Weekend Effect Pada Indeks Harga Saham Gabungan (Ihsg) Indonesia Pasca Krisis

Authors

  • Kevin Chanry Fakultas Manajemen Keuangan Universitas Prasetiya Mulya
  • Wilson Wilson Fakultas Manajemen Keuangan Universitas Prasetiya Mulya

DOI:

https://doi.org/10.26593/be.v23i2.4634.59-77

Abstract

Weekend effect is a form of inefficiency that makes stock returns are not random (predictable) and repetitive which is against the efficient market theory by Fama (1991). This study aims to encourage stock investor knowledge about these anomalies, and act more measurably, so that a more efficient market can be achieved. This study uses a regression method that is looking for a significant value between days against the daily return index with the aim of finding a trading pattern on a particular day, especially on Monday and Friday. As a result, the weekend effect occurs during the post-crisis impact on the real sector, in other words affect the performance of the company's stock returns as a whole so that the global financial crisis that is post-crisis 2007-2008 has a negative statement on the weekend effect.

Keywords: weekend effect; post crisis; return; efficient market; anomaly market

Author Biography

Kevin Chanry, Fakultas Manajemen Keuangan Universitas Prasetiya Mulya

Bina Ekonomi terbit secara berkala dua kali setahun sejak 1997, sebagai wadah karya tulis ilmiah hasil kajian pustaka maupun penelitian lapangan di bidang Ilmu Ekonomi, Manajemen, dan Akuntansi. Penerbitan Bina Ekonomi diharapkan dapat memberi sumbangan pemahaman maupun alternatif solusi atas masalah ekonomi yang ada.

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Published

2021-05-06

Issue

Vol. 23 No. 2 (2019): Bina Ekonomi: Majalah Ilmiah Fakultas Ekonomi Universitas Katolik Parahyangan

Section

Articles

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