ANALISIS PENGARUH HARI PERDAGANGAN TERHADAP RETURN DAN VOLATILITAS SAHAM DI BURSA EFEK INDONESIA TAHUN 2014-2016

Abstract

This research was an empirical study on trading day at Indonesia Stock Exchange. This research entitled “Analysis of The Day of The Week Effect on Stock Return and Stock Market Volatility at Indonesia Stock Exchange 2014-2016 Period”. The purpose of this research is to analyze about the effect of the trading day on stock return and stock market volatility in Indonesia Stock Exchange. The sample used in this research is daily closing price data ofstocks LQ45 index over 2014 to 2016. The analysis showed that the daily closing stock price data LQ 45 index there is an element heteroskedasticity. Therefore, the analysis method used is GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model, because the model can cover heteroscedasticity. The results showed that the effect of trade on stock returns and stock volatility on the Indonesia Stock Exchange in 2014-2016 which found negative stock returns on Monday (Monday Effect) and the greatest return that occurred on Wednesday. Volatility of stock return is highest on Monday and lowest on Thursday. Keywords: the day of the week effect, return, volatility, GARCH.