PENGUJIAN FENOMENA MONDAY EFFECT DI BURSA EFEK INDONESIA, SHANGHAI & NEW YORK

Studies in various countries found the existence of anomaly in the stock exchange, one of the anomalies is Monday effect. The diversity of research result leads to re-examine the pheno-menon about Monday effect on three exchanges, the name’s Indonesia Stock Exchange, Shanghai Stock Exchange and New York Stock Exchange. The statistical method use in-dependent sample t-test. The total sample consisted of 98 companies listed in the LQ-45 index, SSE50 index and DJIA30 index during the period 2013-2014. From the analysis it can be conclusion that the phenomenon of Monday effect occurred on Indonesia Stock Exchange and New York Stock Exchange, while on Shanghai Stock Exchange Monday effect doesn’t exist because stock return negative concentrated on Thursday. Keywords: Anomali pasar, Monday effect, Retur