be used to test the hypothesis.
From the test result for variable of ‘the day of the week effect’ using KruskalWallis test, it can be concluded that there is no phenomenon of ‘the day of the
week effect’ in Indonesia Stock Exchange which can cause significant differences
in the average of daily stock return in a week.
The test result for variable of ‘week four effect’ using Kruskal-Wallis test
proves that there are differences between the first three-weeks and the fourth week
in every month during trading days.
There is Rogalsky Effect phenomenon in the test using Kruskal-Wallis test
which is indicated by significant differences between stock return in Mondays
during April and non-April.
Keyword : The day Of The Week Effect, Week FourEffect, Rogalsky Effect