Title: JANUARY EFFECT AND FIRM SIZE EFFECT ON COMPANY SHARES ON THE INDONESIAN STOCK EXCHANGE (IDX) PERIOD 2004-2010

Author: WELIN KUSUMA

Item Type : Thesis (Thesis)

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

Publisher: Universitas Airlangga

 

Abstract

The efficient capital markets hypothesis states that efficient markets react quickly to relevant information. In an efficient market, trading will take place honestly (fairly) with all market participants transacting on the basis of information. The market will react quickly to all incoming new information so that a new equilibrium price will be reached. In practice, phenomena emerge in the capital market that show deviations that are contrary to the concept of an efficient capital market (market anomaly). These anomalies include the January Effect and Size Effect. This research analyzes the January Effect phenomenon and the firm size effect in companies listed on the Indonesia Stock Exchange for the period 2004 to 2010. The data used in this research is secondary data from companies listed on the Indonesia Stock Exchange during the period. research from the period 2004 to 2010. The companies used in this research were 196 issuers consisting of 98 shares of large companies and 98 shares of small companies. The statistical analysis used in this research 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 at 0.0159 and the lowest abnormal return occurred in November at -0.024. Of the entire period, there is no month dummy variable whose results are all significantly different from January at the 5% level. Thus, the abnormal return in January is not the highest compared to the abnormal returns in the other 11 months so that the January Effect phenomenon does not occur on the Indonesia Stock Exchange (BEI). Of all the periods of the company size dummy variable, the periods that have a company size dummy variable that is significant at the 5% level with large company abnormal returns being more negative than constant, which shows that 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/