THE DAY OF THE WEEK EFFECTS IN THE COMPANIES WITHIN THE LQ45 STOCK INDEX FROM 2008-2016

Clorinda, Katherina Jessica (2017) THE DAY OF THE WEEK EFFECTS IN THE COMPANIES WITHIN THE LQ45 STOCK INDEX FROM 2008-2016. .. pp. 1-14. ISSN .

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Abstract

The purpose of this research is to investigate the existence of the day of the week effect in the company within the LQ45 stock Index from 2008-2016. Day of the week effect is a calendar anomaly that happen when stock has a different return every day. Day of the week is usually used as one of investor strategy to get an abnormal return. In this research, the data used is the daily adjusted stock price, which is secondary data of the LQ45 company stock index member used as a sample. The data will then be processed to be a daily percentage return of the LQ45 company stock index. The method of analyzing the data is using OLS Method and GARCH (1,1) Model, but before utilizing OLS Method and GARCH (1,1) Model, some test are required like the stationary test using the Augmented Dickey-Fuller and the heteroscedasticity test using the ARCH-LM. The result shown that there is volatility within the company in the LQ45 stock index, which result in the return of the company differ for each day, which lead to the conclusion of the existence of day of the week effect within the company in the LQ45 stock index.

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