Pengaruh Hari Perdagangan Terhadap Return Saham Di Bursa Efek Indonesia

ABSTRACT This study aims to provide an explanation of the effect of tranding days on the return of company shares listed in The Kompas 100 index on the Indonesian Stock Exchange in 2018. The target population in this study are all companies in The Kompas 100 indeks on the Indonesian Stock Exchange. After using the purposive sampling, there are 99 companies as target population. Data is collected through secondary data observation methods. Then the method is carried out which includes classic assumption test, descriptive statistical test, and multiple linear regresion analysis include t-test and F-test. The result of this research show that (1) Parcially, The Day Of The Week Effect not have a significant effect on Stock Return, while Week Four Effect do have significant effect on Stock Return, (2) Simultaneously, The Day Of The Week Effect not have a significant effect on Stock Return, while Week Four Effect do have significant effect on Stock Return, Keywords: The Day Of The Week Effect, Week Four Effect, Stock Return, Anomaly Market. ABSTRAK Penelitian ini bertujuan untuk memberikan penjelasan mengenai pengaruh hari perdagangan terhadap return saham perusahaan yang terdaftar dalam indeks Kompas 100 di Bursa Efek Indonesia pada tahun 2018. Target populasi dalam penelitian ini adalah semua perusahaan dalam indeks Kompas 100 di Bursa Efek Indonesia Setelah dilakukannya purposive sampling terdapat 99 perusahaan yang dapat dijadikan objek dalam penelitian ini. Data dikumpulkan melalui metode observasi data sekunder. Metode analisis data yang digunakan meliputi uji asumsi klasik, uji statistik deskriptif, serta analisis regresi linear berganda termasuk uji t dan uji F. Hasil penelitian ini menunjukkan bahwa (1) secara parsial variabel The Day Of The Week Effect tidak memiliki pengaruh terhadap return saham, sedangkan variabel Week Four Effect memiliki pengaruh terhadap return saham. (2) secara simultan, variabel The Day Of The Week Effect tidak memiliki pengaruh terhadap return saham, sedangkan variabel Week Four Effect memiliki pengaruh terhadap return saham. Kata kunci: The Day Of The Week Effect, Week Four Effect, Return Saham, Anomali Pasar