THE DAY OF THE WEEK EFFECT DAN THE MONTH OF THE YEAR EFFECT DALAM PEROLEHAN RETURN SAHAM

  • Ni Nyoman Ayu Suryandari Fakultas Ekonomi, Universitas Mahasaraswati Denpasar
  • I Made Candra Wirawan Fakultas Ekonomi, Universitas Mahasaraswati Denpasar

Abstract

The concept of efficient capital markets has become an interesting and quite controversial topic of debate in finance. Since the introduction of efficient market hypotheses, various irregularities or deviations in the capital market have emerged. This irregularity is called a market anomaly. The market anomaly that becomes a lot of attention is the anomaly of calendar effects. These anomalies include the day of the week effect and the month of the year effect. This study was conducted because of the results of some inconsistent research on the day of the week effect and the month of the year effect in the acquisition of stock returns in Indonesia Stock Exchange. The purpose of this research is to know the existence of the phenomenon of The day of the week effect and The month of the year effect in the acquisition of stock returns in Indonesia Stock Exchange and how much the average return that can be obtained. The sample is selected by using Purposive Sampling. The sample consists of 39 stocks entered in LQ45 during February 2015 until August 2016. Data analysis techniques used to test the hypothesis include One Way ANOVA Test and Two Sample Tests Free (Independent Sample T test). The result of the research shows that the Day Effect of Monday Effect is the average of negative return (lower) occurs on Monday and the average positive return (higher) occurs on Friday, The Month of the Year Effect April Effect is the average positive return (higher) occurred in April but there is no significant difference in the average return on the day of the week effect with the month of the year effect in Indonesia Stock Exchange during February 20015 until August 2016.


Keywords: The day of the week effect, the month of the year effect.

Published
Jul 31, 2018
How to Cite
SURYANDARI, Ni Nyoman Ayu; WIRAWAN, I Made Candra. THE DAY OF THE WEEK EFFECT DAN THE MONTH OF THE YEAR EFFECT DALAM PEROLEHAN RETURN SAHAM. Sekolah Tinggi Ilmu (STIE) Ekonomi Triatma Mulya, [S.l.], v. 24, n. 1, p. 47 - 65, july 2018. ISSN 2622-1489. Available at: <http://triatmamulya.ejurnal.info/index.php/triatmamulya/article/view/101>. Date accessed: 14 dec. 2018.