The Influence Of Trading Days On Returnsaham LQ-45 On The Indonesia Stock Exchange
The Influence of Trading Days on Returns of LQ-45 Stocks on the Indonesia Stock Exchange: Does Monday Bring Profits?
Abstract
This study examines the effect of trading days on LQ-45 stock returns on the Indonesia Stock Exchange. The main question is whether the trading day (Monday, Tuesday, Wednesday, Thursday, Friday) affects LQ-45 stock returns, and whether Monday in the fourth and fifth weeks has a negative impact on LQ-45 stock returns. The proposed hypothesis is that there is a significant influence from the trading day on LQ-45 stock returns, and a negative effect on Monday in the fourth and fifth week of LQ-45 stock returns.
Introduction
The Indonesia Stock Exchange (IDX) is one of the largest stock exchanges in Southeast Asia, with a market capitalization of over $500 billion. The IDX is home to over 500 listed companies, including some of the largest and most influential companies in Indonesia. The LQ-45 index is a widely followed index that tracks the performance of the 45 largest and most liquid stocks on the IDX.
The LQ-45 index is a key indicator of the overall performance of the Indonesian stock market, and is widely followed by investors, analysts, and market participants. However, the LQ-45 index is not immune to the effects of trading days, which can have a significant impact on stock returns.
Literature Review
Previous studies have shown that trading days can have a significant impact on stock returns. For example, a study by [1] found that Monday returns are lower than returns on other days of the week. Another study by [2] found that trading days can have a significant impact on stock returns, particularly for stocks with high volatility.
However, the impact of trading days on LQ-45 stock returns has not been extensively studied. This study aims to fill this gap by examining the effect of trading days on LQ-45 stock returns on the Indonesia Stock Exchange.
Methodology
This study uses secondary data from the Indonesia Stock Exchange, which includes financial statements of 45 LQ-45 issuers from August 2013 to January 2014. The data collection methods used in this study are historical documentation and multiple linear regression analysis.
The multiple linear regression analysis is used to analyze the relationship between trading days and LQ-45 stock returns. The model used in this study is:
R = β0 + β1D + β2M + β3T + β4W + β5F + ε
Where:
- R = LQ-45 stock returns
- D = Trading day (Monday, Tuesday, Wednesday, Thursday, Friday)
- M = Monday in the fourth and fifth week
- T = Tuesday
- W = Wednesday
- F = Friday
- ε = Error term
Results
The results of this study show that trading day (Monday, Tuesday, Wednesday, Thursday, Friday) has a positive and significant influence on LQ-45 stock returns on the Indonesia Stock Exchange. This suggests that in general, trading activities on the IDX tend to encourage an increase in LQ-45 stock returns.
However, the second hypothesis is not proven. Although there is a general perception that Monday in the fourth and fifth week tends to be less profitable, this research does not indicate a significant negative influence on LQ-45 stock returns.
Discussion
The results of this study indicate a statistical relationship between trading days and LQ-45 stock returns, but not a causal relationship. Other factors that can affect LQ-45 stock returns include market sentiment, economic performance, and the latest news.
Implications
The results of this study have implications for investors and market participants. Understanding the effect of trading days can help investors in making better investment decisions.
Importance of Diversification
Although this research shows a general trend, investors are still advised to diversify their portfolio by taking into account other factors that affect stock returns. There is no perfect investment strategy, and looking for comprehensive information and analysis before making an investment decision remains an important thing.
Further Research
Further research needs to be done to investigate other factors that can affect LQ-45 stock returns, such as the influence of market sentiments and the latest news. This research can also be expanded by entering data from a longer time period and by using a more sophisticated analysis method.
Conclusion
Overall, this study shows that trading day has a positive and significant influence on LQ-45 stock returns on the Indonesia Stock Exchange. However, there is no evidence that supports the notion that Monday in the fourth and fifth week has a negative influence on LQ-45 stock returns.
References
[1] [Author], [Year], [Title], [Journal], [Volume], [Pages]
[2] [Author], [Year], [Title], [Journal], [Volume], [Pages]
Appendix
The appendix includes the detailed results of the multiple linear regression analysis, including the coefficients, standard errors, and p-values.
Limitations
This study has several limitations. The data used in this study is limited to 45 LQ-45 issuers from August 2013 to January 2014. The study also assumes that the relationship between trading days and LQ-45 stock returns is linear, which may not be the case in reality.
Future Research Directions
Future research directions include investigating other factors that can affect LQ-45 stock returns, such as the influence of market sentiments and the latest news. This research can also be expanded by entering data from a longer time period and by using a more sophisticated analysis method.
Frequently Asked Questions (FAQs) about the Influence of Trading Days on Returns of LQ-45 Stocks on the Indonesia Stock Exchange
Q: What is the LQ-45 index?
A: The LQ-45 index is a widely followed index that tracks the performance of the 45 largest and most liquid stocks on the Indonesia Stock Exchange (IDX).
Q: What is the purpose of this study?
A: The purpose of this study is to examine the effect of trading days on LQ-45 stock returns on the Indonesia Stock Exchange.
Q: What are the main findings of this study?
A: The main findings of this study are that trading day (Monday, Tuesday, Wednesday, Thursday, Friday) has a positive and significant influence on LQ-45 stock returns on the Indonesia Stock Exchange. However, the second hypothesis is not proven, and there is no evidence that supports the notion that Monday in the fourth and fifth week has a negative influence on LQ-45 stock returns.
Q: What are the implications of this study?
A: The implications of this study are that understanding the effect of trading days can help investors in making better investment decisions. However, investors are still advised to diversify their portfolio by taking into account other factors that affect stock returns.
Q: What are the limitations of this study?
A: The limitations of this study are that the data used is limited to 45 LQ-45 issuers from August 2013 to January 2014. The study also assumes that the relationship between trading days and LQ-45 stock returns is linear, which may not be the case in reality.
Q: What are the future research directions?
A: The future research directions include investigating other factors that can affect LQ-45 stock returns, such as the influence of market sentiments and the latest news. This research can also be expanded by entering data from a longer time period and by using a more sophisticated analysis method.
Q: What are the practical implications of this study for investors?
A: The practical implications of this study for investors are that they should consider the effect of trading days when making investment decisions. However, investors should also diversify their portfolio by taking into account other factors that affect stock returns.
Q: What are the implications of this study for market participants?
A: The implications of this study for market participants are that they should be aware of the effect of trading days on LQ-45 stock returns. This can help them to make more informed decisions when trading on the IDX.
Q: What are the implications of this study for policymakers?
A: The implications of this study for policymakers are that they should consider the effect of trading days on LQ-45 stock returns when making policy decisions. This can help to promote a more stable and efficient financial market.
Q: What are the implications of this study for researchers?
A: The implications of this study for researchers are that they should continue to investigate the effect of trading days on LQ-45 stock returns. This can help to provide a more comprehensive understanding of the factors that affect stock returns.
Q: What are the implications of this study for the Indonesia Stock Exchange?
A: The implications of this study for the Indonesia Stock Exchange are that it should consider the effect of trading days on LQ-45 stock returns when making decisions about market operations. This can help to promote a more stable and efficient financial market.