Title: Testing the January Effect on the Indonesia Stock Exchange for the 2015-2018 Period (Study of Lq45 Companies)
Author: Latanza Hanum Kartika Sari
Item Type : Thesis (Thesis)
Affiliations: Master of Management Science Study Program, Faculty of Economics and Business, Universitas Airlangga , Surabaya, Indonesia
Publisher: Universitas Airlangga
Abstract
The January effect occurs due to companies implementing strategies to improve their financial reports. Companies 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. The January Effect is an anomaly that presents low stock returns 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 period 2015-2018. The sample of this study were companies listed on the LQ45 index that met the sample criteria. The sampling model used was the Purposive Sampling method. The tool used was the Independent Sample T-test. The results of the research analysis showed that Abnormal Returns did not differ between January and non-January on the Indonesia Stock Exchange, which means that the January Effect phenomenon occurred on the Indonesia Stock Exchange in the LQ45 Stock Index during the study period.
Keywords: January Effect, Abnormal Return, and Market Anomaly