Abstract:
This study essentially aims to examine separate factors affecting stock price in the Weekend Effect. Yet,the writer encouraged assessing those separate factors relating to the investment decision by investors. This study particularly attempts to find out whether high-low price, net asset value and exchange rate has the significant influence on stock price and how significant the influence is. This study then analyze six companies which are listed in Indonesia Stock Exchange (Bursa Efek Indonesia) for the period 2013 with these companies categorized as small capitalization stock and large capitalization stock.
Throughout purposive sampling technique, there are six companies that are taken as the sample of this study and inputted the data based on daily time series based. In order to meet the objective, this study using quantitative research approach which utilizes the multiple regression analysis. This study found that high-low price, net asset value and exchange rate as a composite variable have significant influence towards stock price in small large stock, in contrast for large capitalization stock the high-low price, net asset value and exchange rate do not affect the stock price significantly. In large capitalization stock all of independent variables not affect the stock price partially, but has the same significancy towards stock price.
