Market Anomalies of LQ 45 Companies Stock Return Listed On the Indonesia Stock Exchange

Rifatun Nuroniyah, Sri Utami Ady, Sugiyanto sugiyanto

Abstract


Anomali Pasar Pengembalian Saham Perusahaan LQ 45

Terdaftar Di Bursa Efek Indonesia

 Abstrak

            Tujuan penelitian ini adalah untuk: (1) menganalisis perbedaan Efek Rogalski (2) untuk menguji perbedaan Efek Senin (3) untuk mengeksplorasi perbedaan Efek Akhir Pekan terhadap return saham pada perusahaan LQ 45 yang terdaftar di Bursa Efek Indonesia. Metode yang digunakan dalam penelitian ini adalah deskriptif kuantitatif, sampel dalam penelitian ini berjumlah 43 perusahaan yang dipilih dengan menggunakan teknik purposive sampling, alat analisis yang digunakan adalah Independent sample t-test. Hasil penelitian menunjukkan (1) tidak ada perbedaan signifikan antara rata-rata hari Senin-April dengan rata-rata return saham hari Senin, bukan return saham bulan April, dan tidak ada Efek Rogalski pada saham LQ 45 yang terdaftar di Bursa Efek Indonesia, (2) tidak ada perbedaan signifikan antara rata-rata pengembalian saham hari Senin dengan rata-rata pengembalian saham bukan hari Senin. Dan tidak ada Efek Senin terhadap return saham LQ 45 yang terdaftar di Bursa Efek Indonesia, (3) ada perbedaan signifikan yang terjadi pada hari Rabu, sedangkan pada hari Senin, Selasa dan Kamis tidak ada perbedaan yang signifikan antara rata-rata return saham. Dan tidak ada Efek Akhir Pekan terhadap return saham LQ 45 yang terdaftar di Bursa Efek Indonesia dari Februari 2016 hingga Januari 2017.

 Abstract

The purposes of this study were to: (1) analyze the differences of Rogalski Effect (2) to examine the differences of Monday Effect (3) to explore the differences of Weekend Effect on stock return at LQ 45 company listed in Indonesia Stock Exchange. The method used in this study was descriptive quantitative, the sample in this study amounted to 43 companies selected by using purposive sampling technique, the analysis tool used was the Independent sample t-test. The result of this research showed (1) there was no significant differences between the average of Monday-April with the average stock return of Monday, not April stock return. And there was no Rogalski Effect on LQ 45 stock return listed on Indonesia Stock Exchange, (2) there was no significant differences between the average return of the stock of Monday with the average return of not Monday stock. And there was no Monday Effect on LQ 45 stock return listed on Indonesia Stock Exchange, (3) there were significant differences occurred on Wednesday, while on Monday, Tuesday and Thursday there was no significant difference between the average stock return. And there was no Weekend Effect on LQ 45 stock return listed on Indonesia Stock Exchange from February 2016 until January 2017. 


Keywords


Rogalski Effect; MonEfek Rogalski; Efek Senin; Efek Akhir Pekan; Pengembalian Saham; Effect Rogalski; Monday Effect; Weekend Effect; Stock Return.

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DOI: http://dx.doi.org/10.25139/ekt.v2i2.414

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