JANUARY EFFECT AND FIRM SIZE EFFECT IN COMPANIES SHARE IN INDONESIA STOCK EXCHANGE (IDX) PERIOD 2004-2010

Amount: JANUARY EFFECT AND FIRM SIZE EFFECT IN COMPANIES SHARE IN INDONESIA STOCK EXCHANGE (IDX) PERIOD 2004-2010

Authors: WELIN KUSUMA

Item Type: Thesis

Memberships: Master of Management Study Program, Faculty of Economics and Business Universitas Airlangga Surabaya, Indonesia

Publisher: Airlangga University

Abstract

The efficient capital market hypothesis says that efficient markets react quickly to relevant information. In an efficient market, trade will take place fairly (fairly) with all market participants transacting on an informed basis. The market will react quickly to all new information that comes in so that a new equilibrium price will be reached. In practice, in the capital market, a phenomenon appears that shows deviations that are contrary to the concept of an efficient capital market (market anomaly). These anomalies include the January Effect and the Size Effect. This study analyzes the phenomenon of January Effect and firm size effect on companies listed on the Indonesia Stock Exchange for the period 2004 to 2010. The data used in this study is secondary data from companies listed on the Indonesia Stock Exchange during the period. The research period was from 2004 to 2010. The companies used in this study were 196 issuers consisting of 98 large company shares and 98 small company shares. Statistical analysis used in this study is multiple regression analysis with dummy variables for the January Effect and firm size effect. In the period January 2004 to December 2010, the highest abnormal return occurred in February of 0,0159 and the lowest abnormal return occurred in November of -0,024. From all periods, there is no dummy variable month, all of which results are significantly different from January at the 5% level. Thus, the abnormal return in January is not the highest compared to the other 11 months, so that the January Effect phenomenon does not occur on the Indonesia Stock Exchange (IDX). From all periods of the firm size dummy variable, the period that has a significant firm size dummy variable at the 5% level with the abnormal return of large companies is more negative than the constant which indicates the firm size effect phenomenon occurred in the period February 2007 to January 2008 and the period February 2008. until January 2009.

Keywords: January effect, firm size effect, stock

sources: http://repository.unair.ac.id/37029/