Pengaruh Hari Perdagangan Terhadap Return Pasar Di BEJ

Date Selasa, 29 Juli 2008 - Januari 2005

Penulis: Said Musnadi & Tendi Haruman

Keywords: hari perdagangan negative return, return pasar

Abstract.

This study looks at the issue of day of the week effect on market return in the case of the Jakarta Stock Exchange. The study covers a period between January 2001 and July 2003, the period where Indonesia financial crisis is ended. By using the daily Jakarta composite index as basis analysis, the finding show that to be an abnormally high return on Tuesday until Friday and a negative return on Monday. However, from statistical point of view this phenomenon is not significant. It’s means no day of the week effect in Jakarta Stock Exchange and indicated the Indonesian stock market is still in the weak sense.

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