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Rusmayanti, Aprinda (2008) FENOMENA THE MONDAY EFFECTDI BURSA EFEK INDONESIA(Studi pada Perusahaan LQ45). Other thesis, University of Muhammadiyah Malang.


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The purpose of this research is to examine The Monday Effect on Indonesian Stock Exchange. The Monday effect is a seasonal anomalies in financial market, which occurs when the return on stock markets is significantly negative on Monday. The sample is selected using Purposive Sampling Technique. The sample consist are thirty five active stock in the LQ-45 Index during February trough December 2007.The statistic methods which are used to test hypotheses are ANOVA, One Sample t-test and corellation. The results show that there isn’t The Monday effect in the Indonesian Stock Exchange on 2007. The factor which is influence the result of this research is economic condition especially financial market condition in Indonesia. In 2007, closing position of IHSG increase 51,74 percent compares closing position in 2006. The condition makes Indonesian Stock Exchange (IDX) in third position of Pacific Asian Countries. Furthermore, there isn’t Week Four Effect in Indonesian Stock Exchange (IDX). Week four effect is a seasonal anomalies in financial market, which occur that the Monday return on stock market is significantly negative on the fourth week in a month. The negative return is found in the begining week every month. This research also found there is a positive and significant correlation between return of stock market on Monday and return of stock market on Friday, with weak value. It is mean that the Friday’s return can not uses to predict the Monday’s return. The result of this study indicate that financial market in Indonesia more efficient than before, because the movement of stock price is random or can not predict before.

Item Type: Thesis (Other)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Economics > Department of Accounting (62201)
Depositing User: Anggit Aldila
Date Deposited: 13 Jun 2012 06:58
Last Modified: 13 Jun 2012 06:58

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