Pengaruh Hari Perdagangan Terhadap Return Saham Indeks LQ-45: Pengujian Day of the Week Effect Dan Week Four Effect Di Bursa Efek Indonesia

Abstract

Penelitian ini bertujuan untuk mengetahui Pengaruh Hari Perdagangan Terhadap Return Saham Indeks LQ-45: Pengujian Day of the Week Effect Dan Week Four Effect Di Bursa Efek Indonesia. Periode penelitian yang digunakan adalah Februari sampai dengan Juli 2020. Jenis penelitian yang digunakan adalah penelitian kuantitatif. Sumber data yang digunakan dalam penelitian ini adalah data sekunder, dengan mengumpulkan laporan harga saham harian. Populasi dalam penelitian yaitu 45 perusahaan yang terus menerus terdaftar dalam indeks LQ-45 di Bursa Efek Indonesia. Teknik pengambilan sampel menggunakan metode purposive sampling. Berdasarkan kriteria yang telah ditetapkan diperoleh sebanyak 42 perusahaan sebagai sampel. Teknik analisis data yang digunakan dalam penelitian adalah analisis deskriptif, analisis regresi linier berganda, uji asumsi klasik, dan uji hipotesis menggunakan IBM SPSS versi 25.0. Hasil penelitian menunjukkan bahwa pada uji t variabel Day of the Week Effect dan Week Four Effect berpengaruh negatif dan tidak signifikan terhadap Return Saham, hasil pengujian hipotesis Day of the Week Effect dan Week Four Effect diperoleh nilai probabilitas sebesar 0.371 dan 0.235. Dalam tahap pengujian digunakan tingkat kesalahan sebesar 0.05. Hasil yang diperoleh menunjukkan bahwa nilai probabilitas masing-masing variabel lebih besar dari alpha 0,05, maka keputusannya adalah Ho diterima dan Ha ditolak. Berdasarkan uji F memiliki nilai signifikan sebesar 0,371 > 0,05 sehingga dapat disimpulkan secara simultan kedua variabel independen yaitu Day of the Week Effect dan Week Four Effect berpengaruh negatif dan tidak signifikan terhadap variabel dependen yaitu Return Saham.

This study aims to determine the effect of trading days on the LQ-45 Index Stock Return: Testing the Day of the Week Effect and Week Four Effects on the Indonesia Stock Exchange. The research period used was February to July 2020. This type of research is quantitative research. The data source used in this research is secondary data, by collecting daily stock price reports. The population in this study is 45 companies that are continuously listed in the LQ-45 index on the Indonesia Stock Exchange. The sampling technique was using purposive sampling method. Based on the predetermined criteria, there were as many as 42 companies as samples. The data analysis technique used in this research is descriptive analysis, multiple linear regression analysis, classical assumption test, and hypothesis testing using IBM SPSS version 25.0. The results showed that the t test variable Day of the Week Effect and Week Four Effect had a negative and insignificant effect on Stock Returns, the results of hypothesis testing of Day of the Week Effect and Week Four Effect obtained probability values of 0.371 and 0.235. In the testing phase, an error rate of 0.05 was used. The results obtained indicate that the probability value of each variable is greater than alpha 0.05, so the decision is Ho is accepted and Ha is rejected. Based on the F test, it has a significant value of 0.371> 0.05, so it can be concluded simultaneously that the two independent variables, namely the Day of the Week Effect and the Week Four Effect, have a negative and insignificant effect on the dependent variable, namely Stock Return.