Total 73.524 247 a. Predictors: (Constant), Days of the month b. Dependent Variable: Daily return of stock index Source: Research data The P- value of 0.811 implies that there is days of the month and the Daily return of no linear regression relationship between stock index at 5 percent significance level. Table 10: Year 2006 Model Summary Model Std. Change Statistics Error of R Adjusted the R Square F Sig. F R Square R Square Estimate Change Change df1 df2 Change dimension0 1 .000a .000 -.004 20.17648 .000 .000 1 244 .999 a. Predictors: (Constant), Days of the month Source: Research data The coefficient of determination (R2) value of 0.999 implies that the model of equals 0.000. This shows that days of the Daily return of stock index is insignificant month do not explain any variation of at the 5 percent significance level. Daily return of the stock index. The P- Table 11: ANOVA Model Sum of Squares df Mean Square F Sig. 1 Regression .001 1 .001 .000 .999a Residual 99330.000 244 407.090 Total 99330.002 245 a. Predictors: (Constant), Days of the month b. Dependent Variable: Daily return of stock index Source: Research data Table 12: Year 2007 Model Summary Model Std. Change Statistics Error of R Adjusted the R Square F Sig. F R Square R Square Estimate Change Change df1 df2 Change dimension0 1 .040a .002 -.002 1.01766 .002 .398 1 246 .529 a. Predictors: (Constant), Days of the month Source: Research data The coefficient of determination (R2) variation of Daily return of the stock index equals 0.002. This shows that days of the leaving 99.8% unexplained. The P- value month only explain 0.2% of the total of 0.529 implies that the model of Daily
Total 73.524 247 a. Predictors: (Constant), Days of the month b. Dependent Variable: Daily return of stock index Source: Research data The P- value of 0.811 implies that there is no linear regression relationship between days of the month and the Daily return of stock index at 5 percent significance level. Table 10: Year 2006 Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate Change Statistics R Square Change F Change df1 df2 Sig. F Change dimension0 1 .000a .000 -.004 20.17648 .000 .000 1 244 .999 a. Predictors: (Constant), Days of the month Source: Research data The coefficient of determination (R2) equals 0.000. This shows that days of the month do not explain any variation of Daily return of the stock index. The P- value of 0.999 implies that the model of Daily return of stock index is insignificant at the 5 percent significance level. Table 11: ANOVA Model Sum of Squares df Mean Square F Sig. 1 Regression .001 1 .001 .000 .999a Residual 99330.000 244 407.090 Total 99330.002 245 a. Predictors: (Constant), Days of the month b. Dependent Variable: Daily return of stock index Source: Research data Table 12: Year 2007 Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate Change Statistics R Square Change F Change df1 df2 Sig. F Change dimension0 1 .040a .002 -.002 1.01766 .002 .398 1 246 .529 a. Predictors: (Constant), Days of the month Source: Research data The coefficient of determination (R2) equals 0.002. This shows that days of the month only explain 0.2% of the total variation of Daily return of the stock index leaving 99.8% unexplained. The P- value of 0.529 implies that the model of Daily
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