Title: Testing the January Effect on the Indonesian 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 having a strategy to improve their financial reports. The company will sell shares that have low value at the end of the year and sell profitable shares to attract investors again at the beginning of the following year. The January Effect is an anomaly that presents low stock returns that occur in December and tends to have Abnormal Returns in January. The variable used in this research is Abnormal Return. This research was conducted in the 2015-2018 period. The sample for 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 in Abnormal Return between January and other than January on the Indonesian Stock Exchange, which means that the January Effect phenomenon occurs on the Indonesian Stock Exchange on the LQ45 Stock Index for the research period.
Keywords: January Effect, Abnormal Return, and Market Anomaly
