MONDAY EFFECT: PENALARANAN LOGIS SEBAGAI AKIBAT DARI PENGARUH PSIKOLOGIS, PENGARUH PERIODE NONPERDAGANGAN,
ATAU PENGARUH KOMBINASIAN KEDUANYA
(Studi Empiris Berbasis Data Intraday, Bursa Efek Jakarta 1999-2005)
S u m i y a n a1 Universitas Gadjah Mada
ABSTRACT
This research tested Monday effect over day of the week. Especially, this research investigated the existance or not of excessively negative intraday return on Monday which are not
identical in comparison with the same periods in others day. Having identified the existance of Monday effect, this research continued to investigate the intraday returns on Monday trading and nontrading periods in comparison with intraday return in others day. This study used mean comparison F-test. This research resulted that nontrading weekend effect and psychological effect were not fully supported, or the both effects were partially and incidentally only. Finally, this research evidenced that Monday effect influenced by combination of nontrading weekend effect and psychological effect.
Keywords: monday effect, intraday data, trading periods, nontrading periods, nontrading weekend effect, psychological effect
1 Ucapan terima kasih penulis berikan kepada yang telah berkonstribusi pada penelitian ini, Jogiyanto Hartono,
Suwardjono, Slamet Sugiri, Eko Suwardi, Ertambang Nahartyo, I Made Narsa (Unair), Sri Suryaningsum (UPN Yogyakarta). Kritik, komentar dan koreksi yang membangun dapat dihubungkan langsung ke sumiyana@fe.ugm.ac.id atau (0274)7842513.
