ANALISIS MONDAY EFFECT DAN FRIDAY EFFECT PADA INDEKS LIKUIDITAS 45 DI BURSA EFEK INDONESIA

Abstract

ABSTRACT
Many researchers find Monday effect and Friday effect phenomenon that
are against the efficient market concept which determine that daily stock returns
will be stable. The purpose of this research are to (1) determine the difference of
return that occurs on Monday through Friday, (2) to find out the Monday effect
on stock trading, (3) to determine the Friday effect on stock trading, and (4) to
know the influence of partial and simultaneous the trading day on the daily stock
returns in Indonesia Stock Exchange. The method used in this research is event
study. And the data used in this research is secondary data, while the sample used
is LQ 45 daily stock returns listed in the Stock Exchanges period on August 2016
until July 2017 was taking 36 companies by using purposive sampling. This
research was using analysis technique of one sample t-test. The result showed
that: (1) There were significant differentiation between daily stock returns on
trading days in a week in Indonesia Stock Exchange. (2) There were
differentiation caused by Monday effect on LQ 45 companies in Indonesian Stock
Exchange (IDX). (3) There were differentiation caused by Friday effect on LQ 45
companies in Indonesian Stock Exchange (IDX).
Keywords: Return, Monday effect, Friday effect