PENGARUH HARI PERDAGANGAN PADA RETURN SAHAM: PENGUJIAN WEEK-FOUR EFFECT DAN ROGALSKI EFFECT DI BURSA EFEK INDONESIA (Studi Pada LQ 45 Periode Januari-Desember 2010)

ABSTRACT The purpose of this research was to know the impact of the day of the week effect to daily stock return. In this study, researcher tested Week-Four Effect and Rogalski Effect in BEI. The sample is selected using purposive sampling technique. The sample consist are thirty one active stock in the LQ-45 index listed during 2010 period. The statistic methods which are used to test hypotheses are One sample t-test, Independent sample t-test and ANOVA. The results show that there wasn’t impact in the day of the week effect phenomenon with stock return in Indonesia Stock Exchange. Keywords: Stock return, The day of the week effect, Week-four effect, and Rogalski effect