PENGARUH HARI PERDAGANGAN TERHADAP RETURN SAHAM DAN VOLUME PERDAGANGAN SAHAM PADA PERUSAHAAN MANUFAKTUR DI BURSA EFEK INDONESIA

This research aimed to know :first,day of the week effect that influence the return of Manufacturing Company. Second, to know day of the week effect that influenced the volume of Manufacturing Company. The taken samples were a property stock and real estate stocks including one stock in Manufacturing Company at Indonesia Stock Exchange. Analysis model used in this research was linear regression model. The result of this research showed that the lowest return found on Monday trade days and the lighest return was on Thursday trade day. However, day of the week effect only proved significant at stock Manufacturing Company. The trial on trade volume did not find any significant result Keywords : Day of the week effect, Monday effect, week four effect, Rogalski effec