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Cicik Setiorini
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Economics, Econometrics & Finance

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Pengaruh The Day Of The Week Effect, Week Four Effect dan Rogalsky Effect terhadap Return Saham Lq-45 di Bursa Efek Indonesia Yunisa Rahardian Saraswati; Cicik Setiorini; Dhea Agatha Cornelia
Jurnal Riset Akuntansi & Perpajakan (JRAP) Vol 2 No 01 (2015)
Publisher : Magister Akuntansi Universitas Pancasila

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (629.459 KB) | DOI: 10.35838/jrap.2015.002.01.4

Abstract

A B S T R A C T This study aims to examine the existence and influence of the effects of trade (the day of the week effect), the effect of the fourth week (week four effect), and the effect Rogalsky (Rogalsky effect) on stock returns. This research samples are 41 active stocks wich is listing in LQ-45 index in Indonesia Stock Exchange over a period of 2013. The statistic methods which are used to test hypotheses are one way anova, and paired t-test. The results show that the day of the week effect and week four effect exist in Indonesia Stock Exchange. But Rogalsky effect does not exist in Indonesia Stock Exchange during Januari-Desember 2013. A B S T R A K Penelitian ini bertujuan untuk menguji keberadaan dan pengaruh dampak perdagangan (hari efek minggu), efek dari minggu keempat (empat minggu efek), dan efek Rogalsky (efek Rogalsky) terhadap return saham. Ini sampel penelitian adalah 41 saham aktif CHITIN listing di LQ-45 Indeks di Bursa Efek Indonesia selama periode 2013. Pengujian hipotesis dilakukan dengan analysis of variance, dan t-test. Hasil penelitian menunjukkan bahwa pengaruh hari dalam satu minggu dan pengaruh minggu keempat efek terjadi di Bursa Efek Indonesia. Tapi efek Rogalsky tidak terbukti di Bursa Efek Indonesia selama Januari - Desember 2013. JEL Classification: G14, G30
Co-Authors Dhea Agatha Cornelia Yunisa Rahardian Saraswati