Author(s): Mohammad Benny Alexandri, Riswin Lubis, Widya Setiabudi Sumadinata
This study discusses of the analysis return stock using the Monday effect and Weekend effect on the Indonesia Stock Exchange in the LQ45 period February 2017 - January 2018. Data collection methods used are purposive aside, the data analysis technique used is the normality test, the heterocedacity test, and the autocorrelation test, and using a partial test with SPSS software. The results of this study indicate that there is an effect of the Monday Effect and Weekend Effect on returns LQ45 daily stock on the Indonesia Stock Exchange, where the return lowest occurs on Monday (Monday effect) and the return highest on Friday (weekend effect), in addition there return is the lowest concentrated in the last two weeks of each month (fourth and fifth week) or also called week four effect.