Pengaruh Hari Perdagangan Terhadap Return Saham : Pengujian Day of the Week Effect, Week-Four Effect dan Rogalski Effect di BEI

Abstract

This study investigate the day of the week effect in Indonesia Stock Exchange by using 56 active stocks during January 2008-December 2009. The result indicates that there is a day of the week effect in IDX. The finding shows that there are the different stock returns for five trading days. The highest and the lowest return are observed on Wednesday and Monday, respectively. Investigation about relationship between Monday's effect and Friday's return indicates that the negative mean return observed on Monday is the consequence of negative return occurring in the earlier trading session. analysis of week-four effect in IDX does not find the existence of this phenomenon in IDX. This paper shows that Monday's effect occurs not only in the last two weeks (fourth and fifth weeks) but also in the first three weeks. Further test shows that Rogalski effect presents in January, because the mean return observed on Monday during January is higher than that of the rest of the month. Investors who are aware of the daily return pattern should adjust the timing of their buying and selling to take an advantage of the effect