MONDAY EFFECT: PENALARANAN LOGIS SEBAGAI AKIBAT DARI PENGARUH PSIKOLOGIS, PENGARUH PERIODE NONPERDAGANGAN, ATAU PENGARUH KOMBINASIAN KEDUANYA (Studi Empiris Berbasis Data Intraday, Bursa Efek Jakarta 1999-2005)

Abstract

This research tested Monday effect over day of the week. Especially, this research
investigated the existance or not of excessively negative intraday return on Monday which are not
identical in comparison with the same periods in others day. Having identified the existance of
Monday effect, this research continued to investigate the intraday returns on Monday trading and
nontrading periods in comparison with intraday return in others day. This study used mean
comparison F-test. This research resulted that nontrading weekend effect and psychological effect
were not fully supported, or the both effects were partially and incidentally only. Finally, this
research evidenced that Monday effect influenced by combination of nontrading weekend effect
and psychological effect.
Keywords: monday effect, intraday data, trading periods, nontrading periods, nontrading weekend effect, psychological effect