PENGARUH HARI PERDAGANGAN TERHADAP RETURN SAHAM DI BURSA EFEK JAKARTA
Eduardus Tandelilin(1*), Algifari Algifari(2)
(1) Universitas Gadjah Mada
(2) STIE YKPN
(*) Corresponding Author
Abstract
The objectives of this study are: (1) to test the effect of trading days on stock return,
(2) to determine whether there is any differences of daily stock returns, and (3) to test
daily abnormal return of some Indonesians common stocks. The results indicate that
there is an effect of trading days on stock return. The study also shows that there is
the difference in daily stock returns. Finally, the result of the study indicates that
Tuesday and Wednesday have an abnormal return.
Keywords
Full Text:
PDFReferences
Abraham, Abraham dan David L. Iken-berry; The Individual Investor and the Weekend Effect; Journal of Financial & Quantitative Analysis; Vol. 29; 1994.
Clave, A.D, Ibrahim, M.S.B, dan Thomas, S.H.; The Impact of Settlement Procedureson Day-of-the week effect: Evidence from the Kuala Lumpur Stock
Exchange; Journal of BusinessFinance & Accounting, April/May; 1998.
Dimson, Elroy dan Paul Marsh, Event Study Methodologies and the Size Effect: The Case of U.K. Press Recomenda-tions, Journal of Financial Economics; Vol. 17,1986.
Dubois, M. dan P. Louvet; The Day-of-the-week effect: The International Evidence; Journal of Banking & Finance; Vol. 20; 1996.
Dyl, Edward A. dan Maberly, Edwin D.; A Possible Explanation of the Weekend Effect; Financial Analysts Journal; Vol. 44; 1988.
Eisenhardt, K. M.; Agency Theory: An Assessment and Review; Academy of Management Review; Vol. 14; 1989.
Fortin, Rich; Transaction Cost and Day-of-the Week Effects in the OTC/NASDAQ Equity Market; Journal of Financial Research; Vol. 13; 1990.
Gibbson, Michael R. dan Patrick Hess; Day of the week effect and asset Return, Journal of Business 54; 1981.
Gujarati, D.N; Basic Econometrics; Third Edition; McGraw-Hill, Inc.; 1995.
Harianto, Farid dan Sudomo, Siswanto (Penyunting); Peringkat dan Teknik Analisis Investasi di Pasar Modal Indonesia; PT. Bursa Efek Jakarta; 1998.
Jones, C. P.; Investment: Analysis and Management; Fifth Edition; John Wiley & Son, Inc.; New York; 1996.
Lakonishok, Josef dan Edwin Maberly; The Weekend Effect: Trading Patterns of Individual and Institutional Investors; Journal of Finance; Vol. 45; 1990.
Kato, Kiyoshi; Weekly Patterns in Japanese Stock Exchange; Management Science; Vol. 36 No. 9; 1990.
Mclnish, T.H dan R. A. Wood; An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks; Journal of Finance, Vol. XLVII, No. 2, 1992
Miller, E.; "Why the Weekend Effect?"; Journal of Portfolio Management, 14; 1988.
Osborne, M. F. M; Periodic Structure in the Brownian Motion of the Stock Market; Operations Research 10; 1962.
Patell, J.M. dan M.A. Wolfson; Good News, Bad News, and the Intraday Timing of Corporate Disclosures; Accounting Review; Vol. 63; 1982.
Penman, S.H.; The Distribution of Earnings News Over Time and Seasonal in Aggregate Stock Returns; Journal of Financial Economics; Vol. 18; 1987.
Peterson, P.P; Event Study: A Review of Issues and Methodology; Quarterly Journal of Business & Economics; Vol. 28; 1989.
Rystrom, D.S. dan Earl D. Benson; Investor Psychology and the Day-of-tbe Week Effect; Financial Analysts Journal; Vol. 45; 1989.
Schwartz, R. A.; Equity Market; Harper and Row; New York; 1988.
Sias, R.W. dan Laura T. Starks; The Day-of-the Week Anomaly: The Role of Institutional Investors; Financial Analysts Journal; Vo. 51; 1995.
Wibisono, Sukirno, Sukamto; Pengaruh Hari Terhadap Tingkat Keuntungan Pasar (Indeks Harga Saham Gabungan) pada Bursa Efek Jakarta; Makalah Sarasehan Hasil Penelitian Dosen Fakultas Ekonomi Perguruan Tinggi Se-DIY dan Jawa Tengah; PPMFE UII; 1998.
Article Metrics
Abstract views : 2399
| 
views : 1910
Refbacks
- There are currently no refbacks.
Copyright (c) 2018 Journal of Indonesian Economy and Business
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
| Journal of Indonesian Economy and Business |
| The Journal of Indonesian Economy and Business (print ISSN 2085-8272; online ISSN 2338-5847) is published by the Faculty of Economics and Business Universitas Gadjah Mada, Indonesia. The content of this website is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License |
| © 2019 Journal of Indonesian Economy and Business | Visitor Statistics |