Performance
Vol 12 No 1 (2010): Performance

EFEK HARI PERDAGANGAN TERHADAP RETURN DAN VOLATILITASNYA PADA SAHAM INDEKS LQ45 DI BURSA EFEK INDONESIA

Najmudin, Najmudin (Unknown)
Jaryono, Jaryono (Unknown)

Article Info

Publish Date
05 Apr 2018

Abstract

This research aims to 1). test and determine trading day having return which highest and lowest, 2). test the effect of trading days on stock return, and 3). determine trading day having highest and lowest volatility by using three models: OLS, GARCH ( 1,1), and GARCH-M ( 1,1). By using the daily price data of stocks listed at LQ45 index, the study obtains results that 1). There is no return which is lowest at bourse trading days, while return which is highest happened at Friday, 2). Trading days have effect to return stock, and 3). Five trading days in Indonesia Stock Exchange have the same volatility.

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Journal Info
Performance
Website

Abbrev

performance

Publisher

Universitas Jenderal Soedirman

Subject

Education

Description

Performance is our bianually peer-reviewed journal, designed to accommodate research articles in the domain of management science. This journal has been published by Faculty of Economics and Business, Universitas Jenderal Soedirman since 2003. We invite articles in all functional area of management, ...