Testing the January Effect on the Indonesia Stock Exchange for the 2015-2018 Period (Study on Lq45 Companies)
Amount: Testing the January Effect on the Indonesia Stock Exchange for the 2015-2018 Period (Study on Lq45 Companies)
Author: Latanza Hanum Kartika Sari
Item Type: Thesis
Memberships: Master of Management Science Study Program, Faculty of Economics and Business, Airlangga University, Surabaya, Indonesia
Publisher: Airlangga University
Abstract
The January effect occurs due to the company's strategy to improve its financial statements. The company will sell low-value stocks at the end of the year and sell profitable stocks to attract investors back at the beginning of the following year. January Effect is an anomaly that presents low stock returns occurring in December and tends to have abnormal returns in January. The variable used in this study is abnormal return. This research was conducted in the 2015-2018 period. The sample of this research is companies listed on the LQ45 index that meet the sample criteria. The sample determination model used is the Purposive Sampling method. The tool used is the Independent Sample T-test. The results of the research analysis show that there is no difference between the months of January and other than January on the Indonesia Stock Exchange, which means that the January Effect phenomenon occurs on the Indonesia Stock Exchange on the LQ45 Stock Index for the study period.
Keywords : January Effect , Abnormal Return , and Market Anomaly
