THE INFLUENCE DAY OF THE WEEK EFFECT, WEEK FOUR EFFECT, AND MONTH OF THE YEAR EFFECT TOWARD STOCK RETURN IN LQ-45 INDEX 2015 - 2019

IKAPUTRI, ANISA (2020) THE INFLUENCE DAY OF THE WEEK EFFECT, WEEK FOUR EFFECT, AND MONTH OF THE YEAR EFFECT TOWARD STOCK RETURN IN LQ-45 INDEX 2015 - 2019. S1 thesis, Universitas Mercu Buana.

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Abstract

Tujuan dari penelitian ini adalah untuk menguji pengaruh efek hari perdagangan, efek minggu keempat dan efek bulan perdagangan terhadap return saham index LQ-45 periode 2015 – 2019. Data yang digunakan adalah data sekunder dari www.yahoofinance.com. Sampel dalam penelitian ini adalah perusahaan�perusahaan yang konsisten terdaftar di indeks LQ-45 selama periode 2015 – 2019. Penelitian ini menggunakan model GARCH dan t-test. Salah satu bentuk dari GARCH yaitu IGARCH (Integrated Generalized Autoregressive Conditional Heteroscedasticity). Hasil penelitian menunjukkan keberadaaan efek hari perdagangan terhadap return saham. Secara spesifik, terdapat return negatif dan signifikan pada hari Senin dan return positif dan signifikan pada hari Selasa dan Rabu. Efek minggu keempat juga ditemukan dalam penelitian ini dimana terdapat return negatif dan signifikan pada minggu keempat. Dalam penelitian ini juga ditemukan efek bulan perdagangan terhadap return saham selama periode penelitian dimana terdapat return positif & signifikan pada bulan Januari, Februari dan return negatif & signifikan pada bulan September. Kata kunci: anomali pasar, return saham, efek hari perdagangan, efek minggu keempat, dan efek bulan perdagangan The purpose of this study was to examine the influence day of the week effect, week four effect, and month of the year effect toward stock return in LQ-45 index 2015 – 2019. The data used in this study were secondary data from www.yahoofinance.com. The samples of this study were the company that consistently incorporated in LQ-45 index during the research period in 2015 – 2019. This study used GARCH and t-test models. One of the GARCH models used in this study is IGARCH (Integrated Generalized Autoregressive Conditional Heteroscedasticity). The result of this study indicates the existence of day of the week effect. Specifically, a negative and significant effect on Monday (Monday effect) and positive and significant effect on Tuesday and Wednesday. The week four effect was also found in this study where there was a negative and significant return on Monday 4th week. This study also indicates the month of the year effect were a positive & significant return in January, February, and December, a negative & significant return in September. Keywords: market anomalies, stock return, day of the week effect, week four effect, and month of the year effect

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