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In short, when you say закончить работать, you mean to stop the proccess of working
When you say, закончить работу, you mean to finish the specific task you've been working on.
Yes. But there is nothing wrong in phrase "я заканчиваю работу в пять вечера", because this "specific task" can be process of working itself. "(My job is to sell goods and) I will stop doing it at 5:00". It is absolutely ok.