Analisis Volatility IHSG Pola Harian Dan Akhir Pekan Pada Return Saham

Ester Manik

Abstract


This study aims to determine the volatility of stock returns over JCI based condition daily patterns and weekends. Data were analyzed from 2000-2004. Data analysis using daily stock returns and the weekend then testing the threshold ARCH volatility. The validity of the data using Ordinary least squares regression (OLS).The results showed that the patterns of daily and weekend significant effect on stock return volatility JCI whereas no significant effect on stock return.

Keywords: daily patterns; weekends patterns; stock returns


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