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Efek Anomali Pasar Terhadap Return Saham Pada Perusahaan Lq 45 Yang Terdaftar Di Bursa Efek Indonesia

Author

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  • Ady, Sri Utami
  • Nuroniyah, Rifatun
  • , Sugiyanto

Abstract

The purposes of this study was to: (1) analyze the differences (Rogalski Effect) (2) to analyze the difference (Monday Effect) (3) to analyze the difference (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 hypothesis (1) there was no significant difference between the average of Monday April stock return with the average of Monday not April stock return. And there was no Rogalski Effect on LQ 45 stock return listed on Indonesia Stock Exchange. The result of hypothesis (2) therewass no significant difference between the average return of stock of Tujuan penelitian ini adalah untuk: (1) menganalisis adanya perbedaan (Rogalski Effect) (2) menganalisis adanya perbedaan (Monday Effect) (3) menganalisis adanya perbedaan (Weekend Effect) 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 terpilih dengan menggunakan teknik purposive sampling, alat analisis yang digunakan adalah Independent Sample t-test. Hasil Uji Hipotesis (1) tidak terdapat perbedaan yang signifikan antara rata-rata return saham senin April dengan rata-rata return saham senin non April. Dan tidak terjadi Rogalski Effect pada return saham LQ 45 yang terdaftar di Bursa Efek Indonesia. Hasil Uji Hipotesis (2) tidak terdapat perbedaan yang signifikan antara rata-rata return saham senin dengan rata-rata return saham non senin. Dan tidak terjadi Monday Effect pada return saham LQ 45 yang terdaftar di Bursa Efek Indonesia. Hasil Uji Hipotesis (3) terdapat perbedaan yang signifikan terjadi pada hari rabu, sedangkan pada hari senin, selasa, dan kamis tidak terdapat perbedaan yang signifikan antara rata-rata return saham. Dan tidak terjadi Weekend Effect pada return saham LQ 45 yang terdaftar di Bursa Efek Indonesia selama periode Februari 2016 sampai dengan Januari 2017

Suggested Citation

  • Ady, Sri Utami & Nuroniyah, Rifatun & , Sugiyanto, 2018. "Efek Anomali Pasar Terhadap Return Saham Pada Perusahaan Lq 45 Yang Terdaftar Di Bursa Efek Indonesia," INA-Rxiv xm3sw, Center for Open Science.
    • Handle: RePEc:osf:inarxi:xm3sw
    DOI: 10.31219/osf.io/xm3sw
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