<![CDATA[This research investigated the Weekend Effect Phenomenon on stock price which inclined on Friday and declined on Monday. Thus, we analyzed differences of stock return at that day in Indonesian Stock Exchange.The population was Stock registered in Indonesia Stock Exchange, and the sample was IHSG and LQ45 Index in Jan 2009 to Des 2010. Dependent Variable was Stock Return and Independent Variable was Weekend Effect which traded on Friday and Monday. Data used in this study was secondary data from ISX, that is IHSG and LQ45 Index.This research shown that there is no differences between stock return on Friday andMonday in IHSG and LQ45 index. This indicated by value of IHSG was 0.065 > 0.05 and LQ45 index was 0.56 > 0.05.]]>
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