PENGARUH HARI PERDAGANGAN TERHADAP RETURN SAHAM PADA PERUSAHAAN PERKEBUNAN DI BEI

Abstract

This research is meant to examine the influence of trading day to the stock return on the agricultural companies in plantation sub-sector. The population is 15 companies and the samples are 8 plantation companies which are listed in Indonesia Stock Exchange in 2012-2013 periods.The examinations which are used in the trading day are Monday Effect Friday Effect and Week-four Effect. The research data has been obtained from the IDX (Indonesia Stock Exchange) by using the stock price daily data in closing price.
The result of this research shows that Monday Effect variable has significant influence to the stock return since the psychological factor of investors who assume that Monday is the first day of the week to start work, a busy day and pessimistic to conduct trading activity in the capital market. The Friday Effect variable has significant influence to the stock return since the psychologicalfactors of investors who prefertradingactivityin the capital market; theyassumed thatFridayis thelast dayof theirworkwithlessbusyand they optimistic that they willget alarger return. In general, the company will deliver a bad news after the closing of the trading day. The Week-four Effect variable has significant influence to the stock return since the demand tomeet theprimaryneeds which have to be doneat the beginning ofthe month. Thus, there is selling pressure onthe Indonesian Stock Exchange
Keywords: Monday Effect, Friday Effect, Week-four Effect, Stock Return.