Open AccessWeekend Effect Pada Indeks Harga Saham Gabungan (Ihsg) Indonesia Pasca Krisis
Author(s) -
Kevin Chanry,
Wilson Wilson
Publication year - 2021
Publication title -
bana ekonomi : majalah ilmiah fakultas ekonomi universitas katolik parahyangan
Language(s) - English
Resource type - Journals
ISSN - 2442-675X
DOI - 10.26593/be.v23i2.4634.59-77
Subject(s) - inefficiency , weekend effect , stock (firearms) , stock market , financial economics , efficient market hypothesis , financial crisis , business , economics , monetary economics , econometrics , geography , medicine , emergency medicine , context (archaeology) , archaeology , macroeconomics , microeconomics
Weekend effect is a form of inefficiency that makes stock returns are not random (predictable) and repetitive which is against the efficient market theory by Fama (1991). This study aims to encourage stock investor knowledge about these anomalies, and act more measurably, so that a more efficient market can be achieved. This study uses a regression method that is looking for a significant value between days against the daily return index with the aim of finding a trading pattern on a particular day, especially on Monday and Friday. As a result, the weekend effect occurs during the post-crisis impact on the real sector, in other words affect the performance of the company's stock returns as a whole so that the global financial crisis that is post-crisis 2007-2008 has a negative statement on the weekend effect.Keywords: weekend effect; post crisis; return; efficient market; anomaly market