Fenomena the Monday Effect Pada Return Saham dan Volume Perdagangan Saham di Bursa Efek Jakarta  

Oleh:

Sangaji, Joko ; Halim, Johani

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI - atma jaya
Dalam koleksi: Jurnal Akuntansi: Riset dan Artikel Akuntansi vol. 1 no. 2 (Apr. 2008), page 103-127.
Topik: the Monday effect; return; trading volume; chow breakpoint test

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: AA68 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Empirical researches have documented systematic pattern on mean return, variability of return, bid-ask spread, and trading volume. A number of empirical researches have documented seasonal anomalies on mean return and trading volume at foreign capital markets. One of the anomalies is the Monday effect, that is an anomaly which described asset returns on Monday are negative or lower than other days. This research will test the Monday effect phenomenon on return and trading volume at Jakarta Stock Exchange. There are four market anomalies in financial theory: event anomaly, seasonal anomaly, firm anomaly, and accounting anomaly. The Monday effect is a part of weekend effect seasonal anomaly that is securities prices tend to higher on Friday and tend to be lower on Monday. Preliminary researches of the Monday effect anomaly on return and trading volume at foreign capital markets have resulted many conclusions. At Jakarta Stock Exchange, researches on return which use IHSG and LQ-45 indexes as the proxy, have resulted of the Monday effect's occurrence. Based on the degree of problem crystallization, the research may be viewed as a formal study. Based on method of data collection, the research is classified and observational study. Based on the researcher's ability to manipulate variables, the research is classified as a descriptive study. Based on the time dimension, the research is a cross-sectional study. Based on the topical scope, the research is classified as a statistical study. Based on the research environment, the research is classified as a field study. The research which done on return and trading volume period 1998 to 2005 at Jakarta Stock Exchange shown the conclusion about the occurrence of the Monday effect on return and trading volume. This conclusion can be taken from the Monday coefficient value which is negative or lower than others. Mean return trading volume on Monday is statistically different from the other days, except Monday-Wednesday for return and Monday-Friday for trading volume. The occurrence of the Monday effect on return and trading volume at Jakarta Stock Exchange are stable. The conclusion which can be taken from this research are: there is the Monday effect's occurrence on return and trading volume and the stability of the Monday effect's occurence at Bursa Efek Jakarta is stable.

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