Analysis the Influence of Day of the Week, Monday, and Weekend Effect of on Seasonal Anomaly in in Stock Return: Evidence of Companies on LQ45 Indonesia in Indonesian Stock Exchange

Muslim Djalil, Murkhana, M. Rizal Yahya, Qurratul Aini

2018

Abstract

This study aims to determine the occurrence of day of the week effect, the occurrence of monday effect, the occurrence of weekend effect, and the effect of day trading on the daily return of shares in the Indonesia Stock Exchange. The sample used in this research is daily return data of company stock LQ 45 period of February 2017 until January 2018 which amounted to 45 company. Data analysis technique used is one sample t-test for day of the week effect, independent sample t-test for Monday effect and weekend effect, and multiple linear regression statiscal tool is employed to find out the effect of trading day to daily stock return. The results showed that there was no significant difference between daily stock return on trading days in a week on the Indonesia Stock Exchange. Then, there is Monday Effect on the trading of shares in Indonesia Stock Exchange, there is a weekend effect on stock trading in Indonesia Stock Exchange, and also there is influence of trading day to daily return of shares in Indonesia Stock Exchange.

Paper Citation

in Harvard Style

Djalil M., Murkhana., Yahya M. and Aini Q. (2018). Analysis the Influence of Day of the Week, Monday, and Weekend Effect of on Seasonal Anomaly in in Stock Return: Evidence of Companies on LQ45 Indonesia in Indonesian Stock Exchange.In Proceedings of the 4th Sriwijaya Economics, Accounting, and Business Conference - Volume 1: SEABC, ISBN 978-989-758-387-2, pages 603-610. DOI: 10.5220/0008443006030610

in Bibtex Style

@conference{seabc18,
author={Muslim Djalil and Murkhana and M. Rizal Yahya and Qurratul Aini},
title={Analysis the Influence of Day of the Week, Monday, and Weekend Effect of on Seasonal Anomaly in in Stock Return: Evidence of Companies on LQ45 Indonesia in Indonesian Stock Exchange},
booktitle={Proceedings of the 4th Sriwijaya Economics, Accounting, and Business Conference - Volume 1: SEABC,},
year={2018},
pages={603-610},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0008443006030610},
isbn={978-989-758-387-2},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 4th Sriwijaya Economics, Accounting, and Business Conference - Volume 1: SEABC,
TI - Analysis the Influence of Day of the Week, Monday, and Weekend Effect of on Seasonal Anomaly in in Stock Return: Evidence of Companies on LQ45 Indonesia in Indonesian Stock Exchange
SN - 978-989-758-387-2
AU - Djalil M.
AU - Murkhana.
AU - Yahya M.
AU - Aini Q.
PY - 2018
SP - 603
EP - 610
DO - 10.5220/0008443006030610