ANALISIS PENGARUH HARI PERDAGANGAN TERHADAP RETURN SAHAM: PENGUJIAN WEEK FOUR EFFECT DAN ROGALSKY EFFECT DI BURSA EFEK JAKARTA

The objective of this research was to examine the influence of trade day on return of index LQ 45: Analysis week-four effect and Rogalsky effect in Jakarta Stock Exchange. The object in this research was index LQ 45 during 2003-2005. Data was collected from pojok Bursa Universitas Islam Indonesia Yogyakarta and pojok Bursa Universitas Muhamadiyah Yogyakarta. The technique of data analisys in this research used regression formulation which was calculated with SPSS 10.0 for windows. The data quality was tested with classical assumption tes including the normality test, autocorelation and heteroskedatisity. The result of this research showed that (1) the trade day didn't have influence on return of index LQ 45 in JSX. (2) analysis of week-four effect in JSX find this phenomenon didn't exist in Jakarta Stock Exchange. This study shows that Monday effect occurs not only in the last two weeks (fourth dan fifth weeks) but also in the first three weeks. (3) Monday return are significantly driven by previous Friday returns. (4)investigation shows that Rogalsky effect present in April, this research shows the Monday's return only positife in April but not significant.