Wibi Rajasa Danantha, . (2026) ANALISIS ANOMALI PASAR TERHADAP RETURN SAHAM PERUSAHAAN JAKARTA ISLAMIC INDEX (JII) DI BURSA EFEK INDONESIA. Skripsi thesis, Universitas Pembangunan Nasional Veteran Jakarta.
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Abstract
This study aims to analyze the effect of market anomalies consisting of the Monday Effect, Weekend Effect, and Turn of the Month Effect on stock returns in companies listed in the Jakarta Islamic Index (JII) on the Indonesia Stock Exchange. The study uses a quantitative approach with secondary data in the form of daily stock closing prices during the 2022–2024 period, which are analyzed using the panel data regression method with a t-test to examine the partial effect of each variable. The results show that the Monday Effect has no significant effect on stock returns, while the Weekend Effect and Turn of the Month Effect have a significant effect on stock returns with a positive direction. These findings indicate that Monday trading phenomena have not become the main consideration for investors in determining stock returns, whereas weekend and month-end trading information is positively responded to by the market through increased returns. Thus, this study concludes that investment decisions in the Islamic stock sector are inseparable from seasonal calendar patterns, in which the Turn of the Month Effect phenomenon is proven to be the most dominant market anomaly affecting stock return movements.
| Item Type: | Thesis (Skripsi) |
|---|---|
| Additional Information: | [No. Panggil: 2110111190] [Pembimbing: Jubaedah] [Penguji 1: Anggi Angga Resti] [Ketua Penguji: Ranila Suciati] |
| Uncontrolled Keywords: | Monday Effect, Weekend Effect, Turn of the Month Effect, Return |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance |
| Divisions: | Fakultas Ekonomi dan Bisnis > Program Studi Manajemen (S1) |
| Depositing User: | WIBI RAJASA DANANTHA |
| Date Deposited: | 24 Aug 2026 09:42 |
| Last Modified: | 24 Aug 2026 09:44 |
| URI: | http://repository.upnvj.ac.id/id/eprint/52132 |
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