Analsys Days of The Weekend Effect to days Return At Jakarta Stock Exchange

Yuhelmi, Yuhelmi (2010) Analsys Days of The Weekend Effect to days Return At Jakarta Stock Exchange. Jurnal Manajemen Universitas Bung Hatta, 5 (1). pp. 1-12. ISSN ISSN: 1907-6576 (print) ISSN: 2615-5370 (online)

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Abstract

This research analyze about the the day of the weekend effect to daily return at Jakarta Stock Exchange. The main objective of this research is to prove whether the days of the weekend effect to daily stock return at Jakarta stock Exchange. There are some factors that can caused the weekend effect such as : the differencies of the Behavioral of the investors and stock exchange institution; broker recommendations at capital market; daily activities of human being; sattlement procedurs; the differences of transaction’s volume within capital market. The Population of this research is the entire commerce day at the BEJ, while sampel in this research use the daily share price (using index number of Merger Share/ IHSG) January period 2005- October 2006. This Research use the Multiple regression models to know whether the days of the weekend effect such us daily commerce influence to daily return. Weekend Effect represent effect of the weekend which resulting the existence of the symptom that indicating return of share on Friday is higher. Meanwhile, on Monday indicate that return on share is lower. Pursuant to statistic test that have been done, and obtained the conclusion that the days of the weekend effect ( commerce day) not influence significantly to the daily return of share at the weekend even early week.

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