Analisis Efek Akhir Pekan terhadap Return Saham di Bursa Efek Jakarta Periode 2005 - 2006

Abstract

The objectives of this study are : (1) to test the weekend effect on stock return, (2) to determine wether there is any differences of daily stock returns. The study uses 45 firms included in the LQ-45 group over two period of February 2005 - July 2005 and August 2005 - January 2006. The multiple regrression employing dummy variables and an analysis of variance. The results indicate that there is a weekend effect on stock return. Finnaly, the study also shows that there is the difference between Monday and Tuesday in daily stock returns. Keywords: weekend effect, closing price, daily stock return.