PENGARUH THE DAY OF THE WEEK EFFECT, WEEK FOUR EFFECT DAN ROGASLKY EFFECT TERHADAP RETURN SAHAM

Abstract

This research aims to determine the existence and influence of the day of the week effect, week four effect and Rogalsky effect on the stock returns. Population in this research is company that listing in LQ45 index of Indonesia Stock Exchange period 2016. Sampling technique using saturated sampling method and sample used amounted to 40 companies. The type of data used in the study is secondary data using stock return data. Data analysis technique used in this research is one way ANOVA test and paired sample t-test. The result of hypothesis one testing conducted by using one way ANOVA test shows that there is the day of the week effect in LQ45 index of Indonesia Stock Exchange. The result of hypothesis two testing conducted by using paired sample t-test cannot show the occurrence of week four effect in LQ45 index of Indonesia Stock Exchange. The result of hypothesis three testing conducted by using paired sample t-test cannot show the occurrence of Rogalksy effect in LQ45 index of Indonesia Stock Exchange.
Keywords: stock return, the day of the week effect, week four effect, Rogalsky effect