PENGARUH HARI PERDAGANGAN TERHADAP RETURN INDEKS (Studi pada perusahaan-perusahaan yang ada Pada Jakarta Islamic Index)

Days of the week have an effect on investor behavior in selecting investment. It is very interesting to be investigated. There is phenomenon that trading days in Indonesian Stock Exchange have an effect on rate of return and risk of stocks invested. This research aims to test trading day pattern and effect to stocks return at Jakarta Islamic Index from January to June 2015. The sample is selected by using purposive sampling technique. The sample consist of thirty active stocks in JII during January to June 2015. The analysis method used was multiple linear regression with dummy variables. This research finds that there is a days of the week effect on index return and previous Friday’s return have an effect to return on the next Monday. Keywords : Eficiency Market Hypothesis, Day of the Week Effect, Retur