FENOMENA MONDAY EFFECT PADA OVERNIGHT RETURN DAN INTRADAY RETURN SAHAM YANG TERGABUNG DALAM INDEKS LQ45 PERIODE 2018

  • Martha Ayerza Esra Institut Bisnis dan Informatika Kwik Kian Gie
  • Pebiano Subagja Institut Bisnis dan Informatika Kwik Kian Gie
Keywords: Overnight Return, Intraday Return, Monday Effect

Abstract

As a trader must have a trading strategy that produces capital gains / losses from actual returns. Overnight returns and intraday returns are part of the actual return. But actually this return is by another factor. The influencing factor is the phenomenon of Monday's anomalous effect. The theory underlying this research is Random Walk, Efficient Market Hypothesis, Anomaly. Random Walk explains the random and unpredictable stock prices so that returns are generated randomly and cannot be predicted. The Efficient Market Hypothesis explains how securities or stock information is used to predict the price of a security or stock in the future so that the resulting return can be predicted. Anomaly explains the phenomena that deviate from the Efficient Market Hypothesis theory.

 This research was conducted on companies contained in the LQ 45 Index published on the Indonesia Stock Exchange in the period January 2018 - December 2018. By using the judgment sampling method, a sample of 34 companies was obtained with program SPSS 25. Data analysis techniques used were different paired sample tests. average. The results showed that the two different test of paired sample t-test used had fulfilled the normality test. Normality test results show all data are normally distributed. The significance value of the difference between the average return on Monday and the average return on non-Monday on return return is 0.119 with an average of -0.041 and the significance value is different between the average return on Monday with the average return on non-Monday the intraday return of 0.069 with an average of 0.1.

 The results show that (1) There is no difference between Monday return and non Monday return on intraday return.and (2) there is a difference between Monday return and non Monday return on intraday return.

References

Amelia, Safrina. 2016. Artikel Ilmiah: Monday Effect dan Week Four Effect Pada Indeks Harga Saham LQ45 di Bursa Efek Indonesia, Sekolah Tinggi Ilmu Ekonomi PERBANAS

Ardiana, I Ketut T. D. P. dan Putu Agus (2016), Analisis The Monday Effect di Bursa Efek Indonesia, Jurnal Akuntansi Udayana, Oktober 2016 Vol. 17 No.1

Bougie, Uma Sekaran dan Roger (2017), Metode Penelitian Untuk Bisnis: Pendekatan Pengembangan Keahlian, Edisi 6 Buku 1, Jakarta: Salemba Empat

Bougie, Uma Sekaran dan Roger (2017), Metode Penelitian Untuk Bisnis: Pendekatan Pengembangan Keahlian, Edisi 6 Buku 2, Jakarta: Salemba Empat

Brahmana et al., Rayenda (2014), The Role of Weather on Investors' Monday Irrationality: Insights From Malaysia, Journal of Contemporary Economics, Juni 2014 Vol. 8. No.2

Diana, Fitri Wulandari dan Nur (2018), Artikel Ilmiah: Analisis Monday Effect dan Friday Effect Pada Indeks Likuiditas 45 di Bursa Efek Indonesia, Universitas Negeri Malang

Fahmi, Irham (2017), Pengantar Pasar Modal: Panduan bagi para Akademisi dan Praktisi Bisnis dalam Memahami Pasar Modal Indonesia, Bandung: CV. Alfabeta

Fauzie, Susetriani Putri F. A. S. dan Syarief (2014), Analisis Monday Effect dan Rogalski Effect Terhadap Return Saham di Bursa Efek Indonesia (BEI) Periode 2012-2013, Journal Ekonomi dan Keuangan, 2014 Vol. 2 No.11

Hartono, Jogiyanto (2017), Teori Portofolio dan Analisis Investasi, Edisi 11, Yogyakarta: Fakultas Ekonomi dan Bisnis UGM

Khan, Gholam Syedain (2014), An Analysis of Day-of-Week and Intraday Effect in The Indian Stock Market: Evidence From National Stock Exchange, Journal of Contemporary Issues in Business Research, 2014 Vol. 3, No. 3

Latif, Madiha (2011), Market Efficiency, Market Anomalies, Causes, Evidences, and Some Behavioral Aspects of Market Anomalies, Journal of Applied Finance, Oktober 2011 Vol. 2, No. 9

Ma, Ben Branch dan Aixin (2012), Overnight Return, the Invisible Hand Behind Intraday Returns?, Research Journal of Finance and Accounting, Januari 2012 Vol. 22, No. 2

Noviriani et al., Eliza (2018), Fenomena Monday Effect Pada Indeks Harga Saham Gabungan Indonesia, Jurnal Akuntansi Indonesia, Januari 2018 Vol. 7 No. 1

Nugroho, Ridho Budi (2018), Publikasi Ilmiah: Fenomena The Monday Effect di Bursa Efek Indonesia (Studi Perusahaan Manufaktur di Bursa Efek Indonesia), Universitas Muhammadiyah Surakarta.

Perez, Gerardo Alfonso (2018), Monday Effect in the Chinese Stock Market, International Journal of Financial Research, 2018 Vol. 9, No. 1

Pramesti, Getut (2018). Mahir Mengolah Data Penelitian Dengan SPSS 25. Jakarta: PT. Elex Media Komputindo

Purnama, Marselia (2018) Anomali Monday Effect Pada Bursa Efek Indonesia Tahun 2010-2016, PRIMANOMICS: Jurnal Ekonomi dan Bisnis, 2018 Vol. 16 No.3

Rahmawati, Suci (2016), Skripsi: Analisis Monday Effect dan Weekend Effect Pada Return Saham Perusahaan LQ45 di Bursa Efek Indonesia, Universitas Negeri Yogyakarta

Samsul, Mohamad (2018), Pasar Modal dan Manajemen Portofolio, Edisi 2, Jakarta : Erlangga

Sari, Susi Susilawati dan Tiara Intan (2018), Analisis Monday Effect, Weekend Effect, dan Pengaruh Hari Perdagangan Terhadap Return Saham Pada Kelompok Saham Indeks LQ 45 di Bursa Efek Indonesia Periode Februari 2017 - Januari 2018, Jurnal Profiet, 2018 Vol. 2 No. 2

Zhang, Bing (2019), T+1 Trading Mechanism Causes Negative Overnight Return, The International Journal of Theoretical and Applied Papers on Economic Modelling, Oktober 2019 Vol. 84 No. 3

https://finance.yahoo.com/

https://www.idx.co.id/

Published
2020-06-30
How to Cite
Esra, M., & Subagja, P. (2020). FENOMENA MONDAY EFFECT PADA OVERNIGHT RETURN DAN INTRADAY RETURN SAHAM YANG TERGABUNG DALAM INDEKS LQ45 PERIODE 2018. AkMen JURNAL ILMIAH, 17(2), 291-300. https://doi.org/10.37476/akmen.v17i2.891