ANALISIS ANOMALI PASAR PERDAGANGAN PADA RETURN SAHAM DI BURSA EFEK INDONESIA
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The purpose of this research is to examine and to analyze the day of week effect, week four effect, rogalsky effect and january effect at Indonesian Stock Exchnge. Sample were choosen by Purposive Sampling. For the samples of this research are 34 companies was listed as LQ45 stock during 2008. The data’s analyzed statisctically by using SPSS 16.0 for wondows program such as ANOVA, One sample ttest, and Independent sample ttest. The result of this research show that anomaly of trade day market such as the day of week effect, week four effect, rogalsky effect and january effect at stock return was not occured at 2008 in Indonesian Stock Exchange.