ANALISIS PENGARUH HARI PERDAGANGAN TERHADAP RETURN SAHAM: PENGUJIAN WEEK-FOUR EFFECT DAN ROGALSKI EFFECT DI BURSA EFEK JAKARTA

https://doi.org/10.22146/jieb.6567

Dwi Cahyaningdyah(1*)

(1) STIE Widya Manggala Semarang
(*) Corresponding Author

Abstract


The paper investigates the day of the week effect in Jakarta Stock Exchange by using 73
active stocks during 2001-2003 period. The findings indicate that there is a day of the week effect in JSX. The highest and the lowest return are observed on Friday and Monday,
respectively. Analysis of week-four effect in JSX find this phenomenon does not exist in
Jakarta Stock Exchange. This study shows that Monday effect occurs not only in the last
two weeks (fourth and fifth weeks) but also in the first three weeks.
Investigation about relationship between Monday effect and Friday’s return indicates
that the negative mean return observed on Monday is not only the consequence of negative return occurring in earlier trading session. Futhermore, non-negative return on Friday also contributes to Monday effect. Further investigation shows that Rogalski effect presents in April. Finally, the study shows the Monday’s return is only positive in April.

Key words : Monday effect, week-four effect, Rogalski effect.





DOI: https://doi.org/10.22146/jieb.6567

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