Analisis Pengaruh Day of The Week Effect  terhadap Return Saham di Bursa Efek Jakarta

Arum Indrasari; Afrizal Tahar

Authors

Arum Indrasari Universitas Muhammadiyah Yogyakarta
Afrizal Tahar Universitas Muhammadiyah Yogyakarta

Keywords:

Abnormal Return, Market Anomaly, Stock Trading Day, Daily Stock Returns, Jakarta Stock Exchange

Abstract

Some of the people have believed in the superstitions in which there exists “good days” for doing activities, including to start business and investment. The purpose of this paper is to disclose to what extent the phenomenon of market anomaly is feasible in Jakarta Stock Exchange in connection to the existence of the effect of “good days” for trading on daily stock returns. Based on the research result, we found the there exist distinction in daily stock return and abnormal returns particularly on Tuesday and Wednesday.

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