PENGARUH MONDAY EFFECT, WEEKEND EFFECT DAN ROGAlSKI EFFECT TERHADAP RETURN SAHAM

Abstract

This research is meant to examine the influence of Monday Effect, Weekend Effect and Rogalski Effect to the stock return. The sample of this research is used daily stock return, there are 36 company at LQ-45 Company during 2015-2017 has determined as samples. The data analysis technique has been done by using linear regressions for H1 and H2 meanwhile the wilcoxon test is used for H3. The result of this research shows that (1) Monday Effect does not give any significant influence to the stock return, it caused by a bad information is not always happen in Friday, and the cautious attitude of market participants who helped anticipate the economic condition. (2) Weekend Effect gives significant influence to the stock return, it caused by the highest return is happenon the day before the holiday or Friday, and on Monday sells a lot compared to the buying action. (3)Rogalski Effect does not give any significant influence to the stock return. It caused by the different determination among capital market in Indonesia and foreign capital market, or there could be a crisis in a country, which investors are cautious in making investments.
Keywords: Monday effect, Weekend effect, Rogalski effect, stock return.