Dwi Cahyaningdyah, FE Manajemen and Faridhatun Faidah, - (2017) Analisis Pengaruh Hari Perdagangan Terhadap Return Saham di Bursa Efek Indonesia Pengujian Menggunakan Garch (Generalized Autoregressive Conditional Heteroskedasticity). Ekspektra, Jurnal Manajemen dan Bisnis, 1 (1). pp. 1-10. ISSN 2549-6972

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Abstract

The purpose of this study is to determine the effect of the trading day on stock returns in Indonesia Stock Exchange. The subjects were the company in LQ45 index in Indonesia Stock Exchange. The sampling technique was conducted using saturated sampling and resulted 1,697 daily closing price during 2007- 2015. GARCH analysis was used to analyze the data. The result of this research showed that there are some differences effect of trading day to stock return in Indonesian Stock Exchange during 2007-2015 in which was found negative stock returns on Monday (Monday effect) and the biggest return on Friday (Weekend effect). Meanwhile, week four effect phenomenon was not found in this study because the Monday effect is not only driven by the negative returns that occurred on Monday of the fourth and fifth , but also driven by a negative return on Monday the second and third weeks. In this study, bad Friday phenomenon also not found as not only a negative return on Friday that influence negative return on Monday (Monday effect) but also influenced by positive returns on Friday the week before.

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